Carole Bernard

 

 

Professor of finance (official webpage)

Department of Accounting, Law and Finance
Grenoble Ecole de Management
Mail address: 12 Rue Pierre Semard 38000 Grenoble FRANCE
E-mail: carole.bernard@grenoble-em.com
Office: F 804
Office Phone: +33 4 56 80 68 40

Faculty of Economics
Vrije Universiteit Brussel
Mail address: Pleinlaan 2 1050 Elsene BELGIUM
E-mail: carole.bernard@vub.be
Office: Pleinlaan 5, 4th floor, room 4.02
Office Phone: +32-2-6148354

ORCID, LinkedIn, Research Gate, Google scholar. 		Moi

Personal Data

Employment

Education

To better understand the French education system.

Awards

Editorial Activities

Editorial Boards Refereeing and reviewing Organization of Conferences and Workshops

Research


Research topics

I am interested in problems at the intersection of finance, insurance and economics. Current research topics include

Refereed Publications

The author ordering is alphabetical for almost all papers, following the convention in mathematics and economics.
  1. Mohamad Abou Daya, C. Bernard, Smart contract tontines. Applied Economics, 1–16. (published version) (available at SSRN).
  2. C. Bernard, R. Kazzi , S. Vanduffel, "Model Uncertainty Assessment for Symmetric and Right-Skewed Distributions", Scandinavian Actuarial Journal, 1–22. (published version) (available on SSRN).
  3. Rebecca Cardot (GEM) , C. Bernard and Jamil Jaballah (GEM), "Impact of Blockchain on the Environmental and Social Performance of Firms," 2024, European Financial Management, forthcoming, ( published version ) (available on SSRN).
  4. O. Bondarenko (UIC) , C. Bernard, "Option Implied Dependence and the Correlation Risk Premium", 2024, Journal of Financial and Quantitative Analysis, forthcoming, presented at WFA 2020, (available at SSRN) ( CDI working paper , funded by a CDI research grant), (published version in open access)( Presentation on Youtube by O. Bondarenko).
  5. C. Bernard, C. De Vecchi, S. Vanduffel "Robust assessment of life insurance products," 2024, Annals of Operations Research, forthcoming, ( published version in open access ) (available on SSRN).
  6. C. Bernard, Marco Feliciangeli and Steven Vanduffel (VUB), Can an actuarially unfair tontine be optimal?, 2024, Geneva Risk and Insurance Review, forthcoming ( published version ) ( available at SSRN ).
  7. C. Bernard, A. Kolkiewicz (Waterloo), J. Tang (St Thomas) “On the Actuarial Fairness and Marketability of Reverse Mortgages with Tenure Payment Option: The Optimal Surrender Policy Perspective”, 2024, ASTIN, forthcoming ( published version ) ( available at SSRN ).
  8. C. Bernard, G. Junike, T. Lux, S. Vanduffel "Cost-efficiency under Ambiguity", 2024, Finance and Stochastics, 28, 965-997. (published version) (available on ArXiv).
  9. C. Bernard, A. Müller (University of Siegen) and M. Oesting , "Lp-norm spherical copulas", 2024 Journal of Multivariate Analysis, 2024, Volume 201, May 2024, 105262. Special issue: Copula Modeling from Abe Sklar to the present day ( published version ) ( available at ArXiv ).
  10. C. Bernard, S. Pesenti , S. Vanduffel "Robust Distortions Measures," 2024, Mathematical Finance, 34(3), 774-818. (available at SSRN), (published in open access).
  11. C. Bernard, A. Perchiazzo , S. Vanduffel, "Implied Value-at-Risk and Model-free Simulation", 2024, Annals of Operations Research, 336, 1, 925-943. (published version).
  12. C. Bernard, M. Caporin, B. Maillet, X. Zhang, "Omega Compatibility: A Meta-Analysis", 2023, Computational Economics, 62, 493-526 (available at SSRN) (published version).
  13. C. Bernard, Xuecan Cui, "Impact of Systemic Risk Regulation on Optimal Policies and Asset Prices", 2023, Journal of Banking and Finance, 154, 106621 (available at SSRN),(published version).
  14. C. Bernard, L. De Gennaro Aquino , S. Vanduffel, Optimal Multivariate Financial Decision Making, 2023, European Journal of Operations Research, 307(1), 468-483 (published version).
  15. C. Bernard, C. De Vecchi, S. Vanduffel "Impact of Correlation on the (Range) Value-at-Risk," 2023, Scandinavian Actuarial Journal , (6), 531–564 (published version).
  16. C. Bernard, A. Kolkiewicz (Waterloo), J. Tang (St Thomas) "Valuation of Reverse Mortgages with Default Risk Models," 2023, Journal of Real Estate and Financial Economics, 66(4), pp. 806–839. (published version).
  17. C. Bernard, R. Kazzi , S. Vanduffel, "A Practical Approach to Quantitative Model Risk Assessment", 2023, Variance, 16(1), 1-19. ( available on SSRN) ( published version )
  18. C. Bernard, Jinghui Chen (VUB), Ludger Ruschendorf (University of Freiburg) and Steven Vanduffel (VUB), “Coskewness under dependence uncertainty”, 2023, Statistics and Probability Letters , 199(109853) (published version)(working paper).
  19. C. Bernard, R. Kazzi , S. Vanduffel, Corrigendum and Addendum to "Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information", 2023, Insurance: Mathematics and Economics, 112, Septembre 2023, 110-119.
  20. M.H. Abou Daya, C. Bernard, "What Matters in the Annuitization Decision?," 2022 (available at SSRN), Swiss Journal of Economics and Statistics, 158(14), 1-12.
  21. C. Bernard, C. De Vecchi, S. Vanduffel "When Do Two and Three fund separation theorems Hold?," 2021, Quantitative Finance, 21(11), 1869-1883 (available at SSRN)(published version).
  22. C. Bernard, O. Bondarenko (UIC) , S. Vanduffel, "A model-free approach to multivariate option pricing", 2021, Review of Derivatives Research, 2, 135-155 ( Published version) ( Working paper).
  23. C. Bernard, L. De Gennaro Aquino , L. Levante, "Optimal Annuity Demand for General Expected Utility Agents", 2021, Insurance: Mathematics and Economics, 101(A), 70-79 ( Working Paper) ( Published version).
  24. C. Bernard, F. Liu , S. Vanduffel, "Optimal Insurance in the Presence of Multiple Policyholders", 2020, Journal of Economic and Behavior Optimization, 180, 638-656 (published version) (available at SSRN).
  25. L. De Gennaro Aquino , C. Bernard, "Bounds on Multi-asset Derivatives via Neural Networks," 2020, International Journal of Theoretical and Applied Finance, 23(8), 2050050 ( Working Paper).
  26. C. Bernard, A. Müller (University of Siegen) "Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference", 2020, Dependence Modeling, 8(1), 239-253 (Published version) ( Working Paper).
  27. C. Bernard, R. Kazzi , S. Vanduffel, "Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information", 2020, Insurance: Mathematics and Economics, 94, 9-24 (published version) (available at SSRN).
  28. C. Bernard, Y. Jiang (VUB), S. Vanduffel (VUB) "A new efficiency test for ranking investments: Application to hedge fund performance," 2019, Economics Letters , (published version), (WP version), 181, 203-207.
  29. L. de Gennaro (Grenoble EM), C. Bernard, "Semi-analytical Prices for Lookback and Barrier Options under the Heston Model", 2019, Decisions in Economics and Finance , (published version), 715-741.
  30. C. Bernard, R. De Staelen (Ghent), S. Vanduffel (VUB) "Optimal portfolio choice with benchmarks," 2019, Journal of the Operational Research Society , (published version), forthcoming in the Special Issue: Computational approaches and data analytics in financial services.
  31. C. Bernard, T. Moenig (Temple University) "Where Less Is More: Reducing Variable Annuity Fees to Benefit Policyholder and Insurer," 2019, Journal of Risk and Insurance , 86(3), 761-782 (published version), (Working paper).
  32. C. Bernard, Y. Jiang (VUB), S. Vanduffel (VUB) "Optimal Portfolios under Omega Ratio," 2019, European Journal of Operational Research , (published version), (available at SSRN), 275(2), 755-767.
  33. C. Bernard,Y. Jiang (VUB), S. Vanduffel (VUB) "Optimal Portfolios under State-dependent Expected Utility," 2018, , International Journal of Theoretical and Applied Finance , (published version), (working paper), 21(3), 1850013.
