Dr Jacques Pézier
Visiting Professor in Finance
T: +44 (0)118 378 8239
Specialisms: Investment Management, Risk Management, Financial Engineering
Biography
Dr Pézier has been with the ICMA Centre since 2002. He teaches courses in Portfolio Management, Hedging, Fixed Income and Financial Engineering for MSc students. He carries research with his PhD students in asset management, risk management and financial engineering.
For 20 years he worked in the City of London, most recently as Managing Director, Head of Marketing and, previously, General Inspector, Head of Risk Management at Crédit Agricole Lazard Financial Products (CAL FP) Bank. He has also been Executive Director, Head of Research and Product Development with Mitsubishi Finance International plc (MFIL, now TMI) and a Director of the Equities Risk Management Unit of Barclays, de Zoete Wedd (BZW).
He started his career in Academia (Lecturer at the Thayer School of Engineering, Dartmouth College, USA, and Assistant Professor at HEC/ ISA, Jouy-en-Josas, France) before moving into consulting in decision analysis for Stanford Research Institute (SRI) and then for Investment Intelligence Systems Corporation (IISC), a consulting boutique he started with a few SRI colleagues and which specialized in decision systems in finance.
He is a graduate from Ecole Centrale (Paris) and holds a DEA in Mathematical Physics (Institut Poincaré, Paris) and a PhD in decision theory (Thayer School of Engineering, Dartmouth College, Hanover, USA).
Professional Associations, Appointments and Honours
Sigma Xi; Fulbright scholarship; Honorary Professor Warwick University Business School; Visiting Professor, Academy of Economic Studies, Bucharest
Chairman of the Advisory Board of FORC (Warwick University)
Member of the Risk Advisory Board of Finles N.V.
Consultancy and Training
With SRI (1968 - 1980): American Insurance Co Association, Ciba-Geiby, Compagnie Bancaire, Deutsche Bundespost, Gulf Oil Corporation, Itel Leasing Corporation, Midland Bank, NASA, Shell Trading Company, US Weather Bureau, Xerox Corporation
With IISC (1980 - 1986): Bank of England, BNP, LIFFE, Reuters, London Stock Exchange 1986 to present: Speaker on public and in-house courses and conferences (ABN-Amro, Bank of China, BritSA, C&F, CNB, Concentric, Crédit Agricole, CTG, Dexia, Dianos, EFMA, Euromoney, GE, IFF, IIR, Indosuez, IQ, Marcus Evans, PRMIA, Risk, Securities Association of China, World Bank) mainly on risk management, economic capital, optimal allocation of resources, and structured products, and consulting (Investec, Lombard Risk, Nedbank, SMB)
Publications
Certain Equivalent Returns and Generalized Sharpe Ratios' ICMA Centre Discussion Papers in Finance DP2007-13, September 2007
Global Portfolio Optimization Revisited - A Least Discrimination Alternative to Black-Litterman' ICMA Centre Discussion Papers in Finance DP2007-7, July 2007
The relative merits of Alternative Investments in a Balanced Portfolio', submitted JAI, February 2007 (with A. White)
Risk Aggregation', ICMA Centre Discussion Papers in Finance, DP2005-13, March 2005
Risk and Risk Aversion' (Chapter I.A.1) and ‘Market Risk Management' (Chapter III.A.1) in PRM Handbook for Professional Risk Managers International Association (2004)
A Constructive Review of Basel's Proposals on Operational Risk' (Chapter 4) and ‘Operational Risk Management' (Chapter 15), Mastering Operational Risk, ed. C. O. Alexander, FT- Prentice Hall, Feb 2003
Danger Lurks on the Rocky Road to Basel II', Risk, Vol 15, Issue 1, January 2002
Getting to the Heart of the Matter' Operational Risk, Vol 3, Issue 1, January 2002
Is there Hope in the Advanced Measurement Approaches?' Operational Risk, 2:11, December 2001
Basic Shortcomings', Operational Risk, Vol 2, Issue 10, November 2001
Binomial Gammas', Operational Risk, Vol 2, Issue 3, April 2001 (Mr & Mrs J. Pézier)
