Ph.D. in Finance (1998), M.Sc. in Banking and Finance (1994) and B.Sc. in Economics (1993) at H.E.C. University of Lausanne.
Computer Engineer Degree (1989) at the Swiss Federal Institute of Technology.
French scientific baccalaureate (1983) at Lycée Victor Duruy (Paris).
Professional Experience
2004-Present:Chief Executive Officer / Chief Investment Officer, Kedge Capital Fund Management Ltd.
2002-2004:Member of Senior Management, Union Bancaire Privée. Head of Quantitative Analysis and Risk Management for alternative assets.
2000-2001:Member of Management, Union Bancaire Privée.Head of Quantitative Risk Management for all trading activities.
1999-2000: Director, UBS AG, Private Banking Division (Basel) and Global Asset Management (Zurich, London). Participated in the acquisition process of GAM by UBS and developed quantitative models for hedge fund analysis and performance measurement.
1999:Head of Quantitative Risk Management, Union Bancaire Privée. In charge of value at risk development and trading/hedging models validation.
1995-1998: Consulting work and executive training for various banks, industrial firms and pension funds in Geneva, Lausanne, Lugano, Zurich, and London.
1991-1995:Computer Engineer at Energie Ouest Suisse. Involved with the development and implementation of CASE tools (C++, Pascal), various databases (SQL), and accounting packages.
Academic Experience
2002-Actual:Associate Professor of Finance at EDHECBusinessSchool (www.edhec.com).
Courses taught: Alternative Investments
2006-Actual: Visiting Associate Professor of Finance, Hong Kong University of Science and Technology (www.ust.hk).
Course taught: Hedge Funds
2001-2009: Visiting Professor of Finance at H.E.C. Lausanne (www.hec.unil.ch).
Courses taught: Risk Management, Alternative Investments
1998-2004:Assistant Professor of Finance at Thunderbird, The American Graduate School of International Management (www.thunderbird.edu).
Courses taught: Introduction to Managerial Finance, Advanced Managerial Finance, Investment Banking, International Securities Investment, Derivatives and Financial Engineering.
1989-1991:Mathematics teacher at Institut Valcreuse (Lausanne).
Executive Education Experience
Since 1994, delivered numerous executive education courses in finance at the TrainingCenter for Investment Professional (AZEK-CFPI, www.azekcfpi.ch), the Swiss Finance Institute (www.sfi.ch), the Centro di Studi Bancari (www.csbancari.ch), as well as for numerous banks, pension funds and sovereign wealth funds.
Awards and Fellowships
Fame Research Fellow (2002)
Deloitte & Touch Chair on Risk Management, University of Antwerp, Belgium (2001)
H.E.C.University of Lausanne annual research prize (1995)
Investmentstiftung für Personalvorsorge (Zurich) annual research prize (1994)
Professional memberships
French Finance Association (AFFI), American Finance Association (AFA), International Association of Financial Engineers (IAFE).
Regular presenter or keynote speaker in academic and industry conferences.
Former member of the Scientific Committee of the Autorité des Marchés Financiers, the French financial markets regulatory body.
Member of the European Advisory Board of the International Association of Financial Engineers (IAFE).
Member of the AIMA Investor Steering Committee.
Editorial activities
Occasional referee for the Journal of Empirical Finance, the Journal of Risk, the European Journal of Finance, Finanzmarkt und Portfolio Management, Thunderbird International Business Review, International Journal of Theoretical and Applied Finance, and Finance.
Books
Hedge Funds: Myths and Limits, March 2002 at John Wiley & Sons, London, ISBN 0-470-84477-9, 280 pages.
Doing Business in Emerging Europe, March 2003 at Palgrave Macmillan, ISBN: 0-333-99301-2 (co-authored with Y. Zoubir), 240 pages.
Hedge Funds: Quantitative Insights, June 2004, at John Wiley & Sons, London, ISBN 0-470-85667X, 384 pages.
