Professor

Hayette GATFAOUI

Hayette GATFAOUI
Associate Professor
Ph.D. in Economics - University of Paris I Panthéon-Sorbonne
Track: Finance
LEM Member
Education
  • 2010 : Habilitation à Diriger des Recherches (HDR) / Accreditation for Research and Ph.D. Supervision, University of Cergy, France
  • 2002 : Ph.D. in Economics , University of Paris I Panthéon-Sorbonne, France
  • 1998 : MSc in Money, Finance, and Banking (1 year), University of Paris I Panthéon-Sorbonne, France
  • 1996 : MSc in Statistics and Random Modeling in Economics and Finance, University of Paris VII, France
Professional Experiences
Academic Experience
  • 2017 - present, Member of the Teaching and Learning Development Committee ( TLDC), IÉSEG School of Management, , France
  • 2010 - 2013, Member of the Promotion, Career and Valuation, Rouen Business School, Rouen, France
  • 2005 - 2015, Associate Professor, Neoma Business School, Mont-Saint-Aignan, France
  • 2004 - 2004, Lecturer, Rouen Business School, Rouen, France
  • 2001 - 2003, Assistant lecturer, University of Paris I Panthéon-Sorbonne, Paris, France
  • 2000 - 2000, Researcher, CDC-IXIS CAPITAL MARKETS, Paris, France
  • 1998 - 2001, Assistant lecturer, University of Paris I Panthéon-Sorbonne, Paris, France
Professional Experience :
  • 2005 - 2006, Consultant (7 months), Groupe SMA BTP, Paris, France
  • 2000 - 2000, Consultant, ABN Amro, Paris, France
Published Papers in Refereed Journals
  • Gatfaoui H., (2017). Equity Market Information and Credit Risk Signaling: A Quantile Cointegrating Regression Approach, Economic Modelling, 64 () 48-59.
  • Gatfaoui H., (2016). Linking the gas and oil markets with the stock market: Investigating the U.S. relationship, Energy Economics, 53 () 5-16.
  • Gatfaoui H., (2015). Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas, Energy Policy, 87 () 270–283.
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  • Gatfaoui H., (2013). Translating Financial Integration Into Correlation Risk: A Weekly Reporting’s Viewpoint for the Volatility Behavior of Stock Markets, Economic Modelling, 30 () 776-791.
  • Nekhili M., Gatfaoui H., (2013). Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women's Positions on French Boards of Directors, Journal of Business Ethics, 118 (2) 227-249.
  • Gatfaoui H., (2012). A Correction for Classic Performance Measures, Chinese Business Review, 11 (1) 1-28.
  • Gatfaoui H., (2010). Investigating The Dependence Structure Between Credit Default Swap Spreads and the U.S. Financial Market, Annals of Finance, 6 (4) 511-535.
  • Gatfaoui H., (2010). Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors, Bankers, Markets & Investors (Banque & Marchés), 107 () 20-44.
  • Gatfaoui H., (2009). Is Corporate Bond Market Performance Connected with Stock Market Performance, Bankers, Markets & Investors (Banque & Marchés), 102 () 45-58.
  • Gatfaoui H., (2006). From Fault Tree to Credit Risk Assessment: An Empirical Attempt, ICFAI Journal of Risk & Insurance, 3 (1) 7-31.
  • Gatfaoui H., (2005). How Does Systematic Risk Impact US Credit Spreads? A Copula Study, Bankers, Markets & Investors (Banque & Marchés), 77 () 5-16.
  • Gatfaoui H., (2004). Default and Liquidity Risks: Studying the Two Components of Credit Spread, La Revue des Sciences de Gestion, 210 () 123-134.
  • Gatfaoui H., Radacal F., (2002). Business Cycle and Default Risk, Finance, 23 () 45-75.
  • Gatfaoui H., Chauveau T., (2002). Systematic Risk, Idiosyncratic Risk: A Useful Distinction For Valuing European Options , Journal of Multinational Financial Management, 12 (4-5) 305-321.
Books
  • Gatfaoui H., (2008) Une Histoire du Risque de Défaut, Éditions Publibook Université,, Paris.
  • Gatfaoui H., (2004) Rôle et Impact de la Volatilité dans le Pricing d'Options et de Produits Dérivés, Éditions Publibook Université,Éditions Publibook Université,, Paris., Paris.
Book Chapters
  • Gatfaoui H., Nagot I., De Peretti P., (2016), Are Critical Slowing Down Indicators Useful to Detect Financial Crises?, in: Systemic Risk Tomography – Signals, Measurement and Transmission Channels.
  • Gatfaoui H., (2015), French SMEs’ Default: Inferring Critical Thresholds from Economic and Financial Fundamentals (In French), in: Le grand livre de l'Economie PME 2015.
  • Gatfaoui H., (2012), Linking U.S. CDS Indexes with the U.S. Stock Market: A Multidimensional Analysis with Market Price and Volatility Channels, in: Risk Management for the Future - Theory and Cases.
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  • Gatfaoui H., (2010), Model Risk: Caring about stylized features of asset returns! - How does equity market influence credit default swap market?, in: The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets.
  • Gatfaoui H., (2010), Capital Asset Pricing Model, in: ENCYCLOPEDIA OF QUANTITATIVE FINANCE.
  • Gatfaoui H., (2008), Investigating The Link Between Credit Default Swap Spreads and U.S. Financial Market, in: The Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers.
  • Gatfaoui H., (2007), Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: an Implementation of Merton's Credit Risk Valuation, in: Advances in Risk Management.
  • Gatfaoui H., (2007), How Does Systematic Risk Impact Stocks? A Study on the French Financial Market, in: Asset Allocation and International Investments.
Research fields
  • Default Risk in Financial assets’ valuation, Credit risk
  • Typology of risks in Financial markets : systematic and idiosyncratic risk
  • Systemic risk and contagion
  • Liquidity effects
  • High frequency trading
  • Stochastic volatility
  • Options and Derivatives pricing
  • Performance measure of financial assets
  • Corporate finance and corporate governance
  • Multivariate dependence structures (copula functions)
  • Energy economics and finance
Teaching
Grande Ecole Program:
  • Financial markets
  • Active portfolio management
  • Introduction to derivatives
  • Portfolio management and analysis
MSc in Finance :
  • Portfolio management and analysis
Post graduate program :
  • Financial econometrics
IÉSEG