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Cécile Kharoubi is professor in the finance department at ESCP Europe Paris campus. After graduating from Paris Dauphine and Sorbonne Universities, she obtained a Doctorate from Dauphine and ESSEC Business School in 2003. She joined ESCP Europe in September 2004 and created a financial market specialization.
Her research focuses on modelling and managing financial risks, and the hedge funds industry. She is the author of many articles on these topics.
Professor Kharoubi is conducting research on the modelling of financial market co-movements. After showing the time characteristics of the correlation coefficient variations and the limit of this dependence measure, she proposes the use of an alternative statistic tool as a measure of financial markets co-movements : the copula function.
She has applied this new methodology to several empirical applications. She first considered the international index stock markets and studied the impact of dependence structure on the risk management ("Dependence Structure and Risk Measure" (with T. Ané), Journal of Business, Vol. 76, N° 3, July 2003, p. 411-438).
In a second paper she applied her methodology to the hedge fund markets and analysed the mechanisms of diversification ("Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification" (with H. Geman), Journal of Risk, Vol. 5, N° 4, Summer 2003, p. 55-74, "Hedge Funds: A Copula Approach for Risk Management" (with H. Geman), in New Risk measures for the 21th century, Szegö, G. (ed.), Wiley, 2004, p. 302-320. - "Une analyse non linéaire des risques : le cas des hedge funds", Banque et Marchés, N° 71, juillet-août 2004, p. 18-26).
Her most recent paper presents a study of the determinants of the dependence degree evolution and gives a behavioural explanation to the skewness which characterizes the dependence structure (to be published).