Romain Deguest, PhD Accounting, Law, Finance and Economics Department Senior Research Engineer
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1 Romain Deguest, PhD Accounting, Law, Finance and Economics Department Senior Research Engineer Phone : +33 (0) romain.deguest@edhec-risk.com Romain Deguest, PhD, is Senior Research Engineer at EDHEC-Risk Institute. He holds a master s degree in Engineering and Probability from Paris 6 University, as well as a PhD in Applied Mathematics from Ecole Polytechnique in Paris and a PhD in Operations Research from Columbia University in New York. He previously worked as a researcher at Cambridge University and as a quantitative researcher on credit derivatives with HSBC in Paris. His research focuses on optimal portfolio constructions both in the equity and bond universes, and in asset allocations in dynamic environments with short-term constraints. His expertise also includes security valuations, risk management, and interest rate models. He has published in leading academic journals such as Bankers, Markets & Investors, Mathematical Finance, Statistics & Risk Modeling, SIAM Journal of Financial Mathematics, and Quantitative Finance. He has also presented at numerous seminars and conferences in Europe and North America. PROFESSIONAL EXPERIENCE 2010-Present EDHEC-Risk Institute, Nice, France Senior Research Engineer Accounting, Law, Finance and Economics Department - Implementation of smart beta equity and bond portfolios - Implementation of dynamic equity/bond strategies with long-term investment horizons and maximum drawdown constraints (Life Cycle, Liability Driven, and Risk-Control Investments) 2011-Present EDHEC-Risk Indices & Benchmarks Senior Research & Development Engineer 2005 HSBC Derivative Model Review Group, Paris Quantitative Researcher Research project on Credit Derivatives 2004 Cambridge University, United Kingdom Visiting Researcher Research project on non-linear filtering methods with L.C.G. Rogers
2 Romain Deguest,PhD, Research Engineer, EDHEC Business School EDUCATION 2010 Columbia University PhD in Operations Research 2009 Ecole Polytechnique PhD in Applied Mathematics Advisor: Rama Cont Jury: J.F. Bonnans, S. Crépey, N. El Karoui, A. Galichon, B. Jourdain, A. Schied, P. Tankov 2005 Paris 6 University MSc (DEA) in Probability and its Applications Ecole Nationale Supérieure de Techniques Avancées (ENSTA) BSc and MSc in Engineering PUBLICATIONS (with L. Martellini and V. Milhau) Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints. To appear in Bankers, Markets & Investors. (with R. Cont and X. He) Loss-based risk measures. Statistics & Risk Modeling 2013, Volume 30, Issue 2, Pages (with R. Cont) Equity correlations implied by index options: estimation and model uncertainty analysis. Mathematical Finance 2013, Volume 23, Issue 3, Pages (with R. Cont and Y.H. Kan) Default intensities implied by CDO spreads: inversion formula and model calibration. SIAM Journal on Financial Mathematics 2010, Volume 1, Pages (with R. Cont and G. Scandolo) Robustness and sensitivity analysis of risk measurement procedures. Quantitative Finance 2010, Volume 10 Issue 6, Pages (with P.A. Coquelin and R. Munos) Sensitivity analysis in HMMs with application to likelihood maximization. Advances in Neural Information Processing Systems (NIPS) (with P.A. Coquelin and R. Munos) Particle Filter-based Policy Gradient in POMDPs. Advances in Neural Information Processing Systems (NIPS)
