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

Financial risks management, Portfolio management, Alternative investments, Empirical Finance…

Referee for Finance, Quantitative Finance, Risk Magazine…

Ouvrage(s)

• 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