La gestion alternative, June 2004, at Editions Dunod, Paris, ISBN 2100081586, 302 pages.
Commodity Trading Advisors: Risk, Performance Analysis, and Selection,September 2004 at John Wiley & Sons, London, ISBN: 0-471-68194-6 (co-edited with G. Gregoriou, V. Karavas and F. Rouah).
Hedge Funds: Mitos y límites. Fondos de inversión especulativos de alto riesgo, May 2006, at Ediciones Gestión 2000, Barcelona, ISBN 8496426963, 407 pages (in Spanish)
Hedge Funds, May 2006, at Kais System, Seoul, ISBN 8995238275, 282 pages (in Korean)
The Handbook of Hedge Funds, December 2006, at John Wiley and Sons, London, ISBN: 0-470-02663-4, 640 pages
Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing, January 2008 at John Wiley and Sons, ISBN: 978-0470181690 (co-edited with G. Gregoriou), 528 pages.
Hedge Funds: Origines, Stratégies, Performances, May 2008 at Editions Dunod, Paris, ISBN: 978-2100513437, 391 pages
CAIA Level II: Advanced Core Topics In Alternative Investments, November 2009, John Wiley and Sons (co-authored), ISBN: 978-0-470-69426-8, 480 pages
Global Asset Management, forthcoming 2012, at John Wiley and Sons, London. (co-authored with D. Mirlesse), 288 pages
Europe’s hedge fund industry: an overview, to appear in the Research Handbook on Hedge Funds, Private Equity and Alternative Investments, Phoebius Athanassiou (ed), Chapter 3, (co-authored with A. Hankova)
New Regulatory Developments for Short Selling in Asia: a Review, in The Handbook of Short Selling, G. Gregoriou (ed), Elsevier, pp. 303-314 (co-authored with J. Daniel).
Reflections on short selling regulations in Western and Eastern Europe, in The Handbook of Short Selling, G. Gregoriou (ed), Elsevier, pp. 181-198 (co-authored with J. Daniel).
Is Greed still good, The Journal of Wealth Management, Vol. 14, No.2, 2009, pp. 42-48. (co-authored with G. Gregoriou)
2010
Survival of exchange listed hedge funds, Journal of Applied Research in Accounting and Finance, Vol. 4, No. 2, pp. 12-19 (co-authored with G. Gregoriou and F. Rouah)
Solving the banking crisis: a private capital solution, in The Banking Crisis Handbook, G. Gregoriou (ed), pp. 203-217, CRC Press.
Modeling the Term Structure of Interest Rates: a Survey, Foundations and Trends in Finance, vol. 5, no 1-2, pp. 1-156(co-authored with R. Gibson and D. Talay).
2009
Madoff: A Riot of Red Flags, The Journal of Wealth Management, Vol. 12, No.1, 2009, pp. 89-98. (co-authored with G. Gregoriou)
Hedge Funds: A View from the Buy Side, CFA Institute Conference Proceedings Quarterly, June, pp. 45-55
Regulating private financial institutions: how to kill the goose that laid the golden eggs, Journal of Financial Transformation, vol. 27, pp. 49-52.
2008
Merger Arbitrage: an introduction, in Mergers and Acquisitions: Current Trends, G. Gregoriou and K.L. Neuhauser (eds), pp. 118-138, Palgrave McMillan (co-authored with Greg Gregoriou)
Commodity Trading Strategies: examples of trading rules and signals from the CTA sector, in The Handbook of Commodity Investing, F. Fabozzi, R. Füss, D. Kaiser, (eds), pp. 391-405, John Wiley and Sons.
Hedge fund indices for European retail investors: an oxymoron, The Journal of Financial Transformation, vol. 23, pp. 145-153.
2007
·Hedge fund indices for retail investors: UCITs eligible or not eligible?, Derivatives Uses, Trading and Regulation, 12, pp. 275-289.
