The Institute's faculty is a diversified international team of professors and researchers who are primarily dedicated to publishing cutting-edge research in top finance journals, but they also engage in high-level education in finance as well as in knowledge transfer activities such as conferences, seminars, and public debates on a broad range of finance topics.
Research video series
Sovereign debt sustainability in advanced economies
In this video, Professor Jean-Charles Rochet presents his research on sovereign debt aimed at answering the following question: what is the maximum debt-to-GDP ratio that is sustainable by a government?
10 June 2021
Orłowski, P., Schneider, P. & Trojani, F. (2022). On the Nature of (Jump) Skewness Risk Premia. Management Science.
Chaieb, I., Langlois, H., & Scaillet, O. (2021). Factors and risk premia in individual international stock returns. Journal of Financial Economics, 141(2), 669–692.
Cziraki, P., Lyandres, E., & Michaely, R. (2021). What do insiders know? Evidence from insider trading around share repurchases and SEOs. Journal of Corporate Finance, 66.
Michaely, R., Rossi, S., & Weber, M. (2021). Signaling Safety. Journal of Financial Economics, 139(2), 405–427.
Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (2020). Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps. Journal of Financial and Quantitative Analysis, 55(1), 331–356.
Hau, H., Huang Y., & Wang, G. (2020). Firm response to competitive shocks: Evidence from China’s minimum wage policy. The Review of Economic Studies, 87(6), 2639–2671.
Magill, M., Quinzii, M., & Rochet, J.-C. (2020). The safe asset, banking equilibrium, and optimal central bank monetary, prudential and balance-sheet policies. Journal of Monetary Economics, 112, 113–128.
Scaillet, O., Baulescu-Radu, D., Hurlin, C., & Leymarie, J. (2020). Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. Management Science, 67(9), 5730–5754.
> For a complete list, please visit our Knowledge & Publications page.
Recent Ph.D. Theses
Real Estate Investments, Macroeconomic Risk Factors and Portfolio Implications (Delfim, J.-C. 2021)
Three Essays on Chinese Banking and Corporate Finance (Zhang, Z. 2020)
Essays on bank capital structure (Hrasko, G. 2019)
Dynamic stochastic general equilibrium models with heterogeneous agents: theory, computation and application (Pröhl, E. 2018)
Essays in Asset Pricing (Pederzolli, P. 2018)
Three essays on behavioural finance (Hemmens, C. 2017)
> Click here for more information on the Ph.D. in Finance program.