Meet our Professors: Olivier Scaillet
At GFRI, our greatest strength is our people. We put a lot of emphasis on high-quality teaching and take great pride in our world-class and award-wining faculty, who are the top researchers and leading experts in their fields. They offer a stimulating and caring environment for learning, and a firm commitment to excellence.
Here, we would like to introduce Professor Olivier Scaillet, who teaches Quantitative Risk Management and Financial Econometrics in the Geneva Master in Finance.
About Prof. Scaillet
Olivier Scaillet, Belgo-Swiss, is Managing Director of GFRI, Professor of Finance and Statistics at the University of Geneva and senior chair at the Swiss Finance Institute (SFI).
He publishes extensively in the top journals in econometrics and finance, and co-authored a book on financial econometrics. Scaillet has been one of the winners of the bi-annual award for the best paper published in the Journal of Empirical Finance on the topic of quantitative risk management and of the Banque Privée Espirito Santo award prize on the topic of mutual fund performance. Furthermore, he is an elected fellow of SoFiE (Society of Financial Econometrics) and IAAE (International Association for Applied Econometrics). He is an associate editor of several leading academic journals in econometrics, statistics, banking, and finance. He is an advisor for research teams in the finance and banking industry in Geneva, Paris, and London.
Research Interests
- Asset Pricing
- Portfolio Management
- Financial Econometrics
Education
Ph.D. in Applied Mathematics, Université Paris IX Dauphine
Master in Applied Mathematics, Université Paris IX Dauphine
Master in Statistics, Université Libre de Bruxelles
Bachelor and Master in Business Engineering, Université Libre de Bruxelles
Teaching
- Quantitative Risk Management (master)
- Financial Econometrics (master)
- Stochastic Processes in Finance (master)
Life as a Finance Professor
What do you like most about your job?
Freedom and variety: in the morning I can decide on what I will be working.
I knew I wanted to be a Professor of Finance when…
I realised after an internship on a derivatives desk that I was more interested in understanding the pricing mechanisms, rather than simply applying them.
What are you currently researching?
Finding evidence of skill, scale, and value creation in the mutual fund industry.
What is your most significant discovery in finance?
The application of the False Discovery Rate in finance. Puns apart, it is a multiple testing methodology to measure the proportion of high performers in the mutual fund industry.
What is your most significant professional achievement?
The publication of a chapter in the Handbook of Econometrics (2020, Volume 7A) on estimation of large dimensional conditional factor models in finance.
If I weren’t a professor of finance, I’d be…
A professional diver or a gardener.
Who was your biggest inspiration?
My mum.
What do you enjoy most about teaching finance students?
To train them for professional interview, namely get them ready to answer questions and brainteasers in statistics, probability, and asset pricing.
What is most challenging in your work?
Coping with research and teaching competition coming from US universities.
When it comes to grading, I think students would describe me as…
Tough but fair.
Life Outside the University
What are your hobbies?
Diving, gardening, and reading.
How will you spend your summer?
Locked down in Wallis where I live.
Favourite places of vacation:
French Polynesia and Bikini island.
Favourite book:
Petit traité des grandes vertus, André Comte-Sponville, PUF, 1999.
What is currently your favourite movie or show, and what is it about it that you enjoy?
Passe-moi les Jumelles (PAJU) on RTS.ch: how to discover the multiple wonders of Switzerland.
What is your favourite type of music?
New wave and baroque music, I am a Belgian 80’s guy.
Thoughts and Reflections
If I had my way, the university of the future would have much more of this:
Digital teaching with large data sets (zillions of data).
In my opinion, financial institutions today need to do a better job at:
Avoiding green washing and using advanced statistical methods.
Recent Publications
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Estimation of Large Dimensional Conditional Factor Models in Finance
Factors and Risk Premia in Individual International Stock Returns
Feb 11, 2021