Hayette GATFAOUI

Tenured Associate Professor (& Associate Researcher at University Paris I)

Economics & Finance Department - Rouen Business School
1, rue du Maréchal Juin - BP 215
76825 Mont Saint Aignan Cedex (France)

Phone: 02 32 82 58 21(Rouen School)

Fax: 02 32 82 58 34 (Rouen School)

: hayette.gatfaoui@rouenbs.fr, gatfaoui@univ-paris1.fr

or
: h.gatfaoui@easynet.fr

EDUCATION

TEACHING

TRAININGS AND EXPERIENCES

DETAILED CV

PUBLICATIONS

COLLOQUIUMS

French version

 

Availability:

From today for applied research projects.
 

Current position and academic responsibilities:

- Elected member of the Promotion, Career and Valuation Committee at Rouen Business School since November 2010.

- Discipline coordinator for Finance courses of the MGE, Third year, at Rouen Business School since September 2010.

- Invited fellow by professor Tony Hall at the University of Technology of Sydney (UTS), from 18 July to 24 August 2007 in the Quantitative Finance Research Centre (QFRC), School of Finance and Economics, Faculty of Business.

- Associate professor, Rouen Business School (Groupe ESC Rouen) since January 2005 (Tenured since January 2007).

- Course in Financial Mathematics, in October-December 2004 , at ESC Rouen Management & Business School (Economics & International Finance Department).

- Course in Financial Asset Valuation (Cost & Capital structure, CAPM...), in May 2004 , at University Paris 1 (Economics Department).

- Invited fellow by professor Tony Hall at the University of Technology of Sydney (UTS), from 15 January to 15 April 2004 in the Quantitative Finance Research Centre (QFRC), School of Finance and Economics, Faculty of Business.

 

Thesis matter:

Valuation and Analysis of Financial Assets' Default Risk.

Ph.D. defended on the 29th November 2002 at University Paris 1.


 

Qualifications:

November 2010 : Accreditation for Ph.D. Supervision / Habilitation à Diriger des Recherches (HDR) in Economic Sciences. (University of Cergy-Pontoise, Coordinator: Professor Jean-Luc Prigent).

Mars 2004: Qualified for lectureship in Management Sciences.
Mars 2003: Qualified for lectureship in Economic Sciences.

Education:

1998: Postgraduate certificate (i.e., M.Sc.) in Money, Finance, and Banking at University of Paris I - Panthéon-Sorbonne.
1996: Postgraduate certificate (i.e., M.Sc.) in Statistics and Random Modeling for Economy and Finance at University Denis-Diderot (Paris 7- Jussieu).

Teaching:

Courses being taught in Rouen School of Management from September 2004 until now:

  1. Financial Mathematics for 1st year students, Rouen Business School.
  2. Capital Markets for 1st year students and practice students, Rouen Business School.
  3. Fixed Income for 3rd year students specializing in Finance, Rouen Business School.
  4. Quantitative Methods for 2nd year students, Rouen Business School.
  5. Options and Derivatives for 3rd year students specializing in Finance, Rouen Business School.
  6. Mathematics for Finance and Initiation to Econometrics for 3rd year students specializing in Finance, Rouen Business School.
  7. Applied Stock Management and Stock Portfolio Management for 3rd year students of the Master in International Finance, Rouen Business School.

Practical in the following courses during university years 2001 - 2003:

  1. Statistics and Data Processing for students enrolled in first year's study in Economics at University of Paris 1.

Practical in the following courses during university years 2000 - 2003:

  1. Financial Choice Theory for students enrolled in second year of high level University Economic degree combining academic coursework with work experience in industry, at University of Paris 1.
  2. Financial Instruments and Markets for students enrolled in the Money and Finance Master at University of Paris 1.

Practical in the following courses during university years 1998 - 2000:

  1. Statistics and Data Processing for students enrolled in first year's study in Economics at University of Paris 1.
  2. Micro-economy for students enrolled in first year's study in Mathematics Applied to Social Science at University of Paris 1.
  3. Introduction to Economic Theory for students enrolled in first year's study in Mathematics Applied to Social Science at University of Paris 1.

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Professional trainings and consulting activity:

Sept. 2005-March 2006: Advisor at SMA BTP (French insurance company) - Risk Management, and portfolio performance analysis.

