CV

Timotheos T. Angelidis, FRM

Assistant Professor in Finance, Department of Economics, University of Peloponnese
22100 Tripolis,
Greece
Email:This email address is being protected from spambots. You need JavaScript enabled to view it.

Web: http://es.uop.gr/angelidis/en/

Short CV

Dr Angelidis obtained his PhD in Finance from the University of Piraeus (Department of Banking and Financial Management) in 2005. The thesis examined Statistical Methods of Calculating Value-at-Risk. He holds an MSc in Finance and Banking also from the University of Piraeus and a BSc in Statistics from the Athens University of Economics & Business. He is currently an Assistant Professor of Finance at the University of Peloponnese (Department of Economics). Before that, he was a Lecturer at the University of Crete and the University of Aegean.

Dr Angelidis' teaching and research interests are in the areas of Portfolio Management and Risk Management. In particular, his current research focuses on the risk and return of global multi-asset strategies, predictability of asset returns, multi factor models and their use in portfolio management, evaluation of exchange traded funds.

He has published 24 articles in referred journals. Among them 10 are in ABS 3* Journals (Journal of Banking and Finance, International Review of Financial Analysis, European Financial Management, Financial Review, Journal of International Financial Markets, Institutions & Money, and Review of Quantitative Finance and Accounting), 4 are in ABS 2* Journals (International Journal of Theoretical and Applied Finance, Applied Financial Economics, and Global Finance Journal) and 3 are in ABS 1* Journals (Managerial Finance, Journal of Risk Finance and Multinational Finance Journal).

His research has been cited more than 170 times in papers published in journals such as: Journal of Banking and Finance, Computational Statistics and Data Analysis, Quantitative Finance, Tourism Management, Applied Financial Economics, The Journal of Risk Finance, Applied Financial Economics Letters, Journal of the Royal Statistical Society: Series C, Review of Quantitative Finance and Accounting, Energy Policy, Emerging Markets Review, The Financial Review and International Review of Economics and Finance. He has also served as referee in 9 international journals, such as the Journal of Applied Econometrics, the Journal of Banking and Finance, Financial Analyst Journal, and the Financial Review.

He teaches postgraduate courses (Financial Management, Risk Management in Banking, Financial Accounting, and Financial Econometrics) and undergraduate modules (Financial and Portfolio Management, Financial Statement Analysis, Money and Capital Markets, and Statistics). His average appraisal during the three last years from the students of the Greek Open University (Financial Management course) is 4.2 out of 5.

Dr Angelidis is Financial Risk Manager — Certified by the Global Association of Risk Professionals.


 

Extended CV

Current Position:

April 2013- Present: Assistant Professor of Finance, Department of Economics, University of Peloponnese (Undergraduate courses taught: Financial Management, Portfolio Management, Financial Accounting, Money, Finance & Banking. Postgraduate courses taught: Principal of Finance, Valuation, Financial Management in the Public Sector).

Other Academic Positions:

May 2015-December 2015: Visiting Lecturer in Finance, International Hellenic University (Postgraduate course taught in English: Risk Management in Banking).

October 2008-Present:  Visiting Lecturer in Finance, Greek Open University (Undergraduate course taught: Financial Management).

September 2007-March 2013: Lecturer in Finance, Department of Economics, University of Peloponnese (Undergraduate courses taught: Financial Management, Portfolio Management, Accounting, Money, Finance & Banking. Postgraduate courses taught: Principal of Finance, Financial Management in the Public Sector).

September 2011-February 2012: Research Visitor, Department of Economics, University of Portsmouth.

September 2006-August 2007: Visiting Lecturer, Department of Economics, University of Crete (Undergraduate course taught: Principal of Statistics).

February 2006-August 2006: Visiting Lecturer, Financial and Management Engineering Department, University of Aegean (Undergraduate courses taught: Financial Econometrics, Merger & Acquisitions)

September 2003 – March 2008: Research Fellow, ALBA Graduate Business School (Postgraduate course taught in English: Eviews tutorial).

Non Academic Positions:

February 2013 – … Risk Consultant at EDEKT Asset Management.

June 2006 – July 2007: Risk Consultant at EDEKT Asset Management.

