About Duc Khuong Nguyen
Dr. Duc Khuong Nguyen holds a MSc and a PhD in Finance from the University of Grenoble II (France) and obtains his HDR (Habilitation for Supervising Doctoral Research) in Management Sciences in June 2009. He also completed the "Leaders in Development" program at Harvard University, John F. Kennedy School of Government, Executive Education (2013). In January 2013, he joined IPAG Business School as Professor of Finance and Deputy Director for Research. Before joining IPAG Business School, he served as Professor of Finance and Head of the Department of Finance and Information Systems at ISC Paris School of Management (2006-2012), as Assistant Professor of Finance and Grenoble Graduate Institute of Business (2005-2006), and Research and Teaching Assistant at EM Lyon Business School (2003-2005) .
Dr. Nguyen is also a Non-Resident Research Fellow at the School of Public and Environmental Affairs, Indiana University, and a Research Associate at the Department of Finance, Centre d'Economie de la Sorbonne (CES), University Paris 1 Panthéon-Sorbonne.
His principal research areas concern emerging markets finance, energy finance, volatility modeling and risk management in international capital markets. His most recent articles are forthcoming and published in refereed journals such as Energy Economics, Energy Policy, International Review of Financial Analysis, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of International Financial Markets, Institutions and Money, Journal of International Money and Finance, Journal of Macroeconomics, Macroeconomic Dynamics, Quarterly Review of Economics and Finance, Review of International Economics, and Review of Quantitative Finance and Accounting.
Dr. Nguyen is Editor of Annals of Operations Research; Senior Editor in Finance of International Journal of Emerging Markets; Subject Editor at Emerging Markets Review, Journal of International Financial Markets, Institutions and Money; Associate Editor at Finance Research Letters, International Review of Financial Analysis, Journal of Forecasting; and Area Editor at Research in International Business and Finance.
|Present||Associate Researcher at the Centre d'Economie de la Sorbonne, University of Paris 1 Panthéon-Sorbonne|
|Present||Deputy Director for Research, Ipag Business School|
|Present||Professor of Finance, Ipag Business School|
|Present||Research Fellow, School of Public and Environmental Affairs ‐ Indiana University|
International Finance, Risk Management, Energy Economics and Finance, Capital Market Integration, Asset Pricing, Portfolio Allocation and Optimization, and Commodity Markets
Honors and Awards
- Biography cited in the Marquis Who's Who in the World, 2012-present
- President of the Association of Vietnamese Scientists and Experts (France), 2011-present
- President of Vietnam Finance Association International (VFAI), 2012-2014
- Executive Secretary of Vietnam Finance Association International (VFAI), 2014-2015
- Board member of the Asian Finance Association, 2014-present
- Keynote Speaker, International Conference on Economic and Development Policy (ICEDP-2015), 23–24 October 2015, Hammamet, Tunisia
- Best Paper Award (Finance), 21st Annual Conference of the Economic Research Forum, Tunisia, March 20-22, 2015
- Best Paper Award (Finance), 19th Annual Conference of the Economic Research Forum, Kuwait, March 3-5, 2013
- International Finance
- Finance Theory
- Corporate Finance
- Financial Markets and International Banking
- Asset Pricing and Valuation
|2013 - 2013||Executive Education, Harvard University ‐ Harvard Kennedy School|
|2009 - 2009||HDR degree (Habilitation for Supervising Doctoral Research), University of Cergy Pontoise|
|2001 - 2005||PhD in Finance, University of Grenoble|
184, Boulevard Saint-Germain
Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Scenarios
European Journal of Operational Research (2017)
We propose a model for optimizing structured portfolios with liquidity-adjusted Value-at-Risk (LVaR) constraints, whereby linear correlations between assets are replaced ...
Estimating and Forecasting Portfolio’s Value-at-Risk with Wavelet-based Extreme Value ...
Journal of the Operational Research Society (2017)
This article proposes a wavelet-based extreme value theory (W-EVT) approach to estimate and forecast portfolio’s Value-at-Risk (VaR) given the stylized ...
On the time scale behavior of equity-commodity links: Implications for ...
Journal of International Financial Markets, Institutions and Money (2016)
We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based ...
Asymmetric Effects and Long Memory in Dynamic Volatility Relationships between ...
Journal of International Financial Markets, Institutions and Money (2012)
We use univariate and multivariate GARCH-type models to investigate the properties of conditional volatilities of stock returns and exchange rates, ...