CHIBANE Messaoud
PhD, Sciences de Gestion, Finance
Finance
PhD, Sciences de Gestion, Finance
Messaoud CHIBANE est le directeur du MSc Finance & Big Data et professeur assistant en Finance. Il concentre ses recherches sur la valorisation des actifs, le lien entre macroéconomie et marchés financiers ainsi que sur la finance durable et les cryptomonnaies. Diplômé de l'Ecole Centrale Paris, il est également titulaire d'un DEA en Economie Appliquée de l'Université Paris - La Sorbonne ainsi que d'un doctorat en Finance de l'EDHEC Business School. En plus de sa carrière universitaire, Messaoud CHIBANE a travaillé pendant 18 ans sur les marchés financiers en tant qu'analyste quantitatif pour plusieurs banques d'investissement internationales et a publié dans plusieurs revues spécialisées telles que Risk Magazine et le Wilmott Journal et dans des revues internationales à comité de lecture telles que Quarterly. Revue of Economics and Finance, Applied Economics, Economic Modeling et European Journal of Finance.
Domaines de spécialisation
- Cryptomonnaies
- Choix de portefeuille
- Tarification des actifs basée sur la consommation
- Evaluation d'option exotique
- Investissement socialement responsable
Récentes contributions académiques
-
GIMENEZ ROCHE, G., M. CHIBANE, A. GABRIEL, "The impact of bank money on stock market integration: evidence from the Eurozone", The European Journal of Finance, Mai 2024
DOI : 10.1080/1351847X.2024.2355104 -
CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, Juillet 2024, vol. 65, pp. 105542
DOI : 10.1016/j.frl.2024.105542 -
CHIBANE, M., M. JOUBREL, "The ESG-Efficient Frontier Under ESG Rating Uncertainty", Finance Research Letters, Septembre 2024, vol. 67, no. B, pp. 105881
DOI : 10.1016/j.frl.2024.105881
Article
-
CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, Juillet 2024, vol. 65, pp. 105542
DOI : 10.1016/j.frl.2024.105542 -
GIMENEZ ROCHE, G., M. CHIBANE, A. GABRIEL, "The impact of bank money on stock market integration: evidence from the Eurozone", The European Journal of Finance, Mai 2024
DOI : 10.1080/1351847X.2024.2355104 -
CHIBANE, M., M. JOUBREL, "The ESG-Efficient Frontier Under ESG Rating Uncertainty", Finance Research Letters, Septembre 2024, vol. 67, no. B, pp. 105881
DOI : 10.1016/j.frl.2024.105881 -
BEN ABDELAZIZ, F., M. CHIBANE, A. KUHANATHAN, "Can corporate social performance mitigate the risk of extreme stock returns?", The Quarterly Review of Economics and Finance, Décembre 2024, vol. 98, pp. 101917
DOI : 10.1016/j.qref.2024.101917 -
CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, Février 2023, vol. 55, pp. 603-616
DOI : 10.1080/00036846.2022.2092053 -
YOUSSEF , M., B. B. NAOUA, F. BEN ABDELAZIZ, M. CHIBANE, "Portfolio selection: should investors include crypto-assets? A multiobjective approach", International Transactions in Operational Research, Septembre 2023, vol. 30, no. 5, pp. 2620-2639
DOI : 10.1111/itor.13203 -
CHIBANE, M., F. BEN ABDELAZIZ, "Portfolio optimization in the presence of tail correlation", Economic Modelling, Mai 2023, vol. 122
DOI : 10.1016/j.econmod.2023.106235 -
CHIBANE, M., K. ANO SUJITHAN, "Is The Fed Failing To Re-Anchor Expectations? An Analysis Of Jumps In Inflation Swaps", Finance Research Letters, Juillet 2023, vol. 55, no. B
DOI : 10.1016/j.frl.2023.104004 -
CHIBANE, M., A. GABRIEL, G. GIMENEZ ROCHE, "Credit booms and crisis-emergent asset comovement: The problem of latent correlation", The Quarterly Review of Economics and Finance, Août 2022, vol. 85, pp. 270-279
DOI : 10.1016/j.qref.2022.03.009 -
CHIBANE, M., A.GABRIEL, G.GIMENEZ ROCHE, "Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation", SSRN Electronic Journal, Juin 2020
DOI : 10.2139/ssrn.3593751 -
CHIBANE, M., H.MIAO, G.SHELDON, "Accurate Pricing of Continuous Barrier Options With Local Volatility", Wilmott, Novembre 2012, vol. 2012, no. 62, pp. 74-81
DOI : 10.1002/wilm.10168 -
CHIBANE, M., H.MIAO, C.XU, "Sensible Sensitivities for the SABR Model", Wilmott Journal, Février 2011, vol. 3, no. 1, pp. 25-38
DOI : 10.1002/wilj.46
Chapitre d'ouvrage
- CHIBANE, M., J.SELVARAJ, G.SHELDON, "Building Curves on a Good Basis" dans Interest Rate Modelling after the Financial Crisis., Massimo Morini and Marco Bianchetti Ed., Incisive Media Investments Limited, pp. 283-310, 2013
- CHIBANE, M., Y.-C.HUANG, J.SELVARAJ, "Taking Collateral Into Account" dans Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges., Carsten Wehn, Christian Hoppe , Greg N. Gregoriou Eds, Elsevier, pp. 13-26, 2012
Academic conferences
- CHIBANE, M., "Portfolio Choice In the Presence of Tail Correlation" dans Dasa -Decision Aid Sciences and Applications, 2022, Chengrai, Thaïlande
- CHIBANE, M., "Portfolio Choice In The Presence of Tail Correlation?" dans TSFS-Tunisian Society of Financial Studies, 2022
- SIX, P., M. CHIBANE, "Investment as a source of income" dans Inter-business-school Seminar, EM Lyon, 2022, Lyon
- JANSON, N., M.CHIBANE, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?" dans Souther Economic Association, 2019, Fort Lauderdale, FL, États-Unis
- CHIBANE, M., N.JANSON, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?," dans The International Finance and Banking Society (IFABS) Conference, 2019, Angers, France
- CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" dans International Finance and Banking Society (IFABS), 2019, Angers, France
- CHIBANE, M., "Asset Pricing with Heterogeneous Disaster Beliefs" dans Financial Engineering and Banking Society, 2019
- CHIBANE, M., S. OUZAN, "Value Bubbles" dans The International Finance and Banking Society (IFABS) Conferences, 2018, Porto, Portugal
- CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" dans French Finance Association (AFFI), 2017
Communication dans une conférence sans actes
- CHIBANE, M., "Portfolio Choice In the Presence of Tail Correlation", 2022, Chengrai, Thaïlande
- DUMOUX, K., M. CHIBANE, S. BENHENDA, AND AL - "Groupe de réflexion K2 - Les enjeux du Big Data" - 2022
- CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle ?", 2021, Lille, France
- OUZAN, S., M.CHIBANE, "Value Bubbles" Finance Seminar - Neoma Business School. 2018, Paris, France
Revues professionnelles
- CHIBANE, M., L.DIKMAN, "Hybrid Local Volatility Model with Stochastic Interest Rates", Risk Magazine, Août 2013
- CHIBANE, M., L.DIKMAN, "Quadratic Volatility Cheyette Model", Risk Magazine, Juin 2013