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CHIBANE Messaoud

PhD, Sciences de Gestion, Finance

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  3. CHIBANE Messaoud

Finance
PhD, Sciences de Gestion, Finance

Messaoud CHIBANE est le directeur du MSc Finance & Big Data et professeur assistant en Finance. Il enseigne la finance digitale, la finance durable, l'évaluation des produits dérivés et la finance quantitative dans le programme grandes écoles ainsi qu’en formation continue. Ses recherches portent sur l’évaluation des actifs financier et ??des produits dérivés, les marchés financiers, les crypto-monnaies, la Fintech et les méthodes numériques. Ses recherches ont été publiées dans de nombreuses revues telles que le magazine Risk et le Wilmott Journal.

 

 

Domaines de spécialisation

  • Cryptomonnaies
  • Choix de portefeuille
  • Tarification des actifs basée sur la consommation
  • Evaluation d'option exotique
  • Investissement socialement responsable

Récentes contributions académiques

  • 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

Article

  • 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?", 2022
  • SIX, P., M. CHIBANE, "investment as a source of income", 2022
  • 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

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