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Prof. Dr. Virginie Terraza
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| Faculté ou Centre | Faculté de Droit, d'Économie et de Finance | ||||
| Department | Département Sciences économiques et gestion | ||||
| Adresse postale |
Campus Kirchberg, Université du Luxembourg 6, rue Richard Coudenhove-Kalergi L-1359 Luxembourg |
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| Bureau sur le campus | G 113 | ||||
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| Téléphone | (+352) 46 66 44 6674 | ||||
Research interests
Financial Econometrics, Risk Management, Market microstructure and Fund industry
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Virginie Terraza is Associate Professor at the University of Luxembourg and Associate Researcher at the University of Montpellier, in France.
She holds a PhD in Economics from Paris 2 entitled: “Modélisation de la Value at Risk, une évaluation de l’approche Riskmetrics”.
Currently, the main goal of her research is to address the challenges associated with replicating traditional financial indices and to establish proposals of new fund classifications in order to carry out the attractiveness of fund’s financial market places.
Last updated on: lundi 28 novembre 2022
Teaching
- Statistics
- Financial econometrics
- Risk management
- Portfolio theory
Ongoing PhD supervion
- M. Limam (université Montpellier I ): Modélisation de la dynamique des rentabilités des hedge funds: Dépendance, effet de persistance et problème d'illiquidité
- Rachida Hennani, university of Montpellier (2011-2015): “Modélisations Chaos Stochastiques avec changements de régimes de la VaR : une évaluation en termes de Backtesting » (Expected Decembre 2015)
Last updated on: 28 nov 2022
Education
- 2002: PhD in Economics: Modélisations de la Value at Risk : une évaluation de l′approche RISKMETRICS, with Best Distinctions, University Paris 2 (France) (Advisor: Catherine Lubochinsky)
Current position
- Associate Professor of Finance, University of Luxembourg
- Academic Director, Professional Bachelor’s degree in Management, University of Luxembourg
- Associate Researcher, LAMETA, university of Montpellier I (France)
- Co‐director CREFI‐LSF (2006‐2008)
Research Interest
Financial Econometrics, Risk Management, Market microstructure and Fund industry
Teaching
Statistics, Financial Econometrics, Risk Management, Portfolio Theory
Last updated on: 28 nov 2022
2022
The multi-scale analysis of dynamic transmission volatility of carbon prices;
in Economics Bulletin (2022)
2021
Cluster Analysis for Investment funds portfolio optimisation: A symbolic data approach;
in financial Risk Management and Modeling (2021)
2020
2019
Financial ratios analysis in determination of bank performance in the German banking sector;
in International Journal of Economics and Financial Issues (2019)
2017
Hedge Fund Return Dynamics: Long Memory and Regime Switching; ;
in International Journal of Financial Research (2017)
2016
Multiscale hedge ratio between the spot and future prices of carbon: Wavelet Based Approach;
E-print/Working paper (2016)
2015
The effect of bank size on risk ratios: implications of banks' performancein Procedia Economics and Finance (2015)
2014
Histogram valued data on Value at Risk measures: a symbolic approach for risk attribution;
in Applied Economics Letters (2014)
2013
Understanding Investment Funds- Insights from performance and risk analysis;
Book published by Palgrave (2013)
2011
On the efficiency of Risk measures for Funds of Hedge Funds; ;
in Journal of Derivatives and Hedge Funds (2011), 17(1), 63-84
A structural analysis of mutual fund performance: a comparative study for domiciliation places;
in Journal of Index Investing (2011), 1(4), 81-91
The fund Synthetic Index : An alternative benchmark for mutual funds;
in Bankers, Markets, Investors [=BMI] (2011), 114
Time series factorial models with uncertainty measures: applications to ARMA processes and financial data;
in Communications in Statistics: Theory and Methods (2011), 40(9), 1533-1544
2010
Modélisation de la Value at Risk:une évaluation du modèle RiskmetricsBook published by Editions universitaires européennes (2010)
2009
Funds Rating: the predictive power;
in Euro-Mediterranean Economics and Finance Review (2009), 4(4),
The predictive Power of Fund Ratings with a novel approach using uncertainty measures to analyzing risk;
in Decisions in Economics and Finance (2009), 32(2), 149-160
2008
Value at Risk, Outliers and Chaotic Dynamics;
in COSTANTINO, M.; LARRAN, M. (Eds.) Computational Finance and its Applications III (2008)
2007
New trading risk indexes: application of the shapley value in finance;
in Economics Bulletin (2007), 3(25), 1-7
2006
2004
Seasonal asymmetric persistence in volatility: an extension of GARCH modelsin Wessex Institute of Technology (Ed.) Computational Finance and its Applications (2004)
