Dr Chardin Wese Simen

Lecturer in Finance

c.wese-simen@icmacentre.ac.uk  |  +44 (0)118 378 6431
Chardin medium 1

Specialisms

Derivatives Markets, Financial Econometrics, Commodities Markets

Location

ICMA Centre, Whiteknights Campus

Chardin is a Lecturer of finance at the ICMA Centre. Prior to joining the Centre in 2015, he was a faculty member at the University of Liverpool. He holds a PhD in Finance from the ICMA Centre at the University of Reading (2013), and his main research interests are commodity markets, derivatives, financial econometrics and risk management.

Chardin has had his work accepted in internationally recognised academic journals, including Management Science, the Journal of Banking and Finance, the Journal of Financial Markets and the Journal of Empirical Finance. He has also presented his work at leading academic conferences, such as the meetings of the American Finance Association (AFA), the Econometrics Society (ES), the European Finance Association, the Society for Financial Econometrics and the Western Finance Association (WFA).

Reference: Avino, D. , Stancu, A. and Wese Simen, C. (2019) The predictive power of the dividend risk premium. Journal of Financial and Quantitative Analysis. ISSN 1756-6916 (In Press)
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) The conditional CAPM revisited: evidence from high-frequency betas. Management Science. ISSN 1526-5501 (In Press)
Reference: Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) The risk premium of gold. Journal of International Money and Finance, 94. pp. 140-159. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2019.02.011
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) Estimating beta: forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of Financial Markets, 44. pp. 91-118. ISSN 1386-4181 doi: https://doi.org/10.1016/j.finmar.2019.03.001
Reference: Hollstein, F., Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) International tail risk and world fear. Journal of International Money and Finance, 93. pp. 244-259. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2019.01.004
Reference: Hollstein, F., Prokopczuk, M. , Tharann, B. and Wese Simen, C. (2019) Predicting the equity market with option-implied variables. European Journal of Finance, 25 (10). pp. 937-965. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2018.1556176
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39 (4). pp. 435-460. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21985
Reference: Oikonomou, I. , Stancu, A., Symeonidis, L. and Wese Simen, C. (2019) The information content of short-term options. Journal of Financial Markets. ISSN 1386-4181 doi: https://doi.org/10.1016/j.finmar.2019.07.003 (In Press)
Reference: Brooks, C. , Hoepner, A. G. F., McMillan, D., Vivian, A. and Wese Simen, C. (2019) Financial data science: the birth of a new financial research paradigm complementing econometrics? European Journal of Finance, 25 (17). pp. 1627-1636. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847x.2019.1662822
Reference: Prokopczuk, M. , Symeonidis, L. and Wese Simen, C. (2017) Variance risk in commodity markets. Journal of Banking and Finance, 81. pp. 136-149. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2017.05.003
Reference: Neumann, M., Prokopczuk, M. and Simen, C. W. (2016) Jump and variance risk premia in the S&P 500. Journal of Banking and Finance, 69. pp. 72-83. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2016.03.013
Reference: Prokopczuk, M. , Symeonidis, L. and Wese Simen, C. (2016) Do jumps matter for volatility forecasting? Evidence from energy markets. Journal of Futures Markets, 36 (8). pp. 758-792. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21759
Reference: Diewald, L., Prokopczuk, M. and Wese Simen, C. (2015) Time-variations in commodity price jumps. Journal of Empirical Finance, 31. pp. 72-84. ISSN 0927-5398 doi: https://doi.org/10.1016/j.jempfin.2015.02.004
Reference: Prokopczuk, M. and Wese Simen, C. (2014) The importance of the volatility risk premium for volatility forecasting. Journal of Banking and Finance, 40. pp. 303-320. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2013.12.002

Quantitative Methods for Finance

The module covers the building blocks of econometrics and analytical techniques used in finance. Via case studies and computer modelling exercises, students learn how to apply these techniques to real...

Module code: ICM103

Upcoming Events

Norwegian University of Science and Technology

29th April 2020 Norwegian University of Science and Technology

Past Events

University of East Anglia

29th May 2019 University of East Anglia

Financial Econometrics Conference

13th September 2018 University of Lancaster

Computational and Financial Econometrics Conference

14th December 2018 Pisa, Italy

Financial Data Science and Econometrics

26th September 2018 University of Loughborough

Society for Financial Econometrics Conference

12th June 2018 University of Lugano, Switzerland
6th October 2018 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
13th October 2018 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
16th June 2018 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
15th June 2018 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
25th April 2018 University of Sussex
25th November 2017 Goethe-Universität, Frankfurt

University of Swansea

6th November 2018 Swansea, Wales

UBS- Unigestion

9th November 2017 London

University of Liverpool

8th March 2018 Liverpool University

ESSEC Business School

11th December 2017 Paris

Energy and Commodity Finance Conference

14th June 2017 Oxford, UK

Financial Management Association

22nd June 2017 Lisbon

Université de Nantes

28th June 2017 Nantes

Northern Finance Association

15th September 2017 Halifax

Inquire Conference

8th November 2017 London
16th June 2017 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
17th June 2017 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
30th September 2017 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
7th October 2017 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA
10th April 2017 Herriot Watt University, Edinburgh

2017 Financial Management Europe Conference

22nd June 2017 Lisbon School of Economics and Management, Lisbon, Portugal
3rd December 2016 Goethe-Universität, Frankfurt

Computational and Financial Econometrics

9th December 2016 University of Seville, Spain

Bournemouth University Research Seminar

5th April 2017 Bournemouth Business School, Bournemouth University

Northern Finance Association Meeting

16th September 2016 Fairmont Tremblant Hotel, Mont-Tremblant, Quebec, Canada

European Finance Association Meeting

17th August 2016 BI Norwegian Business School - Campus Nydalen, Oslo Nydalsveien 37 0484 Oslo Norway

ESCP Paris

27th June 2016 Paris

Energy and Commodity Finance Conference

23rd June 2016 3 Avenue Bernard Hirsch, 95021 Cergy-Pontoise, France

British Accounting and Finance Association

21st March 2016 Claverton Down Rd, Bath BA2 7AY

Midwest Finance Association

2nd March 2016 3300 Lenox Road NE, Atlanta, GA 30326, United States

Economics Seminar University of Reading (Economics Department) Seminar

29th February 2016 Department of Economics, HumSS room 315 School of Politics, Economics & International Relations The University of Reading , Whiteknights Reading, Berkshire RG6 6AA, United Kingdom

Econometrics Seminar University of Birmingham (Economics Department)

22nd February 2016 Department of Economics, JG Smith Building, Office 215, Birmingham, B15 2TT

American Economic Association Meeting

6th January 2017 Hyatt Regency, Chicago

Econometric Society Meeting

17th August 2015 Palais des congrès de Montréal 201, avenue Viger ouest, Montreal, H2Z 1X7

Society for Financial Econometrics

23rd June 2015 Nordre Ringgade 1, 8000 Aarhus C, Denmark

Royal Economic Society

30th March 2015 University of Manchester, Oxford Rd, Manchester M13 9PL

Leibniz University Hannover

21st January 2015 Welfengarten 1, 30167 Hannover, Germany

American Finance Association Meeting

3rd January 2015 10 Huntington Ave, Boston, MA 02116, United States

Finance Seminar University of Reading (ICMA Centre)

10th February 2016 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA

Finance Seminar University of Edinburgh Business School

18th November 2015  29 Buccleuch Pl, Edinburgh EH8 9JS

Finance Seminar Norwich Business School

3rd November 2015 University of East Anglia, Earlham Rd, Norwich NR4 7TJ
8th October 2016 ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading, RG6 6BA