Bertrand Maillet

Economics Finance Control

Bertrand is a Professor in Quantitative Finance at emlyon Business Lyon. He graduated in Economics, Finance, and Statistics, holds a Ph.D. in Economics and a Ph.D. in Finance (Habilitation à Diriger des Recherches) from the University of Paris-1 and was a Professeur Agrégé des Universités before joining emlyon in 2016.

EDUCATION

2013: Full Professorship in Economics (Concours d'agrégation de l'enseignement supérieur).

2008: Ph.D. in Finance (Habilitation à Diriger des Recherches en Sciences Economiques, “Essays on Financial Risks” – with All Distinctions), University of Paris-1Panthéon-Sorbonne, under the supervision of Professor Thierry Chauveau.

1997: Ph.D. in Economics (Doctorat en Sciences Economiques,“Market Efficiency and Performance Measurement” – with All Distinctions), University of Paris-1Panthéon-Sorbonne, under the supervision of Professor Thierry Chauveau.

1993: M.Sc. in Financial Economics(with Honors), University of Paris-1Panthéon-Sorbonne.

EXPERIENCE

Bertrand is currently a Professor in Quantitative Finance at EMLyon Business School (Paris Campus), and the Principal at Variances (a consulting company providing academic supports to financial institutions). He was previously in Financial Economics at the University of La Réunion, an Adjunct Professor in Finance at the University of Paris-Dauphine, an associate researcher at the LEO/CNRS (Center for National Research) at the University of Orléans, and a Senior Academic Fellow at the Risk Foundation Chair Dauphine-ENSAE-Groupama “Behavioral and Household Finance, Individual and Collective Risk Attitudes” within the Louis Bachelier Institute. He has been also, for more than 15 years, an Executive Head of Research (MD) within AAAdvisors-QCG (Center of Excellence in Funds Selection of ABN AMRO; Qualified Advisor: CIF – n°ORIAS: 13000399 - www.orias.fr). He graduated in Economics, in Finance, in Statistics, and holds a Ph.D. in Economics and a Ph.D. in Finance (Habilitation à Diriger des Recherches) from the University of Paris-1Panthéon-Sorbonne, and was promoted in 2013 as a Full University Professor (Agrégé). Bertrand has published several articles in academic journals in Economics, in Finance and in Applied Mathematics, such as theJournal of Banking and Finance,Journal of Economic Dynamics and Control, European Journal of Operational Research, Quantitative Finance, Review of International Economics, European Journal of Finance, Neural Networks, Neurocomputing, chapters in books edited by Wiley, Springer and Kluwer Academics, and serves as an academic referee in several international leading journals. He was also a co-editor of the book entitled “Multi-moment Asset Allocation and Pricing Models” published by John Wiley NYC. His domain of expertise covers financial econometrics, risk management, performance measurement, portfolio management and asset pricing. With a thorough knowledge of the latest research in finance and a sound practitioner experience of financial markets over the last 15 years, he is specializing in the design of tools to support decisions and financial products with a high added value.

SCIENTIFIC COMMITTEES

European Journal of Finance (2005)

EXPERTISE

Quantitative Finance, Financial Econometrics, Financial Markets, Financial Crises, Volatility and Risk Management, Extremes, Systemic Risk, Asset Pricing, Portfolio Optimization, Asset Allocation, Pension Funds, Performance Measurement, Hedge Funds, International Finance.

ASSOCIATIONS

AFFI, EFMA, EFA.

COURSES TAUGHT

Advanced Quantitative Portfolio Management

Interest Rate Management

Financial Applications

Financial Mathematics

RESEARCH INTEREST

Quantitative Finance, Financial Econometrics, Financial Markets, Financial Crises, Volatility and Risk Management, Extremes, Systemic Risk, Asset Pricing, Portfolio Optimization, Asset Allocation, Pension Funds, Performance Measurement, Hedge Funds, International Finance.

