Curriculum Vitae Denisa BANULESCU-RADU

Curriculum Vitae
Denisa BANULESCU-RADU
Laboratoire d’Economie d’Orléans
Rue de Blois, BP 26739
45067 Orléans
France
Email : [email protected]
https://sites.google.com/site/gdbanulescu/
Current position
Sept. 2015 -
Assistant Professor - Maître de Conférences, LEO, Université d’Orléans
Education
2014 - 2015
Max Weber Fellow, European University Institute (Florence)
Mentor: Prof. Peter R. Hansen
2015
National qualification: MCF – Section CNU 05 - 15205275856
Discussants: Professors Catherine Bruneau and Hakim Hammadou
2011 - 2014
Ph.D., Maastricht University Ph.D. in Economics, Maastricht University (joint with
University of Orléans), with High honors
Title: “Four Essays in Financial Econometrics”
Supervisors: Professors Bertrand Candelon and Christophe Hurlin
Discussants: Professors Valérie Mignon, Franz Palm, Olivier Scaillet
Jury: Professors Bertrand Candelon, Gilbert Colletaz, Alain Hecq, Christophe Hurlin,
Lenard Lieb, Peter Schotman, Stefan Straetmans, Jean Pierre Urbain, Tom van Veen
Defense: 5 November 2014 (in Maastricht)
2009 - 2011
Master in Econometrics and Applied Statistics, University of Orléans (High Honors ranked 1st)
2006 - 2009
Bachelor in Accounting and Management Information Systems, Bucharest University
of Economic Studies (High Honors - ranked 1st)
Research Fields
Theoretical and Applied Financial Econometrics
Financial Econometrics, Volatility Forecasting, High-Frequency Risk Measures,
Backtesting, MIDAS models, Systemic Risk
Publications and Work in Progress
Published:
•! "How to Identify the SIFIs? A Component Expected Shortfall Approach to Systemic Risk" with
Dumitrescu, E.I., 2015, Journal of Banking and Finance, Vol. 50, 575-588
•! "Forecasting High Frequency Risk Measures" with Colletaz, G., Hurlin, C., Tokpavi, S., 2016.
Journal of Forecasting, Vol 35, Issue 3, 224-249
•! "Do We Need Ultra-High Frequency Data to Forecast Variances?" with Candelon,
B., Hurlin, C., Laurent, S., 2016. Annals of Economics and Statistics (forthcoming)
Banulescu-Radu (November 2016)
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Work in progress:
•! "Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized
GARCH Approach" with Hansen, P.R., Huang, Z., Matei, M.,
•! "Backtesting Marginal Expected Shortfall", avec Hurlin, C., Leymarie, J., Scaillet, O.
•! "Long memory and power law coherency between realized volatility and trading volume", avec
de Truchis, G.
Conference and Seminar Presentations
Conferences:
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ESEM, 69th European Meeting of the Econometric Society, 22-26 August 2016, Geneva, Switzerland
Forum SAS, SAS Data Science and Advanced Analytics Forum, 6-7 June 2016, London, England
JEAM, 3rd "Journée d'Econométrie Appliquée à la Macroéconomie", Paris, France, 16 October, 2015
ESWC, 17th Econometric Society World Congress, Montreal, 17-21 August 2015
AFSE, 64th Annual Meeting of the French Economic Association, Rennes, France, 22-24 June 2015
8th Financial Risks International Forum on "Scenarios, Stress and Forecasts in Finance", Paris,
France, 30-31 March, 2015
7.! ADRES, Annual Doctoral Conference of the Association for the Development of Research in
Economics and Statistics, Paris, France, 27-28 February, 2015
8.! CFE, 8th International Conference on Computational and Financial Econometrics, Pisa, Italy, 6-8
December 2014
9.! Journée d’Econométrie, 13th Conference “Développements récents de l’économétrie appliquée à la
finance”, Paris Ouest - Nanterre La Défense, France, 3 December 2014
10.! ESEM, 68th European Meeting of the Econometric Society, Toulouse, 25-29 August 2014
11.! EEA, 29th Annual Congress of European Economic Association, Toulouse, 25-29 August 2014
12.! IFABS, 6th International Finance and Banking Society Conference, Lisbon, Portugal, 18-20 Juin 2014
13.! AFFI, 31st International Conference of the French Finance Association, Aix-en-Provence, France, 19–
21 May 2014
14.! Workshop on Dynamic Models driven by the Score of Predictive Likelihoods, Tenerife, Spain, 9-11
January 2014
15.! CFE, 7th International Conference on Computational and Financial Econometrics, London, United
Kingdom, 14-16 December 2013
16.! Journée d’Econométrie, 12th Workshop ”Développements récents de l’économétrie appliquée à