2000: Bank ABN-AMRO France, ALCO Committee - Risk Management, 2 months.
1998: Banque de France, DGSE (International Capital Markets Department), 2 months.
1996: Caisse Autonome de Refinancement (C.A.R.) subsidiary company of the CDC, 4 months.

Detailed CV:

Click on the name of the related file to get the résumé in word:  Cveng.doc .

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Last colloquiums:

- "Eastern Finance Association Annual Meeting" (EFA), Grand Hyatt Washington, 29 April - 2 May 2009, Washington D.C. (Etats-Unis) :

« A Correction for Classic Performance Measures. », Gatfaoui H.

- Conference on Copulae and Multivariate Probability Distributions in Finance - Theory, Applications, Opportunities and Problems, Warwick Business School, 14 -15 September 2007, Warwick, UK:

« Credit Default Swap Spreads and U.S. Financial Market: Investigating Some Dependence Structure. », H. Gatfaoui.

- AFE-QASS, 4th Advanced Financial Economics Conference, 12-14 July 2007, Samos (Greece): « Are Credit Default Swap Spreads Market Driven? », Gatfaoui H.

- EFMA, 4th European Financial Management Association Annual Meeting, 27-30 June 2007, Vienna (Austria):

« Credit Risk and Market Risk: Analyzing US Credit Spreads. », H. Gatfaoui.

- CFF, Campus For Finance Conference, 10-11 January 2007, Vallendar (Germany)Spain:

« Less Can Be More!», H. Gatfaoui, Walter C., and Rodarie H.

 

- 1st European EIF Job Market in Finance and Accounting, Europlace Institute of Finance and HEC School of Management, 20 December 2006, Jouy en Josas, France:

« A Simple Two-Factor European Call Pricing. », H. Gatfaoui.

- EFMA, European Financial Management Association 2006 conference, 28 June-1 July 2006, Madrid, Spain:

« Is There A Latent Factor In Stock Returns? », H. Gatfaoui.

- AFBC, 18th Australian Finance And Banking Conference, 14-16 December 2005, Sydney (Australia): « From Fault Tree to Credit Risk Assessment: A Case Study. », Gatfaoui H.

- QMF 2005, Quantitative Methods In Finance Conference, 14-17 December 2005, Manly (Australia): « A Simple Two-Factor European Call Pricing. », Gatfaoui H

- EFMA, European Financial Management Association 2005 conference, 29 June-2 July 2005, Milan, Italy:

« From Fault Tree to Credit Risk Assessment: A Case Study. », H. Gatfaoui.

 

Coming colloquium(s):

- "Southwestern Finance Association Annual Meeting" (SWFA), Hyatt Regency Houston, 9 - 12 March 2011, Houston TX (Etats-Unis) :

« Estimating Fundamental Sharpe Ratios. » and « Translating Financial Integration into Correlation Risk: A Weekly Reporting’s Viewpoint for the Volatility Behavior of Stock Markets. », Gatfaoui H.

- AFBC -- Austral-Asian Finance and Banking Conference, UNSW, 16 -18 December 2009, Sydney, Australia:

 « Estimating Fundamental Sharpe Ratios. », Gatfaoui H.

- QMF -- Quantitative Methods in Finance Conference, UTS, 16 -19 December 2009, Sydney, Australia:

 « Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study. », Gatfaoui H.

 

Books:

- « A Story of Default Risk. », Gatfaoui H., Publibook Universities Edition (in French), Economics & Management Science, Research Collection, November 2008.

- « Volatility's Role and Impact in Options and Derivatives Pricing. », Gatfaoui H., Publibook Universities Edition (in French), Economics & Management Science, Research Collection, August 2004.

 

Book chapters:

- « Model Risk: Caring about stylized features of asset returns! - How does equity market influence credit default swap market? », H. Gatfaoui, In Greg N. Gregoriou, Hoppe Christian, Wehn Carsten Eds., Chapter 6, The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets, McGraw-Hill, U.S.A., January 2010.

- « Investigating The Link Between Credit Default Swap Spreads and U.S. Financial Market. », Gatfaoui H., In Greg N. Gregoriou and Paul U. Ali Eds., Chapter 9, The Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers, McGraw-Hill, U.S.A., August 2008, p. 183-200.

- « Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: an Implementation of Merton's Credit Risk Valuation. », Gatfaoui H., In Greg N. Gregoriou Eds., Chapter 6, Advances in Risk Management, Palgrave-MacMillan, 2007, p. 107-131.

- « How Does Systematic Risk Impact Stocks? A Study on the French Financial Market. », Gatfaoui H., In Greg N. Gregoriou Eds., Chapter 10, Asset Allocation and International Investments, Palgrave-MacMillan, 2007, p. 183-213.

 

Encyclopedia entries:

- « Capital Asset Pricing Model. », Gatfaoui H., In the ENCYCLOPEDIA OF QUANTITATIVE FINANCE edited by Rama Cont, John Wiley & Sons, Forthcoming 2009.

- « Entry ‘Liquidity (Liquid Market)’. », Gatfaoui H., In the MANAGED FUTURES volume, ENCYCLOPEDIA OF ALTERNATIVE INVESTMENTS edited by G.N. Gregoriou, 2008 Chapman Hall UK.

- « Entries ‘Bottom up investing’, ‘Performance persistence’, ‘Top down investing’. », Gatfaoui H., In the HEDGE FUNDS volume, ENCYCLOPEDIA OF ALTERNATIVE INVESTMENTS edited by G.N. Gregoriou, 2008 Chapman Hall UK.

 

Publication(s):

- « Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors. », Gatfaoui H., Bankers, Markets & Investors, 2010, nº 107, July-August, p. 20–44.

- « INVESTIGATING THE DEPENDENCE STRUCTURE BETWEEN CREDIT DEFAULT SWAP SPREADS AND THE U.S. FINANCIAL MARKET. », Gatfaoui H., Annals of Finance, 2010, Volume 6, n° 4, p. 511-535.

- « Is Corporate Bond Market Performance Connected with Stock Market Performance? », Gatfaoui H., Bankers, Markets & Investors, September-October 2009, Issue 102, p. 45-58.

- « Less Can Be More!», Gatfaoui H. and C. Walter, Journal of Money, Investment and Banking, May 2009, Issue 9, p. 59-77.

- « From Fault Tree to Credit Risk Assessment: A Case Study. », Gatfaoui H., International Research Journal of Finance and Economics, March 2008, Issue 14, p. 379-401.

- « From Fault Tree to Credit Risk Assessment: An Empirical Attempt. », Gatfaoui H., ICFAI Journal of Risk and Insurance, January 2006, vol. 3, n° 1, p. 7-31.

- «How Does Systematic Risk Impact US Credit Spreads? A Copula Study. », Gatfaoui H., Banque & Marchés, July-August 2005, n° 77, p. 5-16.

- «Risque de Défaut et Risque de Liquidité: Une Etude de Deux Composantes du Spread de Crédit », Gatfaoui H., Revue des Sciences de Gestion, November-December 2004, n° 210, p. 123-134.

- «Risk Disaggregation And Credit Risk Valuation in a Merton Framework », Gatfaoui H., Journal of Risk Finance, Spring 2003, vol. 4, n° 3, p. 27 - 42.

- « Le Cycle d'Affaires et le Risque de Défaut », Gatfaoui H. and F. Radacal, Revue Finance, Special edition: Mathematical Finance, December 2002, vol. 23, p. 45 - 75.

- « Systematic Risk, Idiosyncratic Risk: A Useful Distinction For Valuing European Options », Chauveau T. and H. Gatfaoui, Journal of Multinational Financial Management (Elsevier), October 2002, vol. 12, n° 4-5, p. 305-321.

 

 

Coming publication(s):

- « Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study. », Gatfaoui H., Forthcoming in Investment Management and Financial Innovations, 2010, vol. 7, n° 4, p. 107-119.

 

Interview(s):

- « Interview about the Financial Crisis and the link with mathematics for MathFi.com (in French). », Link to interview here, 2008.

 

Last working papers:

- «Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility. », T. Chauveau and H. Gatfaoui, Working Paper Series, 122, School of Finance and Economics, University of Technology, Sydney, April 2004.

- «Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation. », Gatfaoui H., Working Paper Series, 123, School of Finance and Economics, University of Technology, Sydney, April 2004.

 

And the following:


 

To my parents, my family and my friends:

Thank you for your encouragements and your support...
 

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