The Integration of Global Credit and Market Risks', Net Exposure, 3, Dec 1997
Putting the Hedges Together', Energy Risk, 1, No 9, Oct 94 (with N. Shen)
The Currency Factor', Energy Risk, 1, No 8, Sept 94 (with N. Shen)
Managing OTC portfolios: Two Key Forecasting Problems and some Tentative Answers', Options: Recent Advances in Theory and Practice, Vol 2, ed. S. Hodges (1992) 42-66
Portfolio Insurance - Past, Present and Future', Pensions, (1990) 68-69
Principes de Fonctionnement des Marchés à Terme', Les Marchés à Terme d'Instruments Financiers, ed. C. Lubochinsky and D. Marteau, Eska (1985) Chapter 2, 33-74
Arbitrage, LIFFE (1984) a handbook on arbitrage in the financial markets sponsored and published by the London International Financial Futures and Options Exchange
Returns on Borrowing Abroad can exceed Costs of Forecasting Foreign Exchanges and Interest Rates', J. of Business Forecasting, Summer 1982, 3-11
Probabilistic and Decision Tree Approach cuts 20% off cost of new Plant Construction', J. of Business Forecasting, 1,No3, Spring 1982, 11-18 (with M. Menke)
Optimal Planning of the Long Range Telephone Network in Germany', Stanford Research Institute (published in German and English), Aug 1981
Evaluation of Basic Research Strategies', Long Range Planning, 14, No 3 (1981) 44-57 (with M. Menke and J. Gelzer)
The Dangerous Quest for Certainty in Market Forecasting', Long Range Planning, 13, No 4 (1979) (with M. Menke)
The Nature and Importance of Economic Losses due to the Utilisation of Containers in Transportation Systems', The Geneva Papers on Risk and Insurance, No 13, Oct 1979 (with D. Creswell and S. Davenport)
The Role of Risk Classifications in Property and Casualty Insurance', Stanford Research Institute, 4253-4, May 1976 (with C. Spetzler and B. Casey)
A Probabilistic Model for the Estimation of Planetary Contamination', COSPAR, Life Sciences and Space Research, Proceedings of the 17th plenary meeting, June 1974, Akademie Verlag, Berlin (1975) (with W. North and B. Judd)
The Use of Gamma Functions and Bayesian Analysis in Analysing Florida Cloud Seeding Results', NOAA Technical Memorandum ERL OD15, Feb 1973 (with J. Simpson and J. Eden)
Quelques Reflexions sur les Package de Traitement d'Arbres de Decision', Théorie de la Décision et Applications, Actes du Colloque International des 6-7 Dec 1973, CNIPE Edition
Décisions Rationelles dans l'Incertain', translation of RDDD with original contributions (Appendices C and F), M. Tribus, Masson (1972)
Contributions (in Ch. VI and VII and all listed computer programmes) to ‘Rational Descriptions Decisions and Designs' (RDDD), M. Tribus, Pergamon Press (1972)
Outline of a Bayesian Analysis Approach to the EML Multiple Cloud Seeding Experiments', NOAA Technical Memorandum ERL OD8, June 1971 (with J. Simpson)
Concerning the Economic Value of Experimentation in the Design of Desalting Plants', Desalination, 8, (1970) 311-349 (with M. Tribus)
Notes:
As a consultant, J. Pezier authored many client sponsored studies. The vast majority of these are private and confidential, but two are in the public domain and one was designed for training purpose:
[1] The study on risk classifications for American P&C insurance companies was sponsored by the four major associations of American P&C insurance companies and ISO to respond to claims of unfair discrimination by legislators. The report was discussed in the US Congress and became compulsory reading for actuarial studies in many US Universities.
[2] The study on the optimal capacity planning of the long range German telephone network defines optimal planning decisions in the context of uncertain demand forecasts. The report was given a wide review and had a large influence on the planning process.
[3] ‘Arbitrage’ is essentially a textbook on arbitrage in the financial markets that was sponsored and published by the London International Financial Futures and Options Exchange.
