Grégory Guilmin

  • 70 Citations
  • 2 h-Index
20142016
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Profil personnel

Présentation

I am a Ph.D. student in Finance at the University of Namur under the Chair Ageas.

My research project tackles different projects related to portfolio optimization (personal project in which I empirically study the performance of risk-based strategies with timing criteria),and financial risk management (and more specifically, I look at systemic risk and contagion in my two first papers written with my supervisors).

I hold a bachelor and a Master Degree in Business Engineering from the University of Namur.

I spend much of my free time reading economic newspapers and financial books.

Domaines de compétence

 

Research topics: Portfolio Optimization, Trend Following, 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

 

Prix/Distinctions

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

 

 

Diplômes

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

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

Présentation

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

 

Domaines de compétence

 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

Prix/Distinctions

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

 

 

Diplômes

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

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

Empreinte digitale Examinez les sujets de recherche où Grégory Guilmin est actif. Ces libellés de rubriques sont le fruit de recherches menées par cette personne. Ensemble, ils forment une empreinte digitale unique.

  • 2 Profils similaires
Spillover Business & Economie
Economic policy Business & Economie
Policy uncertainty Business & Economie
Euro zone Business & Economie
Bond market Business & Economie
Sovereign bonds Business & Economie
Germany Business & Economie
Italy Business & Economie

Résultat de recherche 2014 2016

  • 70 Citations
  • 2 h-Index
  • 2 Article
  • 2 Article de travail

Economic policy uncertainty and risk spillovers in the Eurozone

Bernal Diaz, O., Gnabo, J. Y. & Guilmin, G., 1 juil. 2016, Dans : Journal of International Money and Finance. 65, p. 24-45 22 p.

Résultats de recherche: Contribution à un journal/une revueArticle

Spillover
Policy uncertainty
Euro zone
Economic policy
Bond market

Assessing the contribution of banks, insurance and other financial services to systemic risk

Bernal Diaz, O., Gnabo, J. Y. & Guilmin, G., 1 oct. 2014, Dans : Journal of Banking and Finance. 47, p. 270-287 18 p.

Résultats de recherche: Contribution à un journal/une revueArticle

Economic Policy Uncertainty and risk spillovers in the Eurozone

Guilmin, G., Bernal Diaz, O. & Gnabo, J-Y., 2014.

Résultats de recherche: Papier de travailArticle de travail

The Combination of Risk-Based Strategies and Timing Criteria

Guilmin, G., 2014.

Résultats de recherche: Papier de travailArticle de travail

Activités 2013 2014

  • 6 Participation à un atelier/workshop, un séminaire, un cours
  • 5 Participation à une conférence, un congrès

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

Grégory Guilmin (Conférencier)
9 juin 2014

Activité: Types de Participation ou d'organisation d'un événementParticipation à une conférence, un congrès

CESAM Internal Seminar

Grégory Guilmin (Conférencier)
25 mars 2014

Activité: Types de Participation ou d'organisation d'un événementParticipation à un atelier/workshop, un séminaire, un cours

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

Grégory Guilmin (Conférencier)
4 mars 2014

Activité: Types de Participation ou d'organisation d'un événementParticipation à un atelier/workshop, un séminaire, un cours

FIXS seminar UNamur-UCL

Grégory Guilmin (Conférencier)
14 mars 2014

Activité: Types de Participation ou d'organisation d'un événementParticipation à un atelier/workshop, un séminaire, un cours

12eme journee deconometrie

Grégory Guilmin (Conférencier)
11 déc. 2013

Activité: Types de Participation ou d'organisation d'un événementParticipation à une conférence, un congrès

Thèse

Impact de la fragilité du système financier sur le risque systémique: Comparaison entre les Etats-Unis et la zone euro

Auteur: Guilmin, G., juin 2012

Superviseur: Gnabo, J. (Jury)

Thèse de l'étudiant: Master typesMaster en sciences de gestion