Mme Rania Hentati Kaffel
Maître de conférences
Sciences économiques
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>.