We aim to contribute significantly to the development of knowledge in the field of international financial risk management by producing both academic and applied research.
In particular, the research team works on:
- Risk and crash (extreme) risk
- Optimal hedge ratios
- Foreign exchange as an asset class
- The long-term equilibrium value of currencies
- The impact of regulations on risk management
The outputs from our research are aimed at students, professionals and researchers.
- Dupuy P, 2013, The tail risk premia of the carry trade, Working paper, AFFI Paris December meeting 2013 ; ECB 2nd Workshop on Financial Determinants of Exchange Rates, December 2012, Rome and FESB 2nd conference, June 2012, London
- Gumb B., De Beelde I. and P. Dupuy, 2013, Accounting standards and their impact on hedging decisions : the case of French corporate treasurers, Working Paper
- Desmoulins-Lebeault F. & Kharoubi-Rakotomalala, 2012, Non-Gaussian Diversification : when size matters, Journal of Banking and Finance.
- Kermiche L. & Dupuy P., 2012, Understanding foreign option returns: the information contents of volatility, Working paper.
- Dupuy P, 2011, the Carry trade : the monetary angle, Working paper, AFFI spring meeting, May 2013, Lyon, FESB 3rd conference, June 2013, Paris.
- Dupuy P., Santiso Javier, 2010, The empirical measures of growth risk , Working paper, ILB 4th Financial Risks International Forum, Paris, March 2011
- Dupuy P., Carlotti J.E., 2010, The Optimal Path of the Chinese Renmimbi, Working paper, revised version currently under review
- Dupuy P., 2009, Pure Indicator of Risk Appetite, Australian Economic Papers, 1, 18-33
Collaboration with the French association of corporate treasurers (AFTE)
- December 2013. Technical paper : How French corporations hedge the foreign exchange risk? Between June 2011 and February 2012 we met 52 Group Treasurers. Final results.
- November 2012, Further investigations on risk management. Between June 2011 and February 2012 we met 52 Group Treasurers. Preliminary results.
- November 2011, Risk management survey (140 questions – more than 200 respondents but in French only)
- November 2010, initial restitution of the survey on risk management (in French). Presented at the annual meeting of the French association of corporate treasurers (AFTE) in Paris.
Annual Conference GEM-AFTE-DFCG - Grenoble Ecole de Management
- September 2013, Pwc and CIC on cyber Fraud
- September 2012, main speaker: Xavier Langlois d'Estaintot - Group Treasurer - Alcatel-Lucent
- September 2011, main speaker : Olivier Bornecque, AFTE president, on SEPA
- June 2010 main speaker : Philippe Dupuy, foreign exchange risk management
- March 2013, Valérie Hauser (Audisoft-Oxea) and Philippe Dupuy on Money Laundering. 3-day conference on geopolitics, Grenoble
- March 2011, Ben Amida N. (Total SA), Pinaud Nicolas (OECD) and Dupuy P. (Grenoble EM) : war in the currency market (in French). 3-day conference on geopolitics, Grenoble
- October 2010, How to integrate risk appetite information to improve price momentum based strategies.
J.P. Morgan Cazenove Equity Quantitative Conference 2010, London.