  34. C. Bernard, C. Rheinberger, N. Treich, "Catastrophe Aversion and Risk Equity in an Interdependent World," 2018, Management Science , (published version) (Working paper), 64(10), v, 4471-4965.
  35. C. Bernard, M. Denuit, S. Vanduffel, "Measuring Portfolio Risk Under Partial Dependence Information", 2018, Journal of Risk and Insurance , forthcoming ( available at SSRN )(published version), 85(3), 843-863.
  36. C. Bernard, O. Bondarenko (UIC) and S. Vanduffel "Rearrangement Algorithm and Maximum Entropy," 2018, Annals of Operational Research , (PDF in open access), (available at SSRN), 261(1-2), 107-134.
  37. C. Bernard, D. Cornilly (VUB), S. Vanduffel (VUB) "Optimal Portfolios under a Correlation Constraint," 2018, Quantitative Finance , (published version), (available at SSRN), 18(3), 333-345.
  38. C. Bernard, L. Rüschendorf , S. Vanduffel, R. Wang "Risk bounds for factor models," 2017, Finance and Stochastics , 21(3), 631-659, (available at SSRN) (published version).
  39. C. Bernard, Z. Cui , S. Vanduffel "Impact of Flexible Periodic Premiums on VA Guarantees", 2017, North American Actuarial Journal , 2017, 21(1), 63-86 (available at SSRN).
  40. C. Bernard, L. Rüschendorf , S. Vanduffel, « VaR Bounds with Variance Constraint », 2017, Journal of Risk and Insurance , 84(3), 923-959, ( published version )( available at SSRN ).
  41. A. Mackay , A. Augustiniak, C. Bernard, M. Hardy, "Risk Management of Policyholder Behavior in Equity-Linked Life Insurance," 2017, Journal of Risk and Insurance , 84(2), 661-690, ( published version ) (available at SSRN).
  42. C. Bernard, L. Rüschendorf , S. Vanduffel, J. Yao "How robust is the VaR of credit risk portfolios?", 2017, European Journal of Finance , 23(6), 507-534. (available at SSRN)(slides)( published version ).
  43. C. Bernard, Z. Cui , D. McLeish,, "On the martingale property in stochastic volatility models based on time-homogeneous diffusions", 2017, Mathematical Finance , 27(1), 194-223 (available at ArXiv) ( published version ).
  44. C. Bernard and D. McLeish, "Algorithms for Finding Copulas Minimizing Convex Functions of Sums" , 2016, Asia Pacific Journal of Operational Research , 33(5), 1650040-26 (available at ArXiv) (published version).
  45. C. Bernard, J. Tang "Simplified Hedge for Path-Dependent Derivatives," 2016, International Journal of Theoretical and Applied Finance , 19(7), 1650045-32 (published version).
  46. C. Bernard, M. Kwak, "Semi-static Hedging of Variable Annuities," 2016, Insurance Mathematics and Economics, 67, 173-186 (published version).
  47. C. Bernard, P. Boyle, J.S. Chen "Power options in executive compensation," 2016, Journal of Derivatives, Spring 2016, 23(3), 9-20 DOI: 10.3905/jod.2016.23.3.009 (working paper version)(published version).
  48. C. Bernard, M. Kwak, "Dynamic Preferences Corresponding to Popular Investment Strategies in Pension Funds", 2016, Scandinavian Actuarial Journal , 5, 398-419 ( published version ).
  49. C. Bernard, S. Vanduffel "Quantiles of a mixture with applications to model risk assessment," 2015, Dependence Modelling , 3(1) published version.
  50. C. Bernard, J. Chen, S. Vanduffel "Rationalizing Investors Choices," (previous title: "All Investors are Risk-averse Expected Utility Maximizers") 2015, Journal of Mathematical Economics , 59, 10-23 ( published version ) (available at ArXiv) (Audio Slides).
  51. C. Bernard, S. Vanduffel, "A new Approach to Assessing Model Risk in High Dimensions," 2015, Journal of Banking and Finance , 58 166-178. ( published version ) (available at SSRN) (received the Annual Frontiers in Risk Management Award ) ( related podcast ).
  52. C. Bernard, C. Czado, "Conditional Quantiles and Tail Dependence," 2015, Journal of Multivariate Analysis , 138C, 104-126( published version ).
  53. C. Bernard, F. Moraux, L. Rüschendorf , S. Vanduffel, « optimal portfolio under state-dependent preferences », 2015 available at arXiv ), Quantitative Finance , 15(7), 1157-1173 ( published version ) (available at ArXiv).