December 2000 – February 2001: Financial Analyst at Metronet Investment Services.

January 2000 – November 2000: Risk Consultant Assistant at KIGEC Integration Laboratories.

February 1997 - August 1997: Greek Parliament.

Research Interests:

Portfolio and Risk Management: risk and return of global multi-asset strategies, predictability of asset returns, multi factor models and their use in portfolio management, evaluation of exchange traded funds, modeling and forecasting volatility, Value-at-Risk.

Academic Qualifications:

2000-2004

Ph.D in Finance and Banking

University Piraeus, Department of Finance and Banking

Title of Thesis: Statistical Methods of Calculating Value-at-Risk.

Supervisor: Assistant Professor Alexandros Benos

Examiners: Professor G. Diagogiannis, Professor S. Makridakis, Professor N. Pitis, Professor N. Travlos, Professor. D. Maliaropoulos, Associate Professor M. Tsiritakis.

1998-2000

Master in Science in Banking and Finance

University Piraeus, Department of Finance and Banking

Title of Thesis: Derivatives Strategies Based on Volatility Forecasting Techniques.

Supervisor: Associate Professor M. Tsiritakis.

1993-1997

B.Sc. in Statistics

Athens University of Economics and Business, Department of Statistics

Publications in Refereed Journals:

  1. Stock Market Dispersion, the Business Cycle and Expected Factor Returns”. (with A. Sakkas and N. Tessaromatis). Journal of Banking and Finance (2015), forthcoming. ABS 3*
  2. “US stock market regimes and oil price shock”. (with S. Degiannakis and G. Fillis). Global Finance Journal (2015), forthcoming. ABS 2*
  3. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers”, (with A. Andrikopoulos, V. Skintzi). International Review of Financial Analysis (2014), 35, 118-127. ABS 3*
  4. “Global style portfolios based on country indices”, (with N. Τessaromatis). Bankers, Markets & Investors (2014) issue March-April.
  5. "Revisiting mutual fund performance evaluation”, (with D. Giamouridis and N. Tessaromatis). Journal of Banking and Finance, (2013), 37, 1759-1776. ABS 3*
  6. “Idiosyncratic Risk in Emerging Markets”. Financial Review. (2010), 45, 1053-1078. ABS 3*
  7. “The efficiency of Greek public pension fund portfolios”, (with N. Tessaromatis). Journal of Banking and Finance, (2010), 34, 2158-2167. ABS 3*
  8. “Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach.”, (with A. Andrikopoulos). International Review of Financial Analysis, (2010), 19, 214-221. ABS 3*
  9. “Active Portfolio Management with Cardinality Constraints: An Application of Particle Swarm Optimization”. (with N. Thomaidis, V. Vassiliadis and G. Dounias). New Mathematics and Natural Computation (2009) 3, 1-21.
  10. “Idiosyncratic risk matters! A regime switching approach” (with N. Tessaromatis). International Review of Economics and Finance (2009) 18, 132-141. ABS 2*
  11. “The Components of the Bid-Ask Spread: The Case of ASE” (with A. Benos). European Financial Management (2009) 15, 112-144. ABS 3*
  12. “Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach” (with G. Skiadopoulos). International Journal of Theoretical and Applied Finance (2008) 11, 447-469. ABS 2*
  13. “Volatility Forecasting: Intra-day vs. Inter-day Models” (with S. Degiannakis). Journal of International Financial Markets, Institutions & Money (2008) 18, 449-465. ABS 3*
  14. “Does Idiosyncratic Risk Matter? Evidence from European Stock Markets.” (with N. Tessaromatis). Applied Financial Economics (2008) 18, 125-137. ABS 2*
  15. “Idiosyncratic Volatility and Equity Returns: UK Evidence” (with N. Tessaromatis). International Review of Financial Analysis (2008) 17, 539-556. ABS 3*
  16. “Value-at-Risk for Greek Stocks” (with A. Benos). Multinational Finance Journal (2008) 12, 67-105. ABS 1*
  17. “Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market” (with S. Degiannakis). Managerial Finance (2008) 34, 489-497. ABS 1*
  18. “Backtesting VaR Models: A Two-Stage Procedure” (with S. Degiannakis). The Journal of Risk Model Validation (2007) 1, 1-22.
  19. “A Robust VaR Model Under Different Time Periods and Weighting Schemes” (with A. Benos and S. Degiannakis). Review of Quantitative Finance and Accounting (2007) 28, 187-201. ABS 3*
  20. “Liquidity Adjusted Value-at-Risk based on the components of the bid-ask spread” (with A. Benos). Applied Financial Economics (2006) 16, 835-851. ABS 2*
  21. “The Effect of the Market on the Spread: The case of the Athens Stock Exchange” (with A. Benos). Spoudai (2005) 55, 24-33.
  22. “Modeling Risk for Long and Short Trading Positions” (with S. Degiannakis). Journal of Risk Finance (2005) 6, 226-238. ABS 1*
  23. “Market Risk in Commodity Markets: A Switching Regime Approach” (with A. Benos). Economic & Financial Modelling (2004) 11, 103-148.
  24. “The Use of GARCH Models in VaR Estimation” (with A. Benos and S. Degiannakis). Statistical Methodology (2004) 1, 105-128.

