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Yannick Malevergne
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Yannick Malevergne
Affiliate Professor in Finance
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Education
Agrégation du Supérieur en Sciences de Gestion, 2007
Habilitation à Diriger des Recherches, 2006, Université Lyon 3
Doctorat ès Sciences, 2000-2002, Université de Nice Sophia-Antipolis
DEA et Agrégation de physique, 1996-2000, Ecole Normale Supérieure de Lyon Experiences
Current positions:
Professor of Finance, University of Saint-Etienne, Institute of Business Administration (ISEAG-IAE), France, since Sept. 2007.
Deputy-director of Coactis E.A 4161, University of Lyon, since 2009.
Part-time Affiliate Professor of Finance, EMLYON Business School, Dept. Economic, Finance & Control, France, since Sept. 2004;
Associate Researcher, ETH Zürich, Chair of Entrepreneurial Risks, Switzerland, since Jan. 2008.
Past positions:
Sept 2006 - Aug. 2007: Senior Researcher, ETH Zürich, Chair of Entrepreneurial Risks, Switzerland.
Sept 2003 - Aug. 2006: Assistant Professor of Finance, University of Lyon, ISFA Graduate School of Actuarial Science, France.
Sept 2000 - Aug. 2003: Research and teaching assistant, University of Nice Sophia-Antipolis, France. Publications & Research
Book
A. Saichev, Y. Malevergne and D. Sornette. 2009. Theory of Zipf's Law and Beyond, Lecture Notes in Economics and Mathematical Systems 632 (Springer). ISBN: 978-3-642-02945-5.
Y. Malevergne and D. Sornette. 2005. Extreme Financial Risks : From Dependence to Risk Management (Springer) – 311 p., 62 illus., ISBN: 978-3-540-27264-9.
Book reviews
Y. Malevergne (2009): “Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications” by D. Ardia (Springer), Mathematical Reviews.
Y. Malevergne (2005): “Preparing for the Worst: Incorporating Downside Risk in Stock Market” by H.D. Vinod et D.P. Reagle (Wiley), Journal of the American Statistical Association 100(472), 1459-1460.
Y. Malevergne (2004): “Why Stock Market Crash?” by D. Sornette (Princeton University Press), Finance 25(2), 49-52.
Publications in peered reviews
X. Ni, Y. Malevergne, D. Sornette and P. Woehrmann (2011): “ Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM”, Journal of Portfolio Management 37 (4), 76-85 .
J. Coulon and Y. Malevergne (2011): “ Heterogeneous expectations and long range correlation of the volatility of asset returns”, Quantitative Finance 11 (9), 1329-1356. Y. Malevergne and B. Rey, (2010): “ Preserving preference rankings under non-financial background risk” , Journal of the Operational Research Society 61, 1302-1308. Y. Malevergne and B. Rey, (2009): “ On cross-risk vulnerability” , Insurance: Mathematics and Economics 45, 224-229. Y . Malevergne, V. Pisarenko and D. Sornette, (2006): “ The modified Weibull distribution for asset returns: reply” , Quantitative Finance 6, 451. A. Chabaane, J.P. Laurent, Y. Malevergne and F. Turpin, (2006): “Alternative risk measures for alternative investments”, Journal of Risk 8(4), 1-32. Repinted in: The Value-at-Risk Reference: Key Issues in the Implementation of Market Risk, J. Danielsson, ed. (RiskBooks).
Y. Malevergne, V. Pisarenko and D. Sornette, (2006): “On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of log-returns”, Applied Financial Economics 16(3), 271-289.
Y. Malevergne, V. Pisarenko and D. Sornette, (2005): “Empirical distributions of stock returns: Exponential or power-like?”, Quantitative Finance 5, 379-401.
Y. Malevergne and D. Sornette, (2005): “Higher-moment portfolio theory: Capitalizing on behavioral anomalies of stock markets”, Journal of Portfolio Management 31(4), 49-55.
Y. Malevergne and D. Sornette, (2005): “High-order moments and cumulants of multivariate Weibull asset returns distributions: Analytical theory and empirical tests – II”, Finance Letters 3(1), special issue on “Modelling of the equity market”, F.J. Fabozzi, S.M. Focardi and P.N. Kolm, eds., 54-63.
