CHIBANE
CHIBANE Messaoud
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 Review of Economics and Finance, Applied Economics, Economic Modeling et European Journal of Finance.
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
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
10.1002/wilm.10168
DUMOUX, K., M. CHIBANE, S. BENHENDA, AND AL - "Groupe de réflexion K2 - Les enjeux du Big Data" - 2022
CHIBANE, M., F. BEN ABDELAZIZ, S. ATTAOUI, "How naive is naive diversification?" Finance Research Seminar - Neoma. 2023, Paris, France
OUZAN, S., M. CHIBANE, "Value Bubbles" Finance Seminar - Neoma Business School. 2018, Paris, France
CHIBANE, M., N. JANSON, "Is Bitcoin The Best Safe Haven Agaist Geopolitical Risk?" dans Surfin’ Bitcoin, 2024, Biarritz, France
CHIBANE, M., P. PONCET, A. LIOUI, "Asset Pricing With Heterogeneous Disaster Beliefs" dans Asset Pricing Breakfast, 2023, Paris, France
CHIBANE, M., "The Impact of Big Data on Capital Markets, Asset Management and Investment Banking" dans Conference K2, 2023, Paris, France
CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle ?" dans FEBA - Financial Engineering and Banking Society, 2021, Lille, France
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
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
CHIBANE, M. - "Gestion d’actifs : Homa Capital fait le pari du bien-être au travail comme critère de performance -citation- La Tribune" - 2022
CHIBANE, M., N. JANSON, "Is Bitcoin the Best Safe Haven Against Geopolitical Risk ?", Finance Research Letters, Mars 2025, vol. 74, pp. 106543DOI : 10.1016/j.frl.2024.106543
CHIBANE, M., P. PONCET, "Housing rare disaster events and asset prices", Economic Modelling, Juin 2025, vol. 147DOI : 10.1016/j.econmod.2025.107070
CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, Juillet 2024, vol. 65, pp. 105542DOI : 10.1016/j.frl.2024.105542
CHIBANE, M., A. GABRIEL, G. GIMENEZ ROCHE, "The impact of bank money on stock market integration: evidence from the Eurozone", The European Journal of Finance, Décembre 2024, vol. 30, no. 18, pp. 2137-2156DOI : 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. 105881DOI : 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. 101917DOI : 10.1016/j.qref.2024.101917
CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, Février 2023, vol. 55, pp. 603-616DOI : 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. 2620-2639DOI : 10.1111/itor.13203
CHIBANE, M., F. BEN ABDELAZIZ, "Portfolio optimization in the presence of tail correlation", Economic Modelling, Mai 2023, vol. 122DOI : 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. BDOI : https://doi.org/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. 270-279DOI : 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 2020DOI : 10.2139/ssrn.3593751
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
CHIBANE, M., H.MIAO, G.SHELDON, "Accurate Pricing of Continuous Barrier Options With Local Volatility", Wilmott, Novembre 2012, vol. 2012, no. 62, pp. 74-81DOI : 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. 25-38DOI : 10.1002/wilj.46
CHIBANE, M. - "Gestion d’actifs : Homa Capital fait le pari du bien-être au travail comme critère de performance -citation- La Tribune" - 2022