Books:

  1. “Investments” (in Greek), Utopia Publishing, 2015, with A. Samitas, D., Kenoyrgios, D. Kousenidis, K. Siriopoulos, A. Drakos.
  2. “Applied Corporate Finance” (in Greek), Broken Hill Publishers, Cyprus, 2013, with E. Tsiritakis and A. Zapranis
  3. “Econometric Modelling of Value-at-Risk. Financial Institutions and Services.”. Nova Science Publishers, USA, (2008), with S. Degiannakis.

Chapters in Edited Volumes:

  1. “Risk and Returns in the Athens Stock Exchange”. (with N. Tessaromatis). ‘The Greek Financial System” 2009, (ed.) E. Tzavalis, Economic University of Athens.
  2. “Value-at-Risk Econometric Modeling”. (with S. Degiannakis) New Econometric Modeling Research, 2008, (ed.) William, N. Toggins, Nova Science Publishers, Inc., USA.

Work in Progress:

  1. Global portfolio management under state dependent multiple risk premia (with N. Tessaromatis).
  2. Evaluation of Global Style Indices (with N. Tessaromatis)
  3. Global Factors and Portfolio Management (with N. Tessaromatis)
  4. Stock Market Dispersion in Emerging Markets.
  5. A simple but adequate model of calculating VaR.

Conference Presentations:

More than 30: World Finance Conference, Venice 2014, Financial Management, Atlanta 2012, Macro and Financial Econometrics Conference Heidelberg University 2011: 7th Meeting on Social Security and Complementary Pensions Systems, IAME 2007: 1st International Workshop in Economics and Finance, 11th  Conference on Macroeconomic Analysis and International Finance, Fifth Conference On Research on Economic Theory and Econometrics,

2005: Conference of the Association of Southern European Economic Theorists, Financial Forecasting F2 section of the European Society of Computational Methods in Sciences and Engineering, 2nd International Conference on Applied Financial Economics, Fourth Conference On Research on Economic Theory and Econometrics, 15th Annual Meeting of the Multinational Finance Society, 12th Annual Meeting of the Multinational Finance Society, 2004 Annual Meeting of the European Financial Management Association, 2008 Annual Meeting of the European Financial Management Association, 8th Conference of the Swiss Society for Financial Market Research, IXth Spring Meeting of Young Economists, The Econometrics of the Microstructure of Financial Markets. 

Guest Seminars:

Department of University of Macedonia, Greece, 2013.

Bangor Business School, Bangor University, UK, 2011.

Surrey Business School, Surrey University, UK, 2011.

ALBA Graduate Business School, Greece, 2011.

Department of Economics, University of Crete, Greece, 2009.

ALBA Graduate Business School, Greece, 2009.

Department of Economics, University of Peloponnese, Greece, 2005.

Department of Economics, University of Ioannina, Greece, 2005.

Refereeing (Academic Journals):

  1. Journal of Banking and Finance.
  2. Financial Analyst Journal.
  3. The Financial Review.
  4. International Review of Economics and Finance.
  5. Journal of Applied Econometrics.
  6. International Review of Financial Analysis.
  7. Journal of