3 WORKING PAPERS Romain Deguest,PhD, Research Engineer, EDHEC Business School (with L. Martellini) Multi Smart Beta Risk Allocation. Reconcilling Risk Allocation and Smart Factor Indices. Working Paper (with F. Fabozzi, L. Martellini and V. Milhau) Sovereign bond portfolio optimization with duration constraints. (with L. A. Meucci and A. Santangelo) Measuring portfolio diversification based on optimized uncorrelated factors. (with L. Martellini and A. Meucci) Risk parity and beyond From asset allocation to risk allocation decisions. (with N. Amenc and L. Martellini) Dynamic equity allocation for insurance companies in the presence of Solvency II constraints. (with L. Martellini and V. Milhau) From fund separation theorems to fund interaction theorems. (with N. Amenc, L. Martellini and V. Milhau) Long-term investing strategies in private wealth management. (with L. Martellini and V. Milhau) Long-term investing for individual investors - measuring the welfare costs of mass customization constraints. (with P.A. Coquelin and R. Munos) Numerical methods for sensitivity analysis of Feynman-Kac models. CMAP - Preprint , Ecole Polytechnique. INVITED LECTURES AND SEMINARS Oct 2013 Jun 2012 Feb 2012 EDHEC-Risk Days North America 2013 New York (USA) How to measure and report the portfolio exposure to uncorrelated factors 2 nd International FEBS Conference London (UK) Dynamic equity allocation for insurance companies in the presence of Solvency II constraints Workshop, Nordic Asset Allocation Conference Stockholm (Sweden) Dynamic equity risk management in the context of Solvency II 3
4 Romain Deguest,PhD, Research Engineer, EDHEC Business School Jan 2012 Sep 2011 Jan 2011 Seminar, European Institute of Financial Regulations Paris (France) Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints Managing Insurance Assets Under Solvency II London (UK) Solvency II benchmarks: How to introduce dynamic equity risk management in the context of Solvency II Modeling and Managing Financial Risks Paris (France) Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis Jan 2010 Seminar Series, Laboratoire de Probabilités et Modèles Aléatoires, Paris 6 University Paris (France) Oct 2009 Oct 2009 Mar 2009 Mar 2009 Nov 2008 Oct 2008 May 2008 July 2007 INFORMS Annual Meeting - San Diego (CA, USA) Implied Correlation from Index Options: Estimation and Model Uncertainty Analysis PhD Seminar, Business School, Columbia University - New York (USA) Implied Correlation from Index Options: Estimation and Model Uncertainty Analysis PhD Seminar Series, Department of Statistics, Columbia University - New York (USA) A closed-form formula for the local intensity and its application to calibration 2 nd International Financial Research Forum: Risk Management and Financial Crisis - Paris Extracting Implied Correlation from Index Options: A Statistical Approach SIAM Conference on Financial Mathematics and Engineering - New- Brunswick (NJ, USA) A probabilistic approach to inverse problems in option pricing INFORMS Annual Meeting - Washington D.C. (USA) New Directions in Quantitative Finance - Paris (France) Applied Probability Society of INFORMS - Eindhoven (The Netherlands) 4
5 TEACHING EXPERIENCE Romain Deguest,PhD, Research Engineer, EDHEC Business School Teaching at EDHEC Business School Spring 2014 Investing in Smart Betas (Master) Fall Quantitative Methods in Finance (Master) Spring Market Risks Analysis (Master) Fall Quantitative Methods in Finance (Master) Spring Market Risks Analysis (Master) Fall Quantitative Methods in Finance (Master) Spring Market Risks Analysis (Master) Teaching Assistant/Course Manager at Columbia University: Summer Continuous Time Models in Financial Engineering (Master) Spring Term Structure Models (Master) Fall Continuous Time Models in Financial Engineering (Master) Summer Stochastic Models (Master) Spring Simulation (Master) Fall Continuous Time Models in Financial Engineering (Master) Summer Stochastic Models (Master) Spring Inverse Problems in Financial Modeling (PhD) Fall Continuous Time Models in Financial Engineering (Master) Spring Credit Derivatives (Master) Supervision of Research Projects at Ecole Polytechnique: Fall Interest Rates and Credit Derivatives (Undergrad) AWARDS AND HONORS Honorable Mention in the Best Presentation Competition at INFORMS 2008, Financial Services Section 2nd place in the Best Student Research Paper Competition at INFORMS 2009, Financial Services Section LANGUAGES French (native) English (fluent) Spanish and German (basic). PROGRAMMING SKILLS Matlab/Scilab, C/C++ 5
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