  54. C. Bernard, X. He (Colombia university, US), J.-Y. Yan (Chinese Academy of Science, Beijing, China), X.-Y. Zhou (Oxford University, UK), "Optimal Insurance under Rank Dependent Utility", 2014, Mathematical Finance , 25(1), 154-186 (available at SSRN)( published version).
  55. C. Bernard, L. Rüschendorf , S. Vanduffel, « Optimal Claims with Fixed Payoff Structure », 2014, Journal of Applied Probability, Vol 51A, 175-188 ( published version).
  56. C. Bernard, Z. Cui , D. McLeish, "Convergence of the discrete variance swap in time-homogeneous diffusion models", 2014, Quantitative Finance Letters, 2(1), pages 1-6, (available at ArXiv) (published version in open access), 2(1) 1-6.
  57. C. Bernard, P. Boyle (Wilfrid Laurier University), S. Vanduffel, "Explicit Representation of Cost Efficient Strategies", 2014, Finance, (available at SSRN) 25(2) 6-55.
  58. C. Bernard, M.R. Hardy, A. Mackay , "State-Dependent Fees for Variable Annuity Guarantees", 2014, ASTIN Bulletin, 44(3), 559-585, (available at SSRN)(published version).
  59. C. Bernard, J.S. Chen, S. Vanduffel, "Optimal Portfolios under Worst Case Scenarios", 2014, Quantitative Finance , 14(4), 657-671. Special issue on Behavioral Finance. (available at SSRN))(published version)
  60. C. Bernard, A. Mackay , M. Muehlbeyer, "Optimal Surrender Policy for Variable Annuity Guarantees", 2014, Insurance: Mathematics and Economics , 55, 116-128 (available at SSRN) (published version).
  61. C. Bernard, S. Vanduffel (Vrije Universiteit Brussel, Belgium), "Financial Bounds for Insurance Claims", 2014, Journal of Risk and Insurance, 81(1), 27-56 (available at SSRN)(slides)(published version).
  62. C. Bernard, Z. Cui , "Prices and Asymptotics for Discrete Variance Swaps", 2014, Applied Mathematical Finance , 21(2), 140-173 (available at SSRN), (published version).
  63. C. Bernard, S. Vanduffel, ``Mean-Variance Optimal Portfolios in the Presence of a Benchmark: Application to Fraud Detection'', 2014, European Journal of Operational Research , 234(2), 469-480. (available at SSRN), (published version).
  64. C. Bernard, X. Jiang and R. Wang, "Risk Aggregation with Dependence Uncertainty", 2014, Insurance: Mathematics and Economics , 54, 93-108 (published version)
  65. C. Bernard, S. Ji, W. Tian, "An optimal insurance design problem under Knightian uncertainty", 2013, Decisions in Economics and Finance, 36(2), 99-124 (published version, pdf).
  66. C. Bernard, C. Czado (Technische Universitat Munchen, Germany) "Multivariate Option Pricing using Copulae", 2013, Applied Stochastic Models in Business and Industry , 29(5), 509-526 (pdf).
  67. C. Bernard, C., Y. Liu, N. MacGillivray, and J. Zhang, ``Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence''. 2013, Dependence Modelling , 1, 37-53. (available online in open access). (available at SSRN).
  68. C. Bernard, W. Li (University of Delaware, US), "Pricing and Hedging of Cliquet Options and Locally-capped Contracts", 2013, SIAM Financial Mathematics , 4(1), 353-371. (pdf).
  69. C. Bernard, O. Le Courtois, "Asset Risk Management of Participating Contracts", 2012, Asia-Pacific Journal of Risk and Insurance , 6(2), (published version).
  70. C. Bernard, Z. Cui , D. McLeish, ``Nearly Exact Option Price Simulation using Characteristic Functions'', 2012, International Journal of Theoretical and Applied Finance , 15(7) (available at SSRN).
  71. C Bernard, X. Jiang, S. Vanduffel (Vrije Universiteit Brussel, Belgium), "Note on Improved Frechet Bounds", 2012, Journal of Applied Probability , 49(3), 866-875 (available at SSRN)(published version).
  72. C. Bernard, M. Ludkovski (university of Santa Barbara), "Impact of Counterparty Risk on the Reinsurance Market", 2012, North American Actuarial Journal, 16(1), 87-111,(available at SSRN)(published version).
  73. C. Bernard, O. Le Courtois (EM Lyon), "Performance Regularity: a new class of executive compensation packages", 2012, Asia-Pacific Financial Markets, 19(4), 353-370 (available at SSRN)(published version).
