CHIBANE
PhD, Management, Finance
Messaoud CHIBANE is the director of the MSc Finance & Big Data and assistant-professor in Finance. He focuses his research on asset valuation, the link between macroeconomics and financial markets as well as sustainable finance and cryptocurrencies. A graduate from Ecole Centrale Paris, he also holds a DEA in Applied Economics from the University of Paris - La Sorbonne as well as a PhD in Finance from EDHEC Business School. In addition to his academic career, Messaoud CHIBANE worked for 18 years in financial markets as a quantitative analyst for several international investment banks and has published in several practitioners’journals such as Risk Magazine and the Wilmott Journal and international peer-reviewed journals such as Quarterly Review of Economics and Finance, Applied Economics, Economic Modeling and European Journal of Finance.
CHIBANE, M., N. JANSON, "Is Bitcoin the Best Safe Haven Against Geopolitical Risk ?", Finance Research Letters, March 2025, vol. 74, pp. 106543
CHIBANE, M., P. PONCET, "Housing rare disaster events and asset prices", Economic Modelling, June 2025, vol. 147
CHIBANE, M., N. JANSON, "Is Bitcoin The Best Safe Haven Agaist Geopolitical Risk?" in Surfin’ Bitcoin, 2024, Biarritz, France
CHIBANE, M., N. JANSON, "Is Bitcoin the Best Safe Haven Against Geopolitical Risk ?", Finance Research Letters, March 2025, vol. 74, pp. 106543
CHIBANE, M., P. PONCET, "Housing rare disaster events and asset prices", Economic Modelling, June 2025, vol. 147
CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, July 2024, vol. 65, pp. 105542
CHIBANE, M., A. GABRIEL, G. GIMENEZ ROCHE, "The impact of bank money on stock market integration: evidence from the Eurozone", The European Journal of Finance, December 2024, vol. 30, no. 18, pp. 2137-2156
CHIBANE, M., M. JOUBREL, "The ESG-Efficient Frontier Under ESG Rating Uncertainty", Finance Research Letters, September 2024, vol. 67, no. B, pp. 105881
BEN ABDELAZIZ, F., M. CHIBANE, A. KUHANATHAN, "Can corporate social performance mitigate the risk of extreme stock returns?", The Quarterly Review of Economics and Finance, December 2024, vol. 98, pp. 101917
CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, February 2023, vol. 55, pp. 603-616
YOUSSEF , M., B. B. NAOUA, F. BEN ABDELAZIZ, M. CHIBANE, "Portfolio selection: should investors include crypto-assets? A multiobjective approach", International Transactions in Operational Research, September 2023, vol. 30, no. 5, pp. 2620-2639
DOI :10.1111/itor.13203
CHIBANE, M., F. BEN ABDELAZIZ, "Portfolio optimization in the presence of tail correlation", Economic Modelling, May 2023, vol. 122
CHIBANE, M., K. ANO SUJITHAN, "Is The Fed Failing To Re-Anchor Expectations? An Analysis Of Jumps In Inflation Swaps", Finance Research Letters, July 2023, vol. 55, no. B
CHIBANE, M., A. GABRIEL, G. GIMENEZ ROCHE, "Credit booms and crisis-emergent asset comovement: The problem of latent correlation", The Quarterly Review of Economics and Finance, August 2022, vol. 85, pp. 270-279
CHIBANE, M., A.GABRIEL, G.GIMENEZ ROCHE, "Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation", SSRN Electronic Journal, June 2020
DOI :10.2139/ssrn.3593751
CHIBANE, M., L.DIKMAN, "Hybrid Local Volatility Model with Stochastic Interest Rates", Risk Magazine, August 2013
CHIBANE, M., L.DIKMAN, "Quadratic Volatility Cheyette Model", Risk Magazine, June 2013
CHIBANE, M., H.MIAO, G.SHELDON, "Accurate Pricing of Continuous Barrier Options With Local Volatility", Wilmott, November 2012, vol. 2012, no. 62, pp. 74-81
DOI :10.1002/wilm.10168
CHIBANE, M., H.MIAO, C.XU, "Sensible Sensitivities for the SABR Model", Wilmott Journal, February 2011, vol. 3, no. 1, pp. 25-38
DOI :10.1002/wilj.46
CHIBANE, M. - "Gestion d’actifs : Homa Capital fait le pari du bien-être au travail comme critère de performance -citation- La Tribune" - 2022
CHIBANE, M., J.SELVARAJ, G.SHELDON, "Building Curves on a Good Basis" in Interest Rate Modelling after the Financial Crisis., Massimo Morini and Marco Bianchetti Ed., Incisive Media Investments Limited, pp. 283-310, 2013
CHIBANE, M., Y.-C.HUANG, J.SELVARAJ, "Taking Collateral Into Account" in Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges., Carsten Wehn, Christian Hoppe , Greg N. Gregoriou Eds, Elsevier, pp. 13-26, 2012
CHIBANE, M., "Portfolio Choice In the Presence of Tail Correlation" in Dasa -Decision Aid Sciences and Applications, 2022, Chengrai, Thailand
CHIBANE, M., "Portfolio Choice In The Presence of Tail Correlation?" in TSFS-Tunisian Society of Financial Studies, 2022
SIX, P., M. CHIBANE, "Investment as a source of income" in Inter-business-school Seminar, EM Lyon, 2022, Lyon
JANSON, N., M.CHIBANE, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?" in Souther Economic Association, 2019, Fort Lauderdale, FL, United States
CHIBANE, M., N.JANSON, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?," in The International Finance and Banking Society (IFABS) Conference, 2019, Angers, France
CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in International Finance and Banking Society (IFABS), 2019, Angers, France
CHIBANE, M., "Asset Pricing with Heterogeneous Disaster Beliefs" in Financial Engineering and Banking Society, 2019
CHIBANE, M., S. OUZAN, "Value Bubbles" in The International Finance and Banking Society (IFABS) Conferences, 2018, Porto, Portugal
CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in French Finance Association (AFFI), 2017
CHIBANE, M., N. JANSON, "Is Bitcoin The Best Safe Haven Agaist Geopolitical Risk?" in Surfin’ Bitcoin, 2024, Biarritz, France
CHIBANE, M., P. PONCET, A. LIOUI, "Asset Pricing With Heterogeneous Disaster Beliefs" in Asset Pricing Breakfast, 2023, Paris, France
CHIBANE, M., "The Impact of Big Data on Capital Markets, Asset Management and Investment Banking" in Conference K2, 2023, Paris, France
CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle ?" in FEBA - Financial Engineering and Banking Society, 2021, Lille, France
CHIBANE, M., F. BEN ABDELAZIZ, S. ATTAOUI, "How naive is naive diversification?" Finance Research Seminar - Neoma. 2023, Paris, France
OUZAN, S., M. CHIBANE, "Value Bubbles" Finance Seminar - Neoma Business School. 2018, Paris, France
DUMOUX, K., M. CHIBANE, S. BENHENDA, AND AL - "Groupe de réflexion K2 - Les enjeux du Big Data" - 2022