Welcome to my Website !
Professor of Economics at the University of Orléans, and researcher at LEO (Laboratory of Economics of Orléans), my main research interest is Financial Econometrics, with a focus on the analysis of the dynamics of asset returns distribution’s tails. Specifically, some things I'm working on are:
- econometric models to forecast downside risk measures.
- statistical inferential procedures to backtest models for downside
- analysis of contagion in donwside risk measures.
These topics are important for financial institutions to monitor risk, but also for the regulators to assess the quality of internal models of risk measurement, and to set up policies for the regulation of systemic risk.
Alongside this research, from my collaboration with professionals in the asset management world, emerged a second line of research that addresses the issue of parameter uncertainty in portfolio optimization.