la finance”, Paris Ouest - Nanterre La Défense, France, 11 December 2013
17.! INFER, 7th International Workshop “From Economic Crisis Towards Economic Growth: Fiscal and
Monetary Policy Instruments”, Bucharest, Romania, 26-27 September 2013
18.! MIFN, 7th International Workshop on Methods in International Finance Network, Namur, Belgium, 2324 September 2013
19.! AFSE, 62nd Annual Meeting of the French Economic Association, Aix-en-Provence, France, 24-26
June 2013
20.! FEBS, 3rd International Conference of the Financial Engineering and Banking Society, Paris, France, 68 June 2013
21.! SMYE, 18th Spring Meeting of Young Economists, Aarhus, Denmark, 30 May-1 June 2013
22.! AFFI, 3rd Spring International Conference of the French Finance Association, Lyon, France, 28-31
May 2013
23.! SNDE, 21st Symposium of the Society for Nonlinear Dynamics and Econometrics, Milan, Italy, 28-29
March 2013
Banulescu-Radu (November 2016)
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24.! 2nd PhD Student Conference in International Macroeconomics and Financial Econometrics, Paris
Ouest - Nanterre La Défense, France, 27 March 2012
25.! Liquidity Risk, 6th Financial Risks International Forum, Paris, France, 25-26 March 2013
26.! HUKU, 3rd Humboldt-Copenhagen Conference on Financial Econometrics, Berlin, Germany, 14-16
March 2013
27.! Journée Risques Financiers, Workshop on Financial Risks, Orléans, France, 23-24 January 2013
28.! CFE, 6th International Conference on Computational and Financial Econometrics, Oviedo, Spain, 1-3
December 2012
29.! Journée d’Econométrie, 11th Conference “Développements récents de l’économétrie appliquée à la
finance”, Paris Ouest - Nanterre La Défense, France, 21 November 2012
30.! CREDIT, 11th International Conference on Credit Risk Evaluation Designed for Institutional Targeting
in Finance, Venice, Italy, 27-28 September 2012
31.! MIFN, 6th International Workshop on Methods in International Finance Network, Sydney, Australia,
24-26 August 2012
32.! AFSE, 61st Congress of French Economic Association, Paris, France, 2-4 July 2012
Seminars:
(1)! University Paris Ouest - Nanterre, 24 March 2015
(2)! University Paris - Dauphine, 12 March 2015
(3)! ENSAI, 3 March 2015
(4)! European University Institute, September 2013, September 2014
(5)! Maastricht University, June 2012
(6)! University of Orléans, May 2012, November 2015
Research Visiting
•! Department of Finance, University of Economic Studies (November, 2016)
•! Department of Economics, European University Institute (September-December 2013, February 2016)
•! School of Business and Economics, Maastricht University (May-June 2012, September 2012)
Scholarships and Grants
2015
Financial and Banking Thesis Prize, Fondation Banque de France
2014 - 2015
Max Weber Postdoctoral Fellowship, European University Institute (Florence)
2011-2014
PhD Scholarship, French Ministry of Education and Scientific Research
2012
EOLE Grant, Franco-Dutch Network
2009-2011
Eiffel Excellence Scholarship, French Ministry of Foreign and European Affairs
(EGIDE)
2007-2008
Erasmus Scholarship, University of Orléans, France
Participation in Funded Research Projects
2013-2015
APR-IA RunMyCode
Project leader: Christophe Hurlin
2011-2013
ANR Grant, Econom&Risk
Project: Econometric Approaches for Risk Modeling
Banulescu-Radu (November 2016)
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Project leaders: Christophe Hurlin, Christian Francq and Gaëlle Le Fol
2011-2012
PICS Grant, International Project for Scientific Cooperation (CNRS)
Maastricht University and University of Orléans
Project: Econometric Approaches to Risk Modeling
Project leader: Christophe Hurlin
Other research-related activities
•! Organization of the one-day conference on Risk Measures in collaboration with the University of Kent
(Orléans, October 3, 2016)
•! Co-direction (with Ch. Hurlin) of Jérémy Leymarie’s PhD thesis
•! Took part at the organization of the 7th French Econometric Conference (Orléans, December 3-4,
2015)
•! Member of the development team for the project RunMyCode (February 2012 - September 2013);
Project HEC-Paris, CNRS, University of Orléans, Columbia University
•! Econometric Game contest, Amsterdam:
!! Captain of University of Orléans's team in 2014
!! Participant in 2011
•! Econometrics of Mixed Data Sampling (MIDAS) regressions and related methods - intensive Ph.D.