  74. C. Bernard, Z. Cui , M. Forde, A. Jacquier, D. McLeish, A. Mijatovic, "Comment on `The large-maturity smile for the Heston model'", 2012, Finance & Stochastics , forthcoming. (preliminary version available at SSRN), (published version).
  75. C. Bernard, P. Boyle, "A Natural Hedge for Equity Indexed Annuities", 2011, Annals of Actuarial Science, 5(2), 211-230 (published version, pdf).
  76. C. Bernard, P. Boyle, W. Gornall « Locally-capped Investment Products and the Retail Investor», 2011, The Journal of Derivatives, 18(4), 72-88.(available at SSRN)(published version).
  77. C. Bernard, Z. Cui , « Pricing of Timer Options », Journal of Computational Finance, 2011, 15(1), 69-104 (available at SSRN)(published version) (pdf of the published version)(slides).
  78. C. Bernard, M. Maj, S. Vanduffel, « Improving the Design of Financial Products in a Multidimensional Black Scholes Market », North American Actuarial Journal , 2011, 15(1), 77-96. (available at SSRN)(published version) (online version).
  79. C. Bernard, P. Boyle, « Monte Carlo Methods for Pricing Discrete Parisian Options», European Journal of Finance , 2011, 17(3), 169-196. (available at SSRN)(published version).
  80. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Protection of Life Insurance companies in a Market-based framework », North American Actuarial Journal, Vol. 14, N°1, p. 131-149, 2010, (previously entitled « Assessing the Market Value of Safety Loadings ») (available at SSRN)(published version).
  81. C. Bernard, M. Ghossoub, « Static Portfolio Choice under Cumulative Prospect Theory », Mathematics and Financial Economics, 2010, vol. 2, no4, pp. 277-306. (available at SSRN)(published version).
  82. C. Bernard, W. Tian, « Insurance Market Effects of Risk Management Metrics », The Geneva Risk and Insurance Review , 2010, 35, 47-80. (pdf)(final pdf)(published version).
  83. C. Bernard, P. Boyle, «Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy», The Journal of Derivatives, Fall 2009, 17(1): 62-76.(available at SSRN)(published version) (slides).
  84. C. Bernard, W. Tian, « Optimal Reinsurance Arrangements Under Tail Risk Measures », Journal of Risk and Insurance, 2009, 76(3), 709-725 (Final version with full appendix pdf)(published version).
  85. C. Bernard, A. Chen, « On the Regulator-Insurer Interaction in a Structural Model», Journal of Computational and Applied Mathematics, 2009, 233(1), 3-15 (published version).
  86. C. Bernard, A. Chen, A. Pelsser « On the cost of Regulation under Solvency II», Life & Pensions, June 2008 ( pdf)(published version).
  87. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment », Journal of Economic Dynamics & Control, 2008, 32, 2903-2938. (available at SSRN)(published version)
  88. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Development and Pricing of a New Participating Contract », North American Actuarial Journal, 2006, 10(4), 179-195. (available at SSRN)(published version)
  89. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « A New Procedure for Pricing Parisian Options », The Journal of Derivatives, 2005, 12(4), 45-53. (published version)
  90. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk », Insurance : Mathematics and Economics, 2005, 36(3), 499-516. (published version)
  91. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « A Study of Mutual Insurance for Bank Deposits», The Geneva Risk and Insurance Review, 2005, 30(2), 129-146 (published version).
  92. C. Bernard, « Approche Financière de l'Option de Rachat», Bulletin Français de l'Actuariat, 2007, 7(13).
  93. C. Bernard, O. Le Courtois, « Le Point sur les Options Parisiennes et leurs Applications », Banque et Marchés, January 2006, 82 (pdf).
  94. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Evaluation en Fair Value de Contrats Participatifs», Finance, 26(1), 2005, 73-107. (published version)
  95. C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Evaluation Numérique des Options Parisiennes », Banque et Marchés, April 2004, 69, 30-37.

