I am a professor in Finance and Insurance at Solvay Business School (Brussels). My research topics pertain to the fields of insurance and financial mathematics/engineering. My research has been published in journals such as Finance and Stochastics, Journal of Mathematical Economics, Journal of Risk and Insurance, and Journal of Econometrics.
I was awarded the Robert Mehr Award (2022), the Robert C. Witt Award (2018), the Redington Prize (2015), the PRMIA Award for new frontiers in Risk Management (2014), the Johan de Witt Prize (2012), the SCOR-EGRIE Young Economist Best Paper Award (2011), and the Lloyds Science of Risk Prize (2011).
I am a co-editor of ASTIN Bulletin (the journal of the international Actuarial association) as well as an associate editor of European Actuarial Journal and of Dependence Modeling.
I advise insurers, banks and pension funds on issues such as model development, model risk management, pension solutions, ALM, and credit risk.
Selected Publications
- BOUDT, K., DRAGUN, K., SAURI, O., VANDUFFEL, S. (2022). ETF Basket-Adjusted Covariance estimation. Journal of Econometrics (OPEN ACCESS).
- BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S., WANG, R. (2017). Risk bounds for factor models. Finance and Stochastics.
- BERNARD, C., RUSCHENDORF, L., VANDUFFEL, S. (2017). Value-at-Risk bounds with variance constraints. Journal of Risk and Insurance (received the 2018 Robert. C. Witt award).
- BERNARD, C., CHEN, J.S., VANDUFFEL, S. (2015). Rationalizing investors' choices. Journal of Mathematical Economics.