Formation
- 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
Expériences Professionnelles
Expérience académique :
- 2022 - 2022, Professor, Sapienza Università di Roma, Rome, Italy
- 2019 - maintenant, Master theses coach (Coaching/Advising new Adjunct supervisors and Students), IÉSEG School of Management, , France
- 2017 - maintenant, 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
Expérience en entreprise :
- 2005 - 2006, Consultant (7 months), Groupe SMA BTP, Paris, France
- 2000 - 2000, Consultant, ABN Amro, Paris, France
Articles publiés dans des revues à comité de lecture
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Gatfaoui H., (2024). On the Relationship between U.S. Crude Oil and Natural Gas for Economic Resilience Prospects, Annals of Operations Research, ? (?) 29.
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Gatfaoui H., Cerqueti R., Rotundo G., (2024). Resilience for Financial Networks under a Multivariate GARCH Model of Stock Index Returns with Multiple Regimes, Annals of Operations Research, 2024 (2024) 31.
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Gatfaoui H., De Peretti P., (2020). Testing for Non-Chaoticity Under Noisy Dynamics Using the Largest Lyapunov Exponent, Soft Computing, 24 (12) 8617–8626.
Afficher tout
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Gatfaoui H., (2019). Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures, Energy Economics, 80 (May 2019) 132-152.
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Gatfaoui H., de Peretti P., (2019). Flickering In Information Spreading Precedes Critical Transitions in Financial Markets, Scientific Reports, 9 11.
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Gatfaoui H., (2017). Equity Market Information and Credit Risk Signaling: A Quantile Cointegrating Regression Approach, Economic Modelling, 64 48-59.
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Gatfaoui H., (2016). Linking the gas and oil markets with the stock market: Investigating the U.S. relationship, Energy Economics, 53 5-16.
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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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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.
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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.
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Gatfaoui H., (2012). A Correction for Classic Performance Measures, Chinese Business Review, 11 (1) 1-28.
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Gatfaoui H., (2010). Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study, Investment Management and Financial Innovations, 7 (4) 106-118.
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Gatfaoui H., (2010). Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors, Bankers, Markets & Investors (Banque & Marchés), 107 20-44.
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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.
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Gatfaoui H., (2009). Is Corporate Bond Market Performance Connected with Stock Market Performance, Bankers, Markets & Investors (Banque & Marchés), 102 45-58.
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Gatfaoui H., (2006). From Fault Tree to Credit Risk Assessment: An Empirical Attempt, ICFAI Journal of Risk & Insurance, 3 (1) 7-31.
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Gatfaoui H., (2005). How Does Systematic Risk Impact US Credit Spreads? A Copula Study, Bankers, Markets & Investors (Banque & Marchés), 77 5-16.
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Gatfaoui H., (2004). Default and Liquidity Risks: Studying the Two Components of Credit Spread, La Revue des Sciences de Gestion, 210 123-134.
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Gatfaoui H., (2003). Risk Disaggregation And Credit Risk Valuation in a Merton Framework , Journal of Risk Finance, 4 (3) 27-42.
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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.
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Gatfaoui H., Radacal F., (2002). Business Cycle and Default Risk, Finance, 23 45-75.
Ouvrages
- 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, Paris.
Chapitres de livres
- 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.
Afficher tout
- Gatfaoui H., (2010), Capital Asset Pricing Model, in: ENCYCLOPEDIA OF QUANTITATIVE FINANCE.
- 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., (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.
Enseignement
Grande Ecole (Bachelor cycle) :
- Research & consulting tools
- Contemporary & ethical issues in finance
- Introduction to derivatives
Grande Ecole (Master cycle) :
- Finance research methodology
- Portfolio management and analysis
- Active portfolio management
MSc in Finance :
- Portfolio management and analysis
Post graduate program :
