Eric Bouyé, PhD
Research interests: Financial Economics, Financial Econometrics, Asset Allocation, Pension Finance, Asset Pricing
Current positions
Strategic Asset Allocation, Fonds de réserve pour les retraites (FRR), Paris, since 2009
Adjunct Professor in Finance ("Enseignant vacataire") - 2010-2011
Research Fellow, FERC, Warwick Business School (since 2005)
Papers (with refereeing)
(2009), Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets, The European Journal of Finance, Volume 15, Issue 7 & 8 October, pages 721-750. (with Mark Salmon)
(2002), Multivariate extremes at work for portfolio risk measurement, Finance, vol. 23, no2, pp. 125-144.
(2001), Correlation and Dependence in Financial Markets, Quants, january, 41. (with J. Legras, F. Longin and F. Soupé)
Working Papers
(2010), Dynamic asset allocation of pension funds, in progress
(2010), How to get the positive alpha of a fund at low cost, submitted
(2009), Portfolio Insurance: A Short Introduction, SSRN link
(2005), Why Should We Buy Options? A Graphical Presentation, SSRN link - with Jérome Ternat
(2002), Investing Dynamic Dependence Using Copulae, SSRN link - with N. Gaussel and Mark Salmon
(2001), Copulas: An Open Field for Risk Management, SSRN link - with Valdo Durrleman , Ashkan Nikeghbali , Gaël Riboulet and Thierry Roncalli
(2001), Measuring the Dependence between Non-Gaussian Financial Assets Using Copulae: Risk Management, Option Pricing and Default Risk
SSRN link - with Mark Salmon
(2000), Copulas for Finance - A Reading Guide and Some Application, March. SSRN link - with Valdo Durrleman , Ashkan Nikeghbali , Gaël Riboulet and Thierry Roncalli
Other Article(s)
(2011), Strategic dynamism, Investment and Pensions Europe, january.
Previous positions
Director, Investment Products and Strategies, Structured Asset Management, Société Générale AM Alternative Investments (2008-2009)
Director, Société Générale AM Japan Securities, Tokyo (2006-2008)
Senior Structurer, Structuring and Pricing Team, Structured Asset Management, Société Générale AM Alternative Investments (2002-2005)
Risk Manager-Financial Engineer, HSBC Asset management Europe, Paris (1999-2002)
PhD in Finance, Cass Business School, London (1999-2003), Supervisor: Mark Salmon
Previous Teaching
Financial Econometrics, Master 2, Université d'Evry, 2008-2009
Portfolio Management, Master 2, Université d'Evry, 2008-2009
Synopsis PDF File
Extreme Value Theory for Risk Management, ENSAI, 2003
Portfolio Optimization, Time Series Analysis, Financial Econometrics, Leonard de Vinci, 2003-2005
Links