Christian Walter

Biography

Christian Walter is chartered actuary of the French Institute of Actuaries (IA). After being graduate of ESSEC (1983), he obtained his doctorate in Economics (1994) and his Habilitation à diriger des recherches (HDR) in Management Science (2004). He has been a visiting scholar at Yale University. He has taught at the University of Evry (mathematics department) and Sciences Po Paris for several years, before joining the University of Paris 1 Panthéon-Sorbonne. He also taught at the University of Columbia (New York) as visiting professor. He is a frequent lecturer and the author of several publications in actuarial mathematics, finance, and history of financial thought.

He has a 30 years’ experience in financial industry (banks, asset managers, consulting firms) in various areas covering asset allocation, risk management, performance measurement and analysis, quantitative products etc. He has conducted a large-scale project on the use of benchmarks in asset management and asset-liability modelling.

His research explores financial markets by combining different fields (mathematical, economic, philosophical and historical) with an special emphasis on the complex interplays between history of science, modern mathematical finance and ethical perspectives. The innovative research program “History and epistemology of finance” he launched in 1996 at the FMSH traced the roots of financial theory and opened a new field: the critical analysis of theoretical foundations of finance. New research interests cover the study of performativity in finance and the impacts of financial theory on the financial industry. Current research centres on financial ethics.

His book Le modèle de marche au hasard en finance (Paris, Economica, 2013) received the “distinction of honor” of the 2014 Turgot prize (best book in economics of the year). His last book Extreme Financial Risks and Asset Allocation (with Olivier Le Courtois), (London, Imperial College Press, 2014) address the issue of discontinuities in financial markets (http://www.worldscientific.com/worldscibooks/10.1142/P907).

Main articles cover: in-depth analysis of the market efficiency concept, Lévy modelling for behaviour of stock market prices and asset pricing, history of financial thought, critical analysis of the financial mathematical concepts.

Selective bibliography

Books

2014, Extreme Financial Risks and Asset Allocation, London, Imperial College Press, Series in Quantitative Finance, 357 p. Prix Kulp-Wright 2016 (avec Olivier Le Courtois).

2013, Le modèle de marche au hasard en finance, Paris, Economica, coll. « AAA », 436 p.

2012, Risques financiers extrêmes et allocation d’actifs, Paris, Economica, coll. « Finance », 368 p. Ouvrage préfacé par Yacine Aït-Sahalia (avec Olivier Le Courtois).

2002, Les marchés fractals. Efficience, rupture et tendances sur les marchés financiers, PUF, coll. Finance, 194 p. Ouvrage préfacé par Benoît Mandelbrot (avec Jacques Lévy Véhel).

Articles

2020, “Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections”, Sustainability, 12(18), 7789. 

2020, “Regulation risk”, North American Actuarial Journal, Published online: 18 Mar 2020. 

2019, "The Brownian Motion in Finance: An Epistemological Puzzle", Topoi, 38, 1-17

2016, "The three ages of financial quantification: a conventionalist approach to the financier's metrology", Historical Social Research, 41 (2), 155-177 (avec Eve Chiapello).

2016, "The financial Logos: The framing of financial decision-making by mathematical modelling", Research in International Business and Finance, 37, 597-604.

2015, « La seconde quantification de la finance », Cités. Philosophie, Politique, Histoire, 64 (4), 49-59.

2014, « The Computation of Risk Budgets under the Lévy Process Assumption », Finance, 35 (2), 87-108 (avec Olivier Le Courtois).

Books chapters

2020, “Financial Black Swans: Unpredictable Threat or Descriptive Illusion?”, in Denise Jodelet, Jorge Vala, Ewa Drozda-Senkowska (eds.), Societies Under Threat: A Pluri-disciplinary Approach, Frontiers in Sociology and Social Research, vol 3. Springer, 173-186. 

2018, « The leptokurtic crisis and the discontinuous turn in financial modelling », in Isabelle Chambost, Marc Lenglet, Yamina Tadjeddine (eds.), The Making of Finance. Perspectives from the Social Sciences, Routledge

2017, « Research habits in financial modelling: the case of non-normality of market returns in the 1970s and the 1980s », in Emiliano Ippoliti and Chen Ping (eds.), Methods and Finance. A Unifying View on Finance, Mathematics and Philosophy, Springer, 79-93 (avec Boudewijn De Bruin)

2017, « The extreme value problem in finance: comparing the pragmatic programme with the Mandelbrot programme », in François Longin (ed.), Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications, Wiley, 25-51.

2017, « Lévy processes and extreme value theory », in François Longin (ed.), Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications, Wiley, 171-193, avec Olivier Le Courtois.

2015, « Benoît Mandelbrot in finance », in Michael Frame and Nathan Cohen (eds.), Benoît Mandelbrot. A life in many dimensions, Singapore, World Scientific Publishing Co., 459-69.

Publications edited

2010, Nouvelles normes financières. S’organiser face à la crise, Paris, Springer, 250 p.

2008, Critique de la valeur fondamentale, Paris, Springer, 204 p. Ouvrage préfacé par Bertrand Jacquillat (avec Éric Brian).