Mme Rania Hentati Kaffel
Maître de conférences
Sciences économiques
Intelligence Artificielle
Biographie en lien avec l'IA
Rania HENTATI KAFFEL is the programme director of the Master MOSEF Data science, since 2016. She led the Econometrics Finance Master from 2010 to 2015. Her last research topics focused on modeling risk and return with Machine, Predicting bank bankruptcy with supervised, unsupervised and reinforcement learning methods, Deep learning and predictibility asset prices
Formations menées en lien avec l'IA
Directrice Master 2 MoSEF Data Science
Projets IA
L'organisation la première édition de Sorbonne Data Challenge, Organisation de la journée " Data Value For Bank ", Organisation du séminaire
Domaines d'expertise sur l'IA
- Text and data mining
- Algorithmes
Recherche
Thèmes de recherche
-Évaluation des actifs financiers -Gestion de portefeuille (optimisation statique et dynamique) -Gestion alternative (étude des Hedge funds) -Gestion des risques -Mesures de risque, mesures de performance -Économétrie appliquée à la finance
Responsabilités scientifiques
Directrice M2 MOSEF https://formations.pantheonsorbonne.fr/fr/catalogue-des-formations/master-M/master-econometrie-statistiques-KBURDRPJ/master-parcours-modelisations-statistiques-economiques-et-financieres-mosef-formation-initiale-et-apprentissage-KBURDRT5.html
Publications
- Affes, Z and Hentati-Kaffel, R. Forecast bankruptcy using a blend of clustering and MARS model: case of US banks, Annals of Operations Research, (), 1-38. DOI 10.1007/s10479-018-2845-8, https://link.springer.com/article/10.1007/s10479-018-2845-8
- Affes, Z and Hentati-Kaffel, R. Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis, Computational Economics, , Volume (), 2017, Pages 1-46.https://link.springer.com/article/10.1007/s10614-017-9698-0?wt_mc=Internal.Event.1.SEM.ArticleAuthorOnlineFirst
- Hentati-Kaffel, R. (2016) Structured Products under Generalized Kappa Ratio, Economic Modelling, DOI information::10.1016/j.econmod.2016.03.009. http://www.sciencedirect.com/science/article/pii/S0264999316300608
- Hentati-Kaffel, R. and Prigent, J.-L. (2016). Optimal positioning in financial derivatives under mixture distributions, Economic Modelling, Volume 52, Part A, January 2016, Pages 115-124.http://www.sciencedirect.com/science/article/pii/S0264999315000383, http://www.sciencedirect.com/science/article/pii/S0264999315000383.
- Hentati-Kaffel, R. and de Peretti, P. (2015). Detecting performance persistence of hedge funds, Journal of Banking & Finance, Volume 50, January 2015, Pages 608-615, http://www.sciencedirect.com/science/article/pii/S0264999315000462
- Hentati-Kaffel, R. and de Peretti, P. (2015). Generalized runs tests to detect randomness in hedge funds returns, Economic Modelling, Volume 52, Part A, January 2016, Pages 115-124., http://www.sciencedirect.com/science/article/pii/S0378426614002660.
- Hentati, R., and Prigent, J.-L. (2011): "VaR and Omega measures for hedge funds portfolios: A copula approach", Bankers, Markets and Investors, n°110-Janv-Fév 2011.ISSN 11674946.(http://www.revue-banque.fr/bankers-markets-investors/numero-110.htm)
- Hentati, R., and Prigent, J.-L. (2011): "the maximization of financial performance measures within mixture models Statistics & Decisions International mathematical journal for stochastic methods and models. Volume 28, Issue 1, Pages 63--80, ISSN (Print) 0721-2631, DOI: 10.1524/stnd.2011.1083.
- Hentati., R, Kaffel,. A and Prigent.,JL (2010): "Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measuresV, International Journal of Business, 15(1), 2010, ISSN: 1083-4346. (http://www.craig.csufresno.edu/IJB/Volumes.htm)
- Rania Hentati, Jean-Luc Prigent. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Group Publishing Limited, pp.83-109, 2010, International Symposia in Economic Theory and Econometrics ; 20, <10.1108/S1571-0386(2010)0000020009>.