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Portrait : Maxime Bonelli

23/09/2014

Research and industry partnership focused on quantitative risk management

Maxime Bonelli Maxime Bonelli

Thanks to funding under a CIFRE agreement, Maxime Bonelli is preparing a PhD thesis on behavioural finance with TOSCA team project*. At the same time as pursuing his PhD, he also works at Koris International, a financial investment advisory firm. Maxime is very enthusiastic about his research area and appreciates the mutual contributions between academia and industry. 

How did you become interested in the world of finance?

I first became interested in finance when I was on a year's exchange programme at the École Polytechnique Fédérale de Lausanne (Switzerland). I went on to specialise in Finance and Insurance during my last year studying Mathematical Engineering at Polytech Nice-Sophia, then I did an internship at Koris International. This financial investment advisory firm is based in Sophia Antipolis, as is Polytech engineering school. My work placement went really well and I had in mind to pursue a PhD: so the CIFRE financing was just perfectly suited.

How did you set up your thesis research?

Koris International was quick to offer their support for my PhD thesis project, since my subject fits perfectly with their R&D strategy. I then contacted Mireille Bossy, Research Director in the TOSCA team*, I had attended her courses on advanced probabilities and stochastic calculation related to finance. She agreed to supervise my thesis. At the same time, I applied for funding from the ANRT, in the form of a CIFRE* grant.

I am currently working on financial econometrics, and especially on behavioural finance. This consists in taking into account some human behaviour factors that makes the financial markets not as efficient as they should be in theory. The title of my PhD thesis is "Approche finance comportementale pour l’évaluation de risques en gestion quantitative de portefeuille" (A behavioural finance approach for risk assessment in quantitative portfolio management).

In concrete terms, how do you carry out your research?

I generally spend one day a week with the TOSCA* team at the Inria Sophia Antipolis research centre and the rest of the week I work at Koris. Relations between the two entities are very good. At the moment, I am dedicating the majority of my time to my thesis research, but I also carry out financial engineering studies at Koris.

Thanks to this thesis, I can combine my academic studies and my daily work at Koris, a firm with a very strong focus on R&D. I have the opportunity, and this is also my objective, to apply my research within an industrial framework. It is extremely motivating. At the end of my first year of research, I have completed two scientific papers that are going to be submitted for publication in international journals. This allows my supervisors at Inria to see that my research is in progress and my supervisors at Koris to see that I am capable to enhance my research and to generate added-value for the company.

CIFRE (training-through-research agreements) is a funding programme available to any company which takes on a doctoral student whose research will take place within a research collaboration with a state-run laboratory. The research must be validated by a thesis viva examination within three years. CIFRE agreements are funded , in part, by the French Ministry of Higher Education and Research which has delegated their implementation to the ANRT (the French National Research and Technology Association).

*Joint project team Inria, Université de Lorraine, CNRS, Institut Elie Cartan Nancy (IECN) (UMR7502)

Keywords: Quantitative risk management Behavioural finance Cifre agreement TOSCA Koris International

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