Do not hesitate to send me an email if you can't access the published version of a paper or the latest version of a working paper.

Other Publications

Refereed Book chapters Book Book reviews Proceedings: Unpublished Manuscripts & Notes:
Work in progress:

Talks


International Conferences ; Workshops

Seminars

Visiting positions

Teaching

Graduate Student Supervision

Current PhD Students Current Postdoctoral Students Past Master's Students Past PhD Students and Postdoctoral fellows Research essays of Master's students are not listed.


PhD position in Business Economics at VUB (doctorate in 4 years)

PhD positions in financial engineering/mathematics at Vrije Universiteit Brussel (Brussels, Belgium)

Advisors: Carole Bernard/Steven Vanduffel

The research unit of Finance and Insurance (FIRE) conducts research in the areas of financial engineering/mathematics and in insurance mathematics. We are passionate with research and offer PhD students all support for conducting research. In particular, there are no teaching requirements nor mandatory courses to take. If you are passionate about mathematics and research, and want to pursue a PhD with us, we simply give you the opportunity to have research fun.

Admissions

We admit outstanding students worldwide. If you are interested to work with us please send your application which includes a cv as well as an inventory of the courses taken and grades obtained. Selected applicants are invited for an interview (in person or online). If you want to find out more about our research interests, please consult www.carole.bernard.free.fr and www.stevenvanduffel.com. We make a decision at our own discretion.

Funding

Funding is available to cover 3 to 4 years of Phd studies. We look forward to receiving your application. Good luck!

PhD in Finance at GEM (Ph.D. in 4 years)

PhD positions in finance at Grenoble Ecole de Management

Contact me at carole.bernard@grenoble-em.com.

Funding

Funding is available to cover 4 to 5 years of Phd studies. link for a PhD at GEM