Y. Malevergne and D. Sornette, (2004): “Multivariate Weibull distributions for asset returns – I”, Finance Letters 2(6), 16-32.
Y. Malevergne and D. Sornette, (2004): “How to account for extreme co-movements between individual stocks and the market”, Journal of Risk 6(3), 71-116. Reprinted: The Value-at-Risk Reference: Key Issues in the Implementation of Market Risk, J. Danielsson, ed. (RiskBooks).
Y. Malevergne et D. Sornette (2004): “VaR-Efficient portfolios for a class of super and sub-exponentially decaying assets return distributions”, Quantitative Finance 4, 17-36.
D. Sornette, Y. Malevergne and J.F. Muzy (2003): “What causes crashes?”, Risk 16(2), 67-71 .
Y. Malevergne and D. Sornette (2003): “ Testing the Gaussian copula hypothesis for financial assets dependence”, Quantitative Finance 3, 231-250. Y. Malevergne and D. Sornette (2002): “Minimizing extremes” , Risk 15(11), 129-132. A. Corcos, J.-P. Eckmann, A. Malaspinas, Y. Malevergne et D. Sornette (2002): “ Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos”, Quantitative Finance 2, 264-281. Reprinted in: International Finance from Macroeconomics to Econophysics, S. Da Silva, ed. (Nova Science), chapitre 17. Y. Malevergne and D. Sornette (2001): “ Multi-dimensional rational bubbles and fat tails”, Quantitative Finance 1, 533-541.
Chapters in books
Y. Malevergne and D. Sornette (2006): “Multi-moments methods for portfolio management: Generalized asset pricing model in homogenenous and heterogeneous markets”, in B. Maillet et E. Jurczenko (eds.): Multi-moment Asset Allocation and Pricing Models (Wiley & Sons), pp. 165-193. ISBN: 978-0-470-03415-6.
D. Sornette, Y. Malevergne and J.F. Muzy (2004): “Volatility fingerprints of large shocks: Endogenous versus exogenous”, in H. Takayasu (ed.): Application of Econophysics, Proceedings of the second Nikkei symposium on econophysics (Springer Verlag). ISBN 978-4-431-14028-3
Articles in Newspapers
Y. Malevergne, "Fonds souverains - Menace réelle ou manne bienvenue ?", Les acteurs de l'économie Rhone-Alpes 94, November 5 2010.
G. De Nemeskeri-Kiss and Y. Malevergne, "Regulators cannot end the herd instinct", Financial Times, December 8 2008.
Y. Malevergne and D. Sornette, "How to be moral at the edge of legality", Financial Times, March 31 2008.
J.V. Andersen, Y. Malevergne and D. Sornette (2002): “Comprendre et gérer les risques grands et extrêmes”, Revue Risques – Les Cahiers de l’Assurance 49, 105-110.
Other Publications
Y.Malevergne, V. Pisarenko and D. Sornette (2011): "Testing the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities", Physical Review E 83, 036111.
Y.Malevergne and D. Sornette (2007): "Self-consistent asset pricing models", Physica A 382, 149-171.
Y.Malevergne and D. Sornette (2003): "Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices", Physica A 331, 660-668.
D. Sornette and Y. Malevergne (2001): "From rational bubbles to crashes", Physica A 299, 40-59. Rewards
Outstanding Paper Award, 2009 Annual Meeting of the Eastern Finance Association, Washigton D.C.
Marqui's Who's Who in Finance and Business (2009)
Marqui's Who's Who in the World (2007)
Research grant on Extreme Financial Risks, University of Lyon, 2004
French Ministry of Education grant for doctoral studies (2000-2003) Languages
Courses taught
Portfolio management (M.Sc. in Management),
Risk Measures (Specialized Master of Quantitative Finance) Other information
Refereeing Activity
Referee for Emerging Markets Review, European Journal of Finance, European Journal of Operational Research, Finance, International Journal of Theoretical and Applied Finance, Journal of the American Statistical Association, Journal of Banking and Finance, Journal of Credit Risk, Journal of Risk, Journal of Statistical Planning and Inference, Quantitative Finance, Review of Economics and Statistics, Risk Magazine, Theory and Decision…
Publications
Ouvrage(s)
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Extreme Financial Risks : From Dependance to Risk Management
Yannick Malevergne et Didier Sornette
Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets. This innovative treatment offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.
Springer Editions
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