Ph.D. In Economics And Management (Specialization: Finance)
Namur Area, Belgium
Ph.D. Thesis: Essays in Risk ManagementThis thesis contains three independent chapters and is structured around two main topics in financial risk management. Chapter one and two aim to study one of the most important risks nowadays: systemic risk. The recent subprime crisis has indeed stressed the vulnerability of the entire financial system and the negative impact a badly functioning financial system could have on the real economy. Moreover, the recent Eurozone sovereign debt crisis has also highlighted systemic risk episodes where fragile countries such as Greece threatened the entire Eurozone. In such a context, Chapter one intends to study systemic risk from a financial sector perspective, while Chapter two uses country-specific data to analyse systemic risk from a sovereign perspective and, more precisely, the role of economic policy uncertainty regarding the risk transmission within the Eurozone sovereign bond market.After studying systemic risk from two perspectives, Chapter three focuses on portfolio optimization, being an important subject needing effective financial risk management processes. For years, assets managers and investors have not taken into account financial risk management as an integral part of portfolio management. Nevertheless, the last 15 years in stock markets have renewed interest for developing and implementing advanced strategies combining effective tools that allow a better financial risk management. Investors were indeed exposed to major financial market crashes such as the Dotcom bubble, the subprime crisis and the Eurozone sovereign debt crisis. In Chapter three, a combination of advanced investment strategies based on risk and the timing dimension constitutes the methodology for portfolio simulations. My research topics are: Portfolio Optimization, Risk-Based Strategies, Trend Following and Momentum, Financial Markets, Financial Risk Management, Systemic Risk Assessment, Contagion, Eurozone Risk Spillovers