course taught by Eric Ghysels and jointly organized by CESAM, the National Bank of Belgium (NBB)
and the Center for Operations Research and Econometrics (CORE) (NBB, June 4-6, 2013)
•! Took part at the organization of "Methods in International Finance Network" - 5th Workshop (Orléans,
October 20-21, 2011)
•! Member of ADDOSHS (PhD Students Association, Orléans, France) (2011-2014)
Teaching experience
Master (Econometrics and Applied Statistics, University of Orléans)
!!
Generalized Methods of Moments (Lecture)
!! Econometrics of Discrete Choice Models (Tutorial)
!! Univariate and Multivariate Time Series Analysis (Tutorial)
Undergraduate (DEG, University of Orléans)
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Econometrics (Lecture)
!! Statistics (Tutorial)
CNRS
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Introduction to Matlab (Lecture)
Training
!!
Max Weber programme teaching certificate course - teaching skills evaluated at the Universitat
Pompeu Fabra (UPF), Barcelona, May 2015
Banulescu-Radu (November 2016)
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!!
Econometrics of Mixed Data Sampling (MIDAS) regressions and related methods - intensive
Ph.D. course taught by Eric Ghysels and jointly organized by CESAM, the National Bank of Belgium
(NBB) and the Center for Operations Research and Econometrics (CORE) (NBB, June 4-6, 2013)
!!
Training courses for Teaching Assistants at the University of Orléans (2011-2014)
!!
Classes in didactics for secondary education at the Bucharest University of Economic
Studies, Bucharest (2006-2009)
RunMyCode Project
Objective:
The RunMyCode project is a web service devoted to the worldwide dissemination of scientific computer codes
in the fields of business and economics. The key element in this project is the novel concept of companion
website associated with a scientific paper (working paper, journal, article, monograph or textbook). The project
aims to contribute to changing the way researchers spread their research and to improve the reproducibility of
research.
The RunMyCode project is sponsored by the CNRS, HEC Paris and Sloan Foundation.
Activity: Member of the development team for RunMyCode.
My companion websites:
(1)! Which Are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk, Banulescu
G.D., Dumitrescu E.I. (Journal of Banking and Finance, 2015) [companion website]
(2)! High-Frequency Risk Measures, Banulescu G.D., Hurlin C., Colletaz G., Tokpavi S. (Working paper,
2014) [companion website]
(3)! GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model, Ghysels E., Jasiak J.
(Studies in Nonlinear Dynamics and Econometrics, 1998) [companion website]
(4)! Outliers and GARCH Models in Financial Data, Charles, A., Darné, O. (Economics Letters,
2005) [companion website]
Computing skills
•! SAS (SAS BASE PROGRAMMING version 9.2 Certification)
•! Matlab, OxMetrics, E-views, GeoDa
•! LaTeX, LyX, Microsoft Office (ECDL Certification)
Languages
•! French - fluent (spoken and written)
•! Italian - basic (spoken and written)
•! English - fluent (spoken and written)
•! Romanian - mother tongue
Banulescu-Radu (November 2016)
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