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Virginie Terraza

Virginie Terraza

Associate professor

Faculty or Centre Faculty of Law, Economics and Finance
Research Unit UR CREA
Postal Address Campus Kirchberg, Université du Luxembourg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Campus Office G 113
Email
Telephone (+352) 46 66 44 6674
Fax (+352) 46 66 44 6341

Research interests

Financial Econometrics, Risk Management, Market microstructure and Fund industry

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Virginie Terraza is Associate Professor at the University of Luxembourg and Associate Researcher at the University of Montpellier, in France.

She holds a PhD in Economics from Paris 2 entitled: “Modélisation de la Value at Risk, une évaluation de l’approche Riskmetrics”.

Currently, the main goal of her research is to address the challenges associated with replicating traditional financial indices and to establish proposals of new fund classifications in order to carry out the attractiveness of fund’s financial market places.

Last updated on: Tuesday, 20 March 2012

Teaching

  • Statistics
  • Financial econometrics
  • Risk management
  • Portfolio theory

Ongoing PhD supervion

  • M. Limam (université Montpellier I ): Modélisation de la dynamique des rentabilités des hedge funds: Dépendance, effet de persistance et problème d'illiquidité
  • Rachida Hennani, university of Montpellier (2011-2015): “Modélisations Chaos Stochastiques avec changements de régimes de la VaR : une évaluation en termes de Backtesting » (Expected Decembre 2015)



Last updated on: 22 Mar 2016

Complete CV

Education

  • 2002: PhD in Economics: Modélisations de la Value at Risk : une évaluation de l′approche RISKMETRICS, with Best Distinctions, University Paris 2 (France) (Advisor: Catherine Lubochinsky)

Current position

  • Associate Professor of Finance, University of Luxembourg
  • Academic Director, Professional Bachelor’s degree in Management, University of Luxembourg
  • Associate Researcher, LAMETA, university of Montpellier I (France)
  • Co‐director CREFI‐LSF (2006‐2008)

Research Interest

Financial Econometrics, Risk Management, Market microstructure and Fund industry

Teaching

Statistics, Financial Econometrics, Risk Management, Portfolio Theory



Last updated on: 17 Oct 2017

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2019

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See detailFinancial ratios analysis in determination of bank performance in the German banking sector
Lardic, Sandrine; Terraza, Virginie

in International Journal of Economics and Financial Issues (2019)

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See detailCluster Analysis for Investment funds portfolio optimisation: A symbolic data approach
Terraza, Virginie; Toque, Carole

E-print/Working paper (2019)

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2017

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See detailHedge Fund Return Dynamics: Long Memory and Regime Switching
Limam, Mohamed-Ali; Terraza, Virginie; Terraza, Michel

in International Journal of Financial Research (2017)

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2016

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See detailWavelet Dynamic Conditional Correlation GARCH model : WDCC-GARCH
Nsaoudi, Ange; Terraza, Virginie

E-print/Working paper (2016)

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See detailThe multi-scale analysis of dynamic transmission volatility of carbon prices
Nsouadi, Ange; Terraza, Virginie

E-print/Working paper (2016)

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2015

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See detailComportement des banques européennes face à la crise
Terraza, Virginie

Article for general public (2015)

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See detailThe effect of bank size on risk ratios: implications of banks' performance
Terraza, Virginie

in Procedia Economics and Finance (2015)

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2014

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See detailHedge Fund Return Dynamics: long memory and regime switching
LIMAM, mohamed-Ali; Terraza, Virginie

E-print/Working paper (2014)

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See detailHistogram valued data on Value at Risk measures: a symbolic approach for risk attribution
Toque, Carole; Terraza, Virginie

in Applied Economics Letters (2014)

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2013

See detailUnderstanding Investment Funds- Insights from performance and risk analysis
Terraza, Virginie; Razafitombo, Hery

Book published by Palgrave (2013)

See detailAnalyse statistique pour la gestion bancaire et financière
Terraza, Virginie; Toque, Carole

Book published by de boeck (2013)

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2011

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See detailOn the efficiency of Risk measures for Funds of Hedge Funds
Laube, Falk; Schiltz, Jang; Terraza, Virginie

in Journal of Derivatives and Hedge Funds (2011), 17(1), 63-84

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See detailA structural analysis of mutual fund performance: a comparative study for domiciliation places
Razafitombo, Hery; Terraza, Virginie

in Journal of Index Investing (The) (2011), 1(4), 81-91

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See detailThe fund Synthetic Index : An alternative benchmark for mutual funds
Terraza, Virginie; Razafitombo, Hery

in Bankers, Markets, Investors [=BMI] (2011), 114

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See detailTime series factorial models with uncertainty measures: applications to ARMA processes and financial data
Terraza, Virginie; Toque, Carole

in Communications in Statistics : Theory & Methods (2011), 40(9), 1533-1544

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2010

See detailModélisation de la Value at Risk:une évaluation du modèle Riskmetrics
Terraza, Virginie

Book published by Editions universitaires européennes (2010)

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2009

See detailFunds Rating: the predictive power
Terraza, Virginie; Toque, Carole

in Euro-Mediterranean Economics and Finance Review (2009), 4(4),

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See detailThe predictive Power of Fund Ratings with a novel approach using uncertainty measures to analyzing risk
Terraza, Virginie; Toque, Carole

in Decisions in Economics & Finance (2009), 32(2), 149-160

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2008

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See detailValue at Risk, Outliers and Chaotic Dynamics
Kyrtsou, catherine; Terraza, Virginie

in COSTANTINO, M.; LARRAN, M. (Eds.) Computational Finance and its Applications III (2008)

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See detailThe shapley decomposition for risk portfolios
Mussard, Stéphane; Terraza, Virginie

in Applied Economics Letters (2008), 15(9), 713-715

See detailExchange rates and macroeconomic dynamics
Terraza, Virginie; Karadeloglou, Pavlos

Book published by Palgrave (2008)

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2007

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See detailNew trading risk indexes: application of the shapley value in finance
Terraza, Virginie; Mussard, Stéphane

in Economics Bulletin (2007), 3(25), 1-7

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2006

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See detailTiming inconsistencies in the calculation of Funds of funds Net Asset Value
Terraza, Virginie; Neuberg, Luc; Louargant, Christine

in Fundexpert (2006)

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2004

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See detailSeasonal asymmetric persistence in volatility: an extension of GARCH models
Terraza, Virginie

in Wessex Institute of Technology (Ed.) Computational Finance and its Applications (2004)

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