Grégory Guilmin

  • 67 Citations
  • 2 h-Index
20142016
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Personal profile

Introduction

Areas of expertise

Awards

Diplomas

Introduction

I am a Ph.D. Candidate in Finance from the University of Namur in Belgium. In June 2012, I obtained a Master degree in Business Engineering (specialization in Finance) with “distinction” and I am currently completing the final year of my Ph.D. degree started in October 2012. In addition to that, I have been working in the financial risk department of an insurance company (Ageas) since October 2012.

One of my main research topics is the study of different portfolio optimization tools (e.g. minimum-variance, risk parity or 1/N strategy). I am working on the combination of these portfolio construction methods with timing criteria (such as trend following and momentum, for example) to obtain better risk-adjusted returns than traditional methods. The second key skill I have developed is risk management with the development of both qualitative and quantitative tools. More specifically, I also look at systemic risk and contagion in my two first papers written with my supervisors.

Please, find my research papers on SSRN:
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2091719

 

Areas of expertise

Research topics: Portfolio Optimization, Trend following, Momentum, Financial Markets, Financial Risk Management, Systemic Risk Assessment, Contagion, Eurozone Risk Spillovers, Economic Policy Uncertainty

 

Value-at-Risk assessment, Solvency II, counterparty default risk, government spread risk

Awards

The first research paper is a joint collaboration with Prof. Oscar Bernal and Prof. Jean-Yves Gnabo. This paper "Assessing the contribution of banks, insurance and other financial services to systemic risk" received the Best Ph.D. Student Paper Award during the INFINITI Conference (10-11 June 2013).

This paper can be found:
http://www.sciencedirect.com/science/article/pii/S0378426614001976

Diplomas

Bachelor in Business Engineering from the University of Namur (cum laude, 2010)

Master in Business Engineering from the University of Namur (cum laude, 2012)

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Research Output 2014 2016

  • 67 Citations
  • 2 h-Index
  • 2 Article
  • 2 Working paper
Spillover
Policy uncertainty
Euro zone
Economic policy
Bond market

Activities 2013 2014

  • 6 Participation in workshop, seminar, course
  • 5 Participation in conference

12th INFINITI Conference on International Finance: Global Finance − Integration or Mere Convergence

Grégory Guilmin (Speaker)
9 Jun 2014

Activity: Participating in or organising an event typesParticipation in conference

FIXS seminar UNamur-UCL

Grégory Guilmin (Speaker)
14 Mar 2014

Activity: Participating in or organising an event typesParticipation in workshop, seminar, course

Seminaire du Laboratoire d’Economie d’Orleans (LEO)

Grégory Guilmin (Speaker)
4 Mar 2014

Activity: Participating in or organising an event typesParticipation in workshop, seminar, course

CESAM Internal Seminar

Grégory Guilmin (Speaker)
25 Mar 2014

Activity: Participating in or organising an event typesParticipation in workshop, seminar, course

12eme journee deconometrie

Grégory Guilmin (Speaker)
11 Dec 2013

Activity: Participating in or organising an event typesParticipation in conference

Thesis