Guillaume Roussellet
Title:
Assistant Professor, Finance
Degree(s):
- Postdoctorate degree, NYU Stern School of Business (USA), under supervision of Prof. Robert F. Engle, obtained 2017
- Ph.D., Paris-Dauphine University/CREST/Banque de France (France), under supervision of Prof. Alain Monfort, obtained 2015
- M.Sc. in Economics, Paris School of Economics (France), obtained 2012
- M.Sc. in Statistics and Financial Econometrics, ENSAE (France), obtained 2012
Area(s):
Finance
Teaching areas:
- Fixed Income
Office:
555
Curriculum vitae:
Group:
Faculty
Tenured & Tenure Track
Research areas:
Asset Pricing
Mutual & Hedge Funds
Sovereign Credit Risk
Statistical Methodology
Taught previously at:
- ENSAE (France), Financial Econometrics, TA, 2013-2015
- ENSAE (France), Time Series Econometrics, TA, 2013-2015
- Paris-Sorbonne University (France), Macroeconomics 101, TA, 2011-2012
Selected publications:
- Staying At Zero with Affine Processes, Journal of Econometrics, 2017, joint with Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne
- Scenario Generation for Long Run Interest Rate Risk Assessment, Journal of Econometrics, 2017, joint with Robert F. Engle and Emil Siriwardane
- Credit and Liquidity in Interbank Rates, A Quadratic Approach, Journal of Banking and Finance, 2016, joint with Simon Dubecq, Alain Monfort and Jean-Paul Renne
- A Quadratic Kalman Filter, Journal of Econometrics, 2015, joint with Alain Monfort and Jean-Paul Renne
Current research:
- Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound, 2017
- Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion, 2017 (submitted), joint with Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne
