academic profile

47
Dr Michel Zaki Guirguis 94, Terpsichoris road Palaio - Faliro Post Code: 17562 Athens Greece I hold a PhD in Finance from Bournemouth University in the U.K. I have worked for several multinational companies including JP Morgan Chase and Interamerican Insurance and Investment Company in Greece. Through seminars, I learned how to manage and select the right mutual funds according to various clients needs. I supported and assisted the team in terms of Six Sigma project and accounts reconciliation. Application of Six Sigma project in JP Morgan Chase in terms of statistical analysis was important to improve the efficiency of the department. Professor Philip Hardwick and I have published a chapter in a book entitled “International Insurance and Financial Markets: Global Dynamics and Local Contingencies”, edited by Cummins and Venard at Wharton Business School (University of Pennsylvania in US). I am working on several papers that focus on the Financial Services Sector. Finally, I have attended several conferences. Please see attached document. 1

Upload: dr-michel-zaki-guirguis

Post on 21-Mar-2017

106 views

Category:

Documents


0 download

TRANSCRIPT

Page 1: Academic profile

Dr Michel Zaki Guirguis 94, Terpsichoris road Palaio - Faliro Post Code: 17562 Athens Greece

I hold a PhD in Finance from Bournemouth University in the U.K. I have worked for several multinational companies including JP Morgan Chase and Interamerican Insurance and Investment Company in Greece. Through seminars, I learned how to manage and select the right mutual funds according to various clients needs. I supported and assisted the team in terms of Six Sigma project and accounts reconciliation. Application of Six Sigma project in JP Morgan Chase in terms of statistical analysis was important to improve the efficiency of the department. Professor Philip Hardwick and I have published a chapter in a book entitled “International Insurance and Financial Markets: Global Dynamics and Local Contingencies”, edited by Cummins and Venard at Wharton Business School (University of Pennsylvania in US). I am working on several papers that focus on the Financial Services Sector. Finally, I have attended several conferences. Please see attached document.

I have experience in Project Management, Six Sigma Management and Statistical Process Control (SPC). I am a certified Yellow, Green, Black, Master Black belt and Champion Belt. Three hypothetical projects have been submitted to Aveta Business Institute in the U.S.A for the Black and Master Black Belt.

1) Application of a Six Sigma project to improve the standard of service provided by the employees working in a commercial bank XYZ. 2) Application of a Six Sigma project in an operational budget of a five star multinational hotel organization.

3) Application of a Six Sigma project in a credit default swap contract.

I have listed a brief explanation of each Belt, which represents a management grade.

Yellow Belt role

The Certified person has a basic knowledge of the Six Sigma in terms of DMAIC. It participates as a team member on a project. He / she performs daily activities such as, data entry and provides assistance in achieving the organization’s overall objectives. The are responsible for planning small level projects in terms of PDCA (Plan, Do, Check, Act).

1

Page 2: Academic profile

Green Belt role

He / she works in Six Sigma projects by applying the DMAIC approach in details. His/her tasks is to deploy Six Sigma techniques and to lead small scale improvement projects by applying DMAIC. He has a partially understanding of DMAIC. Select the right statistical tools and significantly increase profitability

Black Belt role

He/ She got a thorough knowledge of Six Sigma philosophies and principles. He / she is a team leadership, understand team dynamics and assigns their team members with roles and responsibilities. They have a complete understanding of DMAIC approach. He/she focuses to oversee and execute the project. He / she is responsible for specific project. The savings are expected to be around $100,000 - $250,000. Advanced statistics, coaching successful project teams, group organizational assessment, customer cantered business

Master Black Belt role (MBB)

He / She identify projects and functions for Six Sigma. Advance understanding of statistics application and project management experience. He / she is highly proficient in using Six Sigma methodology. The Master Black Belt agent disposes excellent communication, program administration, teaching, and project coaching. He/she is responsible for Black and Green Belt training. He/she is responsible for specific project.

Champion Six Sigma

It is a senior or middle level executive who is responsible to choose and sponsor specific projects. He / she ensure the availability of resources. He/she has excellent understanding of the Six Sigma methodology. The projects are aligned with the structure and culture of the business. He/she is responsible to remove roadblocks and facilitate employee adaptation and eliminate resistance to change. He/she works closely with the MBB to achieve change management. The speed of project deployment is the responsibility of the Champion. He /she acts as practitioners, mentors, guides and facilitators. They are responsible for transformational leadership style from top to bottom.

My Post-Doctoral qualification in Finance arises from a research project financed by practitioners. The research is based on authors’ earnings in the UK and Germany. It is a survey of copyright and non-copyright income streams and is financed by Authors Licensing and Collecting Society (ALCS).

2

Page 3: Academic profile

I have gained experience in preparing funding proposals for Postdoctoral Fellowship to external bodies such as the Economic Social Research Council (ESRC). Unfortunately, I did not have to opportunity to submit it as my father was seriously sick and I have left the U.K.

Another positive contribution to the department will be my experience from teaching and practical experience. My teaching of Quantitative Decisions Techniques in Finance is an advantage to me in the area of Portfolio Management or Financial Investing. My research based on performance and efficiency of insurance companies in addition to my practical experience on Six Sigma – Quantitative Methods from JP Morgan Investment Bank is an advantage to understand how to apply statistical methods based on mathematical equations that aim to improve the efficiency of the company from a statistical point of view.

In terms of personal attributes and skills, I give attention to detail, I am motivated, self-confident, able to work under pressure and to challenging targets, effective interpersonal and communication skills, reliable, flexible, willing to learn new skills and solution oriented with a logical approach.

3

Page 4: Academic profile

Publications

1) “UK Insurance Industry – Structure and Performance”. This chapter has been accepted and is published in the autumn 2005 in a book entitled “International Isurance and Financial Markets: Global Dynamics and Local Contingencies”, edited by Cummins and Venard at Wharton Business School, (University of Pennsylvania in US).

2) “The Structure and Performance of the UK Life and General Insurance Industries”, Polityka spoleczna I ubezpieczenia, June 2005.

3) Postdoctoral Fellowship in Finance at Bournemouth University.(2005-2006), “ Authors’ earnings in the UK and Germany: a survey of copyright and non- copyright income streams”. A research project financed by authors licensing and collecting society (ALCS).http://www.alcs.co.uk.

4) A multi – factor model of excess discount return. A comparative study of UK investment trusts and US closed – end funds. Published in social science research network. www.papers.ssrn.com (2010).

5) A multi – factor model of performance persistence. A comparative study of UK investment trusts. Published in social science research network. www.papers.ssrn.com (2010).

4

Page 5: Academic profile

Working papers

6) Performance persistence. A comparative study of UK investment trusts.

7) Bridging the information gap between microfinance institutions and international capital markets by investigating the efficiency of the informational role of stock and option trade volumes. The case of the European derivative exchange and the Frankfurt stock exchange.

8) An empirical analysis of the performance of hedge funds over the period 1998 to 2003 in terms of incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period.

9) A behavioural explanation of the discount persistence. A comparative study of the UK investment trusts.

10) A behavioural explanation of the discount persistence. A comparative study of the US closed-end funds.

11) New behavioural theory of closed – end fund discount under the Orthodox Christian Approach.

12) Orthodox noise-trading model. A new evidence of closed – end fund discount.

13) A mathematical Orthodox noise-trading model. A new evidence of closed – end fund discount.

14) Portfolio valuation of shares of closed – end fund based on a mathematical Orthodox model.

15) New Evidence of asset mispricing of closed – end fund discount by using a Finance paradigm based on the Greek Orthodox religion.

16) Guirgui’s Orthodox model as an improvement and extension of the Dornbusch model. New evidence in International Finance.

5

Page 6: Academic profile

17) Application of an Unrestricted Vector Autoregressive system in the term structure of US interest rates. Evidence of short, medium and long-term yields of the US interest rates.

18) Application of ARCH and GARCH models to test total returns of Jeffries Commodity Performance Index.

19) The European Debt Crisis. An empirical analysis and evidence from the macroeconomic variables of the EU members.

20) Noise created through the interactions of arbitrageurs and noise traders in the FOREX market. An analysis based on ARCH, GARCH, TGARCH

and EGARCH models.

21) Yield curve as a predictor of a recession. Evidence from the US Economy.

22) Application of a Vector Error Correction, (VEC) model to test the Granger causality between general government revenue and general government total expenditure in Greece.

23) Application of a quantile regression to estimate across which quantiles the US Federal Reserve sets the monetary policy in relation to short, medium and long-term yields of the US interest rates.

24) Application of a linear Gaussian state space model and the Kalman filter in estimating expectations of the natural logarithmic monthly market returns of the US 1838 bond debenture closed-end fund.

25) Application of an ordinary least squares regression, (OLS), to test if the variations of the GDP in the US could be explained by personal consumption

6

Page 7: Academic profile

expenditures, gross private domestic investment, net exports of goods and services and government consumption expenditures and gross investment.

26) Application of a GARCH, TGARCH and EGARCH models to test the spot GBP/USD exchange rate volatility.

27) Application of a factor analysis, (FA), based on the macroeconomic factors namely personal consumption expenditures, gross private domestic

investment, net export of goods and services and government consumption expenditures and gross investment that constitute the US GDP.

28) Measuring indebtedness of Greece, Italy, Portugal and Spain, (GIPS), in terms of general government net lending / borrowing, general government

net debt, current account balance, total investment, gross national savings, general government structural balance and output gap.

29) Application of a linear Gaussian state space model and the Kalman filter in estimating expectations of the natural logarithmic monthly NAV returns

of the US open – end funds of major investment banks.

30) Application of Pedroni residual cointegration test, and an unrestricted cointegration rank test in terms of trace and maximum eigenvalue of pooled

time series data. Evidence from the US macroeconomic indicators in terms of GDP and industrial production.

7

Page 8: Academic profile

31) Integration of the Christian Orthodox approach, equilibrium price and equitable redistribution of income in a microeconomic level.

32) Inflationary or deflationary gap. Evidence from the Greek economy by testing the relationship between general government expenditures and GDP.

33) Application of the accelerator theory by testing the relationship of total government investments and Gross domestic product, (GDP),of the Greek

economy.

34) Eliminating time lags and bandwagon effects in the business cycle by applying the Greek Orthodox approach. Evidence from the Greek economy.

35) Side – effects of fiscal policy in terms of welfare and economic fairness. Reduction of public expenditure at the expense of the poors, the beggars, the prostitutes, the unemployed and the classes that are income disadvantaged. Evidence from the Greek economy.

36) Explanations of the factors that cause money supply to rise or fall and how to balance those factors with the Greek Christian Orthodox approach.

37) Techniques to control the money supply. A virtual example of the Greek economy.

38) Reconsideration of the position of the World Trade Organisation, (WTO), in terms of how to achieve economic growth, employment, poverty reduction and development by integrating the principles of the Greek Orthodox approach.

8

Page 9: Academic profile

39) Application of three taxation systems, namely, regressive, progressive and proportional to solve the Poverty trap of the financially disadvantaged persons.

40) Explanation and illustration of the current account, the capital account, and the financial account of the balance of payments. Illustration of the J-curve effect in relation to the Marshall – Lerner condition under the Greek Christian Orthodox approach. The Orthodox approach contradicts Friedman’s view of laissez –faire.

41) Slums and distributive justice of welfare fairness from the better – off to the worse-off. The Doha development agenda myth or reality.

42) The effect of the law of diminishing marginal returns in consumption. A Greek Christian Orthodox approach.

43) The monetarist view, the Keynesian view and the Christian Orthodox view.

44) Price elasticity of demand and supply, income elasticity, indirect taxation and economic fairness.

45) The effects of a supply side policy in the Greek economy by integrating the Greek Christian Orthodox approach.

46) Application of a principal component analysis, (PCA), based on the macroeconomic factors namely personal consumption expenditures, gross

private domestic investment, net export of goods and services and government consumption expenditures and gross investment that constitute

the US GDP.

9

Page 10: Academic profile

47) Application of a TGARCH, EGARCH and PARCH models to test the spot AUD/USD exchange rate volatility.

48) Application of environmental economics in China in terms of Orthodox pollution taxes.

49) Will economic growth affect the income of the illiterate poor, unemployed, the prostitutes and the low classes? The problem will persist if there is no education associated with job opportunities. Their income is solely dependent from the Treasury fund.

50) Noise created through the interactions of arbitrageurs and noise traders. Estimation of an ARMA model of well – known US closed- end funds of major investment banks.

51) Application of a log likelihood object of an ARMA model of well – known US closed – end funds of major investment banks.

52) Application of a log likelihood object in GARCH with t-distributed errors and EGARCH with generalised error distribution model of the spot AUD/USD exchange rate volatility.

53) Application of an ARCH system equation of 4 spot exchange rates in terms of CAD/USD, DKK/USD, CHF/USD and JPY/USD to check the conditional variance, covariance and correlation.

54) Comparison of the census X12 and Tramo / Seats additive ARIMA(p,d,q) seasonal adjustment models applied to Credit Suisse asset management income and Templeton global income closed-end funds.

55) Rational bubbles. Evidence from the US closed-end funds industry.

10

Page 11: Academic profile

56) Chaos, noise traders and smart money. Evidence from the US closed-end funds industry.

57) Application of a Wald test on the VAR coefficients of the 1,3 and 6 months Eurodollar deposits.

58) Are the persistent fluctuations of the discount of the US closed-end funds following a martingale property?

59) Application and comparison of the full information maximum likelihood of a system equation of 4 spot exchange rates in terms of CAD/USD, DKK/USD, CHF/USD and JPY/USD.

60) Estimation of the residuals and the coefficients test of the full information maximum likelihood of a system equation of 4 spot exchange rates in terms of CAD/USD, DKK/USD, CHF/USD and JPY/USD.

61) Analysis of the swan diagram in terms of deficit/surplus –inflationary/deflationary pressures and proposition of a new diagram based on the Christian Orthodox approach.

62) Application of the LM and BP schedule in the Greek economy.

63) The money supply and reserves based on open market operation and foreign exchange operation with intention to help the low income persons.

64) The Giurgiu’s approach of the Balance of payment disequilibrium based on the Christian Orthodox approach.

11

Page 12: Academic profile

65) A virtual example of the Forward exchange rate by implying hedgers, arbitrageurs and speculators. How to balance their emotions based on the Christian Orthodox approach.

66) Financial and Economic decisions without linkage to the Orthodox Christianity creates high inflation risk premium to the Greek economy to pay their debts.

67) How to link the Swap market with the Christian Orthodox approach without serving two masters at the same time?

68) How to adjust the confidence of investors to invest in the Greek stock market without greed and fear?

69) New evidence in terms of factors that affect the IS-LM-BP schedules in the Greek economy.

70) Improving the model of Kirman, (1993) in terms of Black and White. Linking Markov chain and probabilities with the Greek Christian Orthodox. Evidence from the US closed-end funds industry.

71) How to link the Open economy multipliers with the Christian Orthodox approach?

72) How a country should keep its own currency that reflects its unique tradition and religion and eliminates currency fluctuations. Extension of the McKinnon and Dornbusch approach.

73) Giurgiu’s mathematical model that will be compared with Shleifer – Vishny model of short-termism. Evidence from the US closed-end funds

12

Page 13: Academic profile

industry.

74) Utility, indifference curves, currency portfolio management and how to balance them under the Greek Christian Orthodox approach.

75) Risk premia and time varying risk. Evidence from the US open-ended bond market.

76) Testing the implied volatility smile of a lognormal distribution on a 3 – month Danske bank option contract using the option delta.

77) Testing the implied volatility smile of a lognormal distribution on a 6 – month EUR/USD currency option contract using the ratio of strike and share price.

78) Testing the implied volatility smile of a lognormal distribution on a 6 – month EUR/USD currency option contract using a random standard normal variable.

79) Testing the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck option contract using Brownian motion.

80) Application of a TGARCH, EGARCH and PARCH models to test the historical volatility of a 3 – month AstraZeneca option contract.

81) Application of a GARCH model to test the implied volatility of a 3 – month Nordea bank option contract.

82) Application of the information ratio in a rolling style analysis methodology to test the effects on the implied volatility of a 3 – month OMX Copenhagen 20 Cap index option contract.

13

Page 14: Academic profile

83) Application of the put – call parity formula on a 3 – month OMX Stockholm 30 index option contract to show any evidence of arbitrage.

84) The effects on implied volatility by testing separately an option and a swap contract and then integrating them in a swaption. Evidence from the Danish option market.

85) Testing a call swaption as a hedging tool with fixed and floating short and medium term interest rates. Evidence from the Swedish option market.

86) Illiquid markets and credit derivatives. Evidence from the Greek market by testing the credit derivatives swap, (CDS) spread points.

87) The poverty problem in different countries and the derivatives market. Application of the Greek Christian Orthodox approach.

88) Diversification, risk management, mutual fund industry and the derivatives market.

89) Hedging the implied volatility of a 3- month Nordea bank option contract with an over-the-counter swap contract with fixed interest rate.

90) Application of a log likelihood object in GARCH with t-distributed errors and EGARCH with generalised error distribution model of the spot AUD/USD currency option contract.

91) Testing the effects of the volatility of a Gaussian distribution in relation to a lognormal distribution of a 3 – month CHF/USD currency option contract

92) Application of a log likelihood object of an ARMA model in five stock options contracts of well – known Swedish companies. The companies are

14

Page 15: Academic profile

Electrolux B, Ericsson B, Hexagon B, Swedbank A and Sandvik.

93) Testing backwardation and contango effects on a 3 – month Eurodollar futures contract.

94) Testing and interpreting a Binomial model of a 6 - month interest rate option of Nordea Bank.

95) Calculating the quantitative effects of implied volatility on a call Nordea option contract with one and two period bionomial tree model.

96) Testing the effect of the gamma effect on a call Nordea option delta and how a hedge position is achieved.

97) Comparing a synthetic call Ericsson B option with a synthetic underlying share and designing the payoff.

98) Calculating and valuing the payments of interest rate fluctuations of a plain vanilla swap with a principal amount of 500,000,000 Pounds.

99) Estimating the payoff for an interest rate cap and floor on a LIBOR with different interest rates to form a collar interest rate. Evidence from different strategies with different strike rates.

100) Credit events in Greece from 2008-2014 and effects on settlement on credit default swaps. Investigation of payments in relation to swap spreads.

101) Testing the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of a well know Swedish bank such as the Nordea bank.

15

Page 16: Academic profile

102) Application of the fundamental law of active management based on active return, active risk and information ratio. Evidence from the Swedish option market.

103) Testing the convexity or the nonlinear relationship between the value of a call option derivative product and its yield. Evidence from the Danish option market.

104) Analysing and comparing yield curve risk of interest rates with a 3 and 6 month Eurodollar futures contract. Evidence from the Swedisg futures market.

105) Application of the interest rate parity, (IRP), between two currencies to determine the implied currency appreciation or depreciation in an interest rate forward furtures contract.

106) Estimating Lamda, (λ), in matlab to calculate the leverage return of call and put options and estimate the implied volatility by comparing the theoretical price with the market price.

107) The effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Evidence from the twist effect of the yield curve in Greece.

108) Application of a futures reverse cash and carry arbitrage to determine the effects of riskless profit and profits or losses from arbitrage in a turbulent futures market with large fluctuations.

109) Comparing the fluctuations of the price of a T-bill futures contract with a treasury bond futures contract in relation to the term structure of interest

16

Page 17: Academic profile

rates. Evidence from the Danish market.

110) Calculating the effects of interest rate swaption at expiration with different LIBOR, rates and present value factors. Comparison with the balance of payments to determine the outflow required in relation to the inflows.

111) A cross comparison of offshore hedge funds that pursue hedging and leveraged activities based on mispricing, distressed securities and arbitrage.

112) Comparing the effects of large investments in terms of 300,000 USD, 1,500,000 USD and 5,000,000 USD in the fee structure of hedge funds.

113) A cross comparison of the different performance ratios between different types of hedge funds. The funds under study are long/short funds, market – neutral funds, global macro funds, and event – driven funds.

114) Comparing the performance of different categories of funds of funds in terms of fees, monthly returns and risk.

115) Applying and comparing Sharpe style analysis versus a rolling methodology of monthly returns of long/short funds, market – neutral funds, global macro funds, event – driven funds and their related indices.

116) Examining the application of the unique risks of hedge funds in terms of bid-ask spreads, settlement risk, short squeeze risk and financing squeeze.

117) Measuring and comparing the risk-adjusted performance, the correlation, and the covariance of equity hedge funds, market – neutral funds, global macro funds, and event – driven funds.

118) Listing, describing and measuring the biases in hedge funds monthly returns performance measurement. The biases under study are self-selection,

17

Page 18: Academic profile

survivorship, backfill, smoothed pricing, option-like investment strategies and fee structure.

119) Measuring the effects of distressed securities or close to bankruptcy market valuation of companies in the whole structure of the hedge fund. The effects that will have such strategy for the investors.

120) Measuring the performance and effects of commodity and collateralized futures as a risk management tool and diversification strategy of hedge funds portfolio.

121) Measuring the implied volatility and the value at risk of the commodity futures contracts of the hedge fund. We will examine contracts of wheat, corn, cocoa, soya bean, coffee and orange juice.

122) How contango and backwardation affects the performance of commodity hedge funds? Evaluation based on commodity trading advisors’, (CTA).

123) Examination of the fees and performance structure of arbitrage based hedge funds.

124) Examination of the fees and performance structure of convertible bond arbitrage hedge funds.

125) Examination of the fees and performance structure of equity market neutral hedge funds.

126) Examination of the fees and performance structure of event driven hedge funds.

18

Page 19: Academic profile

127) Examination of the fees and performance structure of risk arbitrage hedge funds.

128) Examination of the fees and performance structure of fixed-income arbitrage hedge funds.

129) Examination of the fees and performance structure of medium volatility hedge funds.

130) Examination of the fees and performance structure of global macro hedge funds.

131) Examination of the fees and performance structure of long-short equity hedge funds.

132) Examination of the fees and performance structure of managed futures hedge funds.

133) Examination of the fees and performance structure of multistrategy hedge funds.

134) Examination of the fees and performance structure of directional hedge funds.

135) Examination of the fees and performance structure of dedicated short bias hedge funds.

136) Examination of the fees and performance structure of emerging markets hedge funds.

19

Page 20: Academic profile

137) Measuring the alpha and beta returns of high volatility commodity futures contracts of a hedge fund. The futures contracts under study are gold, silver, zinc, palladium and platinum.

138) Application of short and long volatility strategies across different categories of hedge funds to lower the skewness and kurtosis of the distribution of returns. Investors prefer high mean, low standard deviation, positive skewness and low kurtosis.

139) Measuring over allocation of hedge funds using Jensen’s measure, implied volatility, correlations, covariances, Sharpe and Sortino ratios.

140) Application of a log likelihood object in GARCH with t-distributed errors and EGARCH with generalised error distribution model to the monthly returns of an equity hedge funds portfolio.

141) Testing the effects of the volatility of a Gaussian distribution in relation to a lognormal distribution monthly returns of a commodity futures contracts of a hedge fund portfolio.

142) Application of a log likelihood object of an ARMA(p,q) model in five hedge funds categories. The categories under study are conservative, diversified, multi-strategy, market defensive and long/short equity.

143) Application of a GARCH, TGARCH and EGARCH models to test the volatility of monthly returns of market neutral hedge funds.

144) Application of a linear Gaussian state space model and the Kalman filter in estimating expectations of the natural logarithmic monthly returns

of offshore strategic hedge funds.

20

Page 21: Academic profile

145) Comparison of the census X12 and Tramo / Seats additive ARIMA(p,d,q) seasonal adjustment models applied to diversified and long/short equity hedge funds categories.

146) Examination of the fees and monthly returns performance structure of fund of funds hedge funds.

147) Measuring event- driven hedge funds returns and risk using downside deviation and Sharpe ratio. Application of Sharpe style analysis.

148) Application a logit and probit regression to test the high water marks, incentive fees and lock-up periods of a conservative and diversified hedge funds categories.

149) ) Application of a principal component analysis, (PCA), to identify the factors that affect the performance and the fees

of different categories of hedge funds.

150) Application of a Vector Error Correction, (VEC) model to test the Granger causality between the monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds.

151) Measuring commodity hedge funds performance by applying Data Envelopment Analysis, (DEA).

152) Measuring risk pooling of commodity future contracts of hedge funds by applying Data Envelopment Analysis, (DEA).

153) Measuring technical, allocative and overall cost efficiency of commodity hedge funds futures contracts by applying Data Envelopment Analysis, (DEA).

21

Page 22: Academic profile

154) Application of a linear Gaussian space model and the Kalman filter in estimating expectations of the natural logarithmic monthly returns of US corporate bonds.

155) Comparison of the census X12 and Tramo / Seats additive ARIMA (p,d,q) seasonal adjustment models applied to US equity bond portfolio.

156) Measuring technical, allocative and overall cost efficiency of Greek medium to long-term government bond by applying Data Envelopment Analysis, (DEA).

157) Applying and comparing Sharpe style analysis versus a rolling methodology of logarithmic monthly returns of UK corporate bonds and their related indices.

158) Measuring, comparing and understanding the business cycle of the UK life and general insurance companies.

159) How the product structure and distribution channels affect the business cycle of the UK life and general insurance companies.

160) Measuring the cost efficiency of the UK life and general insurance companies.

161) Globalisation of life and general insurance companies. A cross comparison methodology between UK and US insurance companies.

162) Measuring market concentration and performance persistence of UK life and general insurance companies.

163) Measuring comparative advantage indices and net export ratios of UK life and general insurance companies.

164) Applying Data Envelopment Analysis, (DEA) to measure the efficiency of Chinese, Brazilian and Indian general and life insurance companies.

165) Measuring the UK life and general insurance penetration and density and comparing them with emerging economies.

166) The legal, the tax and the economic structure of the Brazilian life and general insurance companies.

167) Application of a linear Gaussian space model and the Kalman filter in estimating expectations of the natural logarithmic monthly returns of

22

Page 23: Academic profile

UK general and life insurance companies.

168) Comparison of the census X12 and Tramo / Seats additive ARIMA (p,d,q) seasonal adjustment models applied to UK general and life insurance companies.

169) Application of a log likelihood object of an ARMA model in five well – known UK life and general insurance companies.

170) Application of a log likelihood object in GARCH with t-distributed errors and EGARCH with generalised error distribution model to the monthly returns of a portfolio of the UK life and general insurance companies.

171) Application of a Vector Error Correction, (VEC) model to test the Granger causality between general insurance revenue and general insurance expenses in the United Kingdom.

172) Application of a Vector Error Correction, (VEC) model to test the Granger causality between life insurance revenue and life insurance expenses in the United Kingdom.

173) Application of a TGARCH, EGARCH and PARCH models to test the historical volatility of the logarithmic monthly returns of the UK life and general insurance companies.

174) Measuring and comparing the premium returns and market share of the UK life, general and motor insurance companies.

175) Measuring financial performance of the UK life, property and casualty insurance companies in terms of net investment income, premiums, actuarial and claims reserves, underwriting income, and solvency margin

176) Measuring the premiums, the claims, return on equity, the market share and the concentration ratios returns of the UK and the US bancassurance sector.

177) Contagion crisis in the UK bancassurance sector. Measurement based on monthly margins, and revenues.

23

Page 24: Academic profile

178) Examining and measuring solvency capital requirements of UK life and general insurance companies in terms of market, credit and liquidity risk.

179) Explanation of the Christian Greek Orthodox approach and its variables using set theory, general topology, group theory, and boolean algebra.

180) National income, marginal utility, unemployment and the Greek Christian Orthodox religion.

181) The effects of the spiritual goods in the balance of payments, adjustments in the balance of payments and the adjustments of the open economy macroeconomics.

182) Price elasticity of demand and supply, income elasticity, direct and indirect taxation, economic fairness and the Greek Christian Orthodox approach.

183) International economics and integration of the Greek Christian Orthodox approach. New evidence in the Economics theories.

184) Economic growth, development and the Greek Christian Orthodox religion.

24

Page 25: Academic profile

Conferences

1) 2nd PhD Conference. Department of Economics, University of Leicester, (10th May 2005) I attended this conference as a speaker. My topic was ‘Performance persistence. A comparative study of UK investment trusts and US closed-end funds.’ I got the first prize for the best poster presentation.

2) 6th International conference on the Dynamics of Strategy (3rd – 4th June 2004), University of Surrey.

I attended this conference as speaker. My topic was ‘Transformation through Knowledge, evidence from the Financial Services Sector’. The paper was among the best among other Professors such as: Bob de Wit Professor at the Maastricht School of Management in the Netherlands and Professor Richard Whittington Professor of Strategic Management at Business School, Oxford. My paper was selected from Professor David Kirby (Deputy Head of School Research and Enterprise).

3) Centre for risk and insurance studies 26th UK Insurance Economist conference (30th- 31th March 2004), University of Nottingham.

I attended this conference as a delegate. Among the papers presented was measuring competition in UK general insurance markets by Stephen Diacon and the determinants of credit ratings in the UK insurance industry by Professor Philip Hardwick.

25

Page 26: Academic profile

Management Conferences – University of Surrey, U.K, (3 – 4 June 2004 and 10 – 12 April 2006)

1) Transformation through Knowledge, evidence from the Financial Services Sector.

2) Sustainability and Growth. Evidence from the Financial Services Sector.

Book Proposals

1) An introduction to the mutual fund industry. A practical guide for postgraduate, research students and practitioners.

2) Behavioural Finance. Evidence from the Greek Orthodox Christian approach. A practical guide for practitioners.

3) Step - by - step application of Econometrcial Finance. A practical guide for postgraduate and research students.

4) Step – by - step illustration of Financial case studies in terms of theory, practice and six sigma methodoloty. A practical guide for undegraduate, postgraduate and research students.

5) Step - by - step introduction to financial derivatives and asset allocation. A practical guide for undergraduate, postgraduate, practioners and investors.

6) Step –by – step introduction to Hedge funds. A practical guide for postgraduate, research students and investors.

7) Step - by - step introduction to Fixed - income investments. A practical guide for postgraduate, research students and investors.

8) Introduction to mathematical Economics.

9) Introduction to Statistics, Probability and Econometrics.

26

Page 27: Academic profile

10) Introduction to discrete mathematics and Fourier analysis.

11) Introduction to Econometrics.12) Introduction to Corporate Finance.

27

Page 28: Academic profile

CURRICULUM- VITAEPersonal Data

Full Name: Michel Guirguis

Date of birth: 01/02/1974

Nationality: Greek

Address: 94, Terpsichoris road Palaio-Faliro Post Code:17562 Athens Greece Phone: 0030-210- 9841550/ 0030-6982044429

E-mail: [email protected]

Linkedin Profile: https://www.linkedin.com/profile/edit?locale=en_US&trk=preview-profile-no-action-dlg

28

Page 29: Academic profile

Education & Qualifications

07/02/2014 Financial analysis and modelling using Excel and VBA. 16/06/2015 Financial modelling using C++.

27/12/2015 Python language programming for derivatives products.

20/06/2014 Introduction to SQL. 13/05/2014 Introduction to VBA for Excel.

30/07/2014 Excel 2007 advanced report development.

05/03/2013to 01/09/2016 Chartered Institute of Management Accountants, (CIMA). I am covering the syllabus for all levels. The subjects that I am covering are Fundamentals of Management Accounting, Fundamentals of Financial Accounting, Fundamentals of Business Mathematics, Fundamentals of Business Economics, Fundamentals of Ethics Corporate Governance and Business Law, Enterprise Operations, Enterprise Management, Enterprise Strategy, Performance Operations, Performance Management, Performance Strategy, Financial Operations, Financial Management, Financial Strategy, Test of Professional Competence in Management Accounting. No exams will

29

Page 30: Academic profile

be attended due to financial problems.

13/12/2012 Chartered Financial Analyst, (CFA). I am covering the to 30/06/2013 syllabus for Level 2 and 3. The subjects covered are Ethical and Professional Standards, Quantitative Methods, Economics, Financial Reporting and Analysis, Corporate Finance, Equity Investments, Fixed Income, Derivatives, Alternative Investments, Portfolio Management and Wealth Planning. No exams will be attended due to financial problems.

