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, February 2023, vol. 55, pp. 603-616
DOI : 10.1080/00036846.2022.2092053
CHIBANE, M., F. BEN ABDELAZIZ, "Portfolio optimization in the presence of tail correlation", Economic Modelling, May 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, 2023
DOI : 10.1016/j.frl.2023.104004

Article

CHIBANE, M., F. BEN ABDELAZIZ, "Portfolio optimization in the presence of tail correlation", Economic Modelling, May 2023, vol. 122
DOI : 10.1016/j.econmod.2023.106235
CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, February 2023, vol. 55, pp. 603-616
DOI : 10.1080/00036846.2022.2092053
CHIBANE, M., K. ANO SUJITHAN, "Is The Fed Failing To Re-Anchor Expectations? An Analysis Of Jumps In Inflation Swaps", Finance Research Letters, 2023
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, August 2022, vol. 85, pp. 270-279
DOI : 10.1016/j.qref.2022.03.009
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, August 2022
DOI : 10.1111/itor.13203
CHIBANE, M., A.GABRIEL, G.GIMENEZ ROCHE, "Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation", SSRN Electronic Journal, June 2020
DOI : 10.2139/ssrn.3593751
CHIBANE, M., H.MIAO, G.SHELDON, "Accurate Pricing of Continuous Barrier Options With Local Volatility", Wilmott, November 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, February 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" in 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" in 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 ?" in Souther Economic Association, 2019, Fort Lauderdale, FL, United States
CHIBANE, M., N.JANSON, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?," in The International Finance and Banking Society (IFABS) Conference, 2019, Angers, France
CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in International Finance and Banking Society (IFABS), 2019, Angers, France
CHIBANE, M., "Asset Pricing with Heterogeneous Disaster Beliefs" in Financial Engineering and Banking Society, 2019
CHIBANE, M., S. OUZAN, "Value Bubbles" in The International Finance and Banking Society (IFABS) Conferences, 2018, Porto, Portugal
CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in 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, August 2013
CHIBANE, M., L.DIKMAN, "Quadratic Volatility Cheyette Model", Risk Magazine, June 2013