·Model misspecification analysis for bond options and markovian hedging strategies, Review of Derivatives Research, vol. 9 (2), pp. 109-186 (co-authored with M. Bossy, R. Gibson, N. Pistre and D. Talay).
·Delegated portfolio management: are hedge fund fees too high?, Journal of Derivatives and Hedge Funds, 13, pp. 220-232.
·Managing illiquidity: a hedge fund perspective, in Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing, F.S. Lhabitant, G. Gregoriou (eds), pp. 407-416.
2006
·Absolute Returns in Wealth Management: Implementing Risk Controlled Strategies, The Journal of Financial Transformation, vol. 16, pp. 111-121 (co-authored with D. Mirlesse and M. Chardon).
·Funds of Funds of Hedge Funds: Welcome to Diworsification, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, G. Gregoriou (ed), pp. 135-144, Elsevier (co-authored with N. Laporte)
·Gebührenstrukturen traditioneller und alternativer Asset-Management-Dienstleistungen, in Handbuch Alternative Investments, D. Kaiser (ed), Gabler Verlag, pp. 57-71.
·Anwendungsmöglichkeiten der Extremwerttheorie bei Hedgefonds, in Handbuch Alternative Investments, D. Kaiser (ed), Gabler Verlag, pp. 485-504.
·Model Risk and Financial Derivatives, in Advances in Risk and Portfolio Management, G. Gregoriou (ed), Elsevier, pp 191-211.
·Return Attribution for Portfolios of Hedge Funds, in Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G. Gregoriou, D. Kaiser (eds), Risk Books, pp. 125-144.
·Hedge fund indices and passive alpha: A buy-side perspective, in Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G. Gregoriou, D. Kaiser (eds), Risk Books, pp. 31-48.
·Hedge Funds: From Diversification to Diworsification, in Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G. Gregoriou, D. Kaiser (eds), Risk Books, pp.323-342.
·Les indices de hedge funds doivent-ils être éligibles ou non aux fonds grand public?, Les Cahiers Scientifiques de l’Autorité des Marchés Financiers, nº 2, September.
2005
·Pricing traditional versus alternative asset management services,The Journal of Financial Transformation, vol. 13, pp.12-16
·Hedge Funds Diversification, in Handbuch Hedge Funds, H. Dichtl, J.M. Kleeberg, Ch. Schlenger (eds), Uhlenbruch Verlag, Bad Soden, pp. 197-211.
·La gestion alternative: les vertus de la dissidence, La Revue d’Economie Financière, vol. 79, pp. 137-152
2004
·Finding the Sweet Spot of Hedge Fund Diversification, The Journal of Financial Transformation, vol. 10, pp. 31-39 (co-authored with M. Learned).
·Hedge funds: a look beyond the sample, in Hedge Funds: Strategies, Risk Assessment, and Returns, G. Gregoriou, V. Karavas, F. Rouah (eds), Beard Books.
·Hedge fund diversification: not a free lunch, in Hedge Funds: Strategies, Risk Assessment, and Returns, G. Gregoriou, V. Karavas, F. Rouah (eds) , Beard Books.
·The future is bright, the future is hedge funds, Thunderbird International Business Review, vol. 46 (1), pp. 1-11.
·Evaluating hedge fund investments: the role of pure style indices, in Intelligent Hedge Fund Investing, Successfully Avoiding Pitfalls through Better Risk Evaluation, B. Schachter (ed), Risk Books.
·Time Diversification: The Case of Managed Futures, in Commodity Trading Advisors: Risk, Performance Analysis, and Selection, , G. Gregoriou, V. Karavas and F. Rouah (eds), John Wiley & Sons.
2003
·Financial Intermediation in the 21st Century, Thunderbird International Business Review, vol. 45 (5), pp. 637-642.
·Hedge fund diversification: how much is enough?, The Journal of Alternative Investments, Winter, vol. 5 (3), pp. 23-49 (co-authored with M. Learned).
·Investir dans les hedge funds: un regard quantitatif dans la boîte noire, Banque & Marchés, 63, pp. 40-47.