COMMUNICATIONS & SEMINARS

• VIIth International Finance Conference (Levallois-Perret, March 2013 - 2 papers).
• GDRE – Workshop on Financial Stability (Paris, April 2013 - 1 paper).
• IIIrd Workshop on Hedge Funds (Cluster CNRS - Orléans, April 2013 - organization, 1 chair).
• International ESANN Conference (Bruges, April 2013 - 1 paper).
• "Journées de l'AFSE" (Orléans, May 2013 - 2 papers).
• XXXth AFFI International Conference in Finance (Lyon, May 2013 - 2 papers, 1 chair).
• INFER Annual Conference (Orléans, May 2013 - 3 papers, 1 discussion).
• XIth Workshop on Pensions, Insurance and Savings (Paris, June 2013 - 2 papers, 1 chair, 1 discussion).
• IIIrd International Conference of the FEBS (Paris, June 2013 - 2 papers, 1 discussion).
• VIth International Risk Management Conference (Copenhagen, June 2013 - 1 paper, 1 chair).
• eGDR-CNRS "Monnaie-Finance-Banque" (Poitiers, June 2013 - 1 paper).
• XXXth “Journées de Micro-économie Appliquée” (Nice, June 2013 - 3 papers).
• Vth International Conference of IFABS (Nottingham, June 2013 - 1 paper).
• LXIIth Annual Congress of AFSE (Aix-en-Provence, July 2013 - 2 papers).
• LXVIIth European Meeting of the Econometric Society (Gothenburg, August 2013 - 1 paper).
• XIIth International Conference on Credit Risk Evaluation (Venice, September 2013 - 1 paper).
• XIIth Advances in Financial Econometrics Conference, University of Paris-10 (Paris, Dec. 2013 - 3 papers, 1 discussion).
• VIIth Financial Risk International Forum (Paris, March 2014 – 1 paper).
• "Atelier risque systémique et politiques macro/microprudentielles" (Metz, April 2014 - 1 discussion, organization).
• International Conference on Economic and Financial Risks IRIAF-CRIEF (Niort, June 2014 - 1 paper, 1 discussion).
• XXXIth International Symposium on Money, Banking and Finance (Lyon, June 2014 - 1 paper, 1 chair).
• VIIth International Risk Management Conference (Warsaw, June 2014 - 2 papers, 1 chair).
• VIth International Conference of the Financial Engineering and Banking Society (Guildford, June 2014 - 1 paper).
• XXXIth AFFI International Conference in Finance (Aix-en-Provence, June 2014 - 1 paper).
• XXXIst “Journées de Micro-économie Appliquée” (Clermont-Ferrand, June 2014 - 1 paper, 1 discussion, 1 chair).
• eGDR-CNRS "Monnaie-Finance-Banque" (Lyon, June 2014 - 1 paper, 1 discussion, 1 chair).
• XIIIth Advances in Financial Econometrics Conference, University of Paris-10 (Paris, Dec. 2014 - 5 papers, 1 discussion).
• Ist World Conference in Risk Banking and Finance, University of Tokyo (Tokyo, January 2015 - 2 papers, 1 chair).
• LEDa Paris-Dauphine Seminar (Paris, January 2015 - 1 paper).
• VIIth Hedge Funds Research Conference (Paris, January 2015 - 1 paper).
• Workshop “Measure, Detection and Implication of Financial Risks” (Orléans, March 2015 - 1 paper).
• VIIIth Financial Risk International Forum (Paris, March 2015 – 1 paper).
• International ESANN Conference (Bruges, April 2015 - 1 paper).
• XXXIInd “Journées de Micro-économie Appliquée” (Montpellier, June 2015 - 1 paper).
• VIIth International Conference of IFABS (Hangzhou, China, June 2015 - 1 paper, 1chair).
• 2015 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics (Helsinki, September 2015 - 1 paper).
• Quantitative Finance Workshop at EM Lyon (Lyon, November 2015 - 1 paper).
• 2015 MIT CRSA Meeting on Systemic Risk (Cambridge, USA, December 2015 - 1 paper).
• XLIXh Hawaii International Conference on System Sciences (Hawaii, January 2016 - 1 paper).

PUBLICATIONS

ACADEMIC ARTICLES (6)

‑ Caporin, Massimiliano, Costola, Michele, , Jannin, Gregory, , Maillet, Bertrand. 2018. “On the (Ab)use of Omega?”.Journal of Empirical Finance, 46: 11-33 p.

‑ Kouontchou, Patrick, Maillet, Bertrand, , Modesto, Alejandro, , Tokpavi, Sessi. 2018. Quand l’union fait la force: un indice de risque systémique.Revue Economique, FORTH

‑ Kouontchou, Patrick, Maillet, Bertrand, , Modesto, Alejandro, , Tokpavi, Sessi. 2017. Quand l’union fait la force: un indice de risque systémique.Revue Economique, 68 (HS1): 87-106 p.

‑ Garibal, Jean-Charles, Kouontchou, Patrick, , Maillet, Bertrand. 2017. Du MEDAF avec risque systémique à la détermination des Institutions Financières d'Importance Systémique.Revue Economique, FORTH

‑ Bernard, Philippe, El Mekkaoui de Freitas, Najat, , Maillet, Bertrand, , Modesto, Alejandro. 2016. D’un indice de détection d’anomalies à l’usage des investisseurs.Revue économique, 67 (5): 1037-1056 p.

‑ Boucher, Christophe, Kouontchou, Patrick, , Maillet, Bertrand. 2016. Du risque des mesures de risque systémique.Revue Economique, 67 (2): 263-278 p.

BOOK CHAPTERS (1)

‑ Malevergne, Yannick, SORNETTE, Didier. 2006. Multi-moment Method for Portfolio Management: Generalised Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets ., Multi-moment Asset Allocation and Pricing Models. : Wiley, 165-193 P.