06/10/2012 Currently registered for an online BS’s in Mathematics and Statistics at to 01/09/2017 the Open University in the U.K. The subjects that I will cover are Using Mathematics, Analysing Data, Exploring Mathematics, Practical Modern Statistics, Mathematical Methods and Models, Applications of Probability, Linear Statistical Modelling and Mathematical Statistics.

11/07/2012 Statistical Process Control (SPC) on-line certificate from on-line to 19/07/2012 Moresteam University located in the U.S.A.

21/06/2012 Champion Six Sigma on-line certificate from Quality America to 11/07/2012 located in the U.S.A.

August 2011 Six Sigma Management Qualifications (Yellow, Green, to June 2012 Black Belt and Master Black Belt Certification from Sixsigmaonline Aveta Business Institute located in the U.S.A).

http://www.sixsigmaonline.org/index.html

15/06/2011 Chartered Financial Analyst, (CFA). I have covered the to 15 /07/2012 syllabus for Level 1. No exam attended due to financial problems.

30

Page 31: Academic profile

23/04/2007 Part-time lecturer of e-Learning Quantitative Methods of to 15/06/2007 Business and Management (e-BAM ) course from Bournemouth University.

2005-2006 Postdoctoral Fellowship in Finance at Bournemouth University. “Authors’ earnings in the UK and Germany: a survey of copyright and non-copyright income streams”. A research project financed by Authors Licensing and Collecting Society (ALCS). http://www.alcs.co.uk

2005-2006 Post Graduate Certificate in Academic Practice (Teaching Qualification from the Higher Education Academy, HEA, in the U.K)

2003-2006 Part-time lecturer in Quantitative Decision Techniques (Statistics) at Bournemouth University in the UK. 2002-2005 PhD in Finance, multifactor risk models, from Bournemouth University in the UK.

2000-2001 Military obligations completed.

1998-1999 Master of Arts with Distinction (MA) Financial Services from Bournemouth University. Dissertation: My 15,000-word Thesis is entitled as follows: How can investment banks or mutual funds companies create the optimal portfolio, which maximize return and reduce risk. The methodology used was Linear Programming.

1997-1998 Bachelor of Arts (BA)Hospitality Management from Bournemouth University in the U.K.

31

Page 32: Academic profile

1995-1997 Swiss Diploma in Hotel Management from Alpine College, Associate Institute of (IHTTI) - International Hotel, Travel and Tourism Institute, Switzerland.

1988-1992 GCE A-Level (Mathematics, Physics, Chemistry, Biology) from Saint-Paul School (Piraeus). Career History and seminars JP Morgan Chase, Bournemouth (May 2004- July 2004). Internship, Accounts Receivable and payable. Supported and assisted the team in terms of six sigma project and accounts reconciliation. Key roles: Daily update of FX database, off-balance sheet database. Application of six sigma project in terms of statistical analysis in order to improve the efficiency of the department.

AKS Hinitsa Bay Hotel, Porto-Heli 21300, Argolida, Peloponnese, ( July 2002 – August 2002). In Hinitsa Bay Hotel I worked as night- auditor in the reception desk. My main duties were to collect cash and record accounts receivable from profit centres. In addition, I was responsible to make accounts adjustments and reconcile my cash balance with the trial and post closing balance. I close each business day and ensure the settlement of accounts and invoices.

Eurodiastasi Foreign Language Institute, Xalkokondili 9 & Patision Kanigos square , Greece ( November 2001 – May 2002). In Eurodiastasi Institute, I gained teaching experience working as external part- time teacher. My main duty was to teach Business English to staff of company specialized in pharmaceutical products such as Boehringer Ingelheim Ltd.

Ibis and Interamerican Insurance and Investment Companies Vouliagmenis

32

Page 33: Academic profile

Avenue. Greece (December 2001 – February 2002).Through seminars, I learned how to manage and select the right mutual funds according to various clients needs.

Center of Accounting and Finance Application (KELE) Athens (November 2001-March 2002). In KELE, I have undertook Accounting and Finance seminars based on “Eurofasma” Accounting program which is provided from Singular A.E.

Key Skills Motivated and self confident. Able to work under pressure and to challenging targets. Effective interpersonal skills and communication skills. Reliable, flexible and willing to learn new skills. Solution-orientated with a logical approach.

Special Skills & Other Information Computer Skills acquired during my studies: ΜS Office (Word, Excel, Power-Point, E-views and SPSS). In addition, I know to operate technical

analysis programs such as Metastock Equity Research.

Languages: English Fluent French Fluent Greek Fluent Arabic Moderate German Basic Italian Basic Leisure Interests Travelling, reading books, sports (swimming, cycling, basket-ball), table tennis.

References available upon request

33

Page 34: Academic profile

34