·Doing business in Switzerland, Thunderbird International Business Review, vol. 45 (6), pp. 757-778
·Doing business in Latvia, Thunderbird International Business Review, vol. 45 (1), pp. 51-70, (co-authored with S. Novikova).
2002
·Anatomie einer long/short transaction, in Die hedge funds verstehen, Coninco (ed), pp. 223-226
·Risk management with style, European Investment Review, vol. 1, pp. 65-71
·Assessing the risk of hedge funds, in Financial Risk and Financial Risk Management, Th. Ferguson (ed), pp. 417-449.
·Financial constraints and investment: the Swiss case, Swiss Journal of Economics and Statistics, vol. 138 (1), pp. 137-163 (co-authored with O.Tinguely).
2001
·On Swiss timing and selectivity: in the quest of alpha, Finanzmarkt und Portfolio Management, vol. 15 (2), pp. 154-172.
·Assessing market risk for hedge funds and hedge funds portfolios, the Journal of Risk Finance, Spring, pp. 1-17.
·Hedge funds investing: A quantitative look inside the black box, the Journal of Financial Transformation, vol. 1(1), pp. 82-90, CAPCO.
·Financial risk management: an introduction, Thunderbird International Business Review, vol. 43 (3), pp. 343-363, (co-authored with O. Tinguely).
·Pricing and hedging discount bond options in the presence of model risk, European Finance Review, vol. 4(1), pp. 69-90 (co-authored with C. Martini and A. Reghai).
·A New Light on European Business, Thunderbird International Business Review, 43 (6), pp.837-840.
·A New Bible for Risk Management, Thunderbird International Business Review, 43 (5), pp. 699-704.
·Not Just Another Financial Derivatives Book, Thunderbird International Business Review, vol. 43 (2), pp. 315-319.
2000
·Volatility model risk measurement and strategies against worst case volatilities, Journal of the French Statistics Society, vol. 141 (1-2), pp. 73-86, (co-authored with Risklab).
·Derivatives in portfolio management, Derivatives Quarterly, vol. 7 (2), pp. 37-46.
·Doing business in Ukraine, Thunderbird International Business Review, vol. 42 (5), pp. 571-597, (co-authored with T. Novikova).
·A comment on pricing dynamic investment fund protection, North-American Actuarial Journal, April.
·Coping with model risk, in The professional’s handbook of financial risk management, M. Lore, L. Borodovsky (eds), Butterworth-Heinemann.
1999
·The future of Swiss-style asset management: a look in the crystal ball, Thunderbird International Business Review, vol. 41(3), pp. 323-335.
·On the performance of option strategies in Switzerland, Finanzmarkt und Portfolio Management, n° 3, pp. 318-338.
·Interest rate model risk: an overview, Journal of Risk, vol. 1 (3), pp. 37-62, (co-authored with R.Gibson, D.Talay, N.Pistre).
·Interest rate model risk, in Asset & Liability Management: a synthesis of new methodologies, RISK Books, London, 1999(co-authored with R.Gibson, D.Talay, N.Pistre).
·Time at risk: toward a banking Titanic, Thunderbird International Business Review, vol. 41 (2), pp. 133-152.
·Getting Started in Security Analysis, Financial Counseling and Planning, vol. 10(2), 1999, pp. 81-82
·Hot Sector Investing, Financial Counseling and Planning, vol. 10(2), 1999, pp. 79-80
1998
·Portfolio management and model performance evaluation with contingent claims, Ph.D. thesis, University of Lausanne, 1998
·Enhancing portfolio performance using options strategies: why beating the market is easy, in European Research Symposium Proceedings, Chicago Board of Trade (ed), pp. 149-213.
·Portfolio management in the 20th century: an overview, Finanzmarkt und Portfolio Management,n° 4, pp. 497-509.
1995
·Mutual fund performance, Finanzmarkt und Portfolio Management, n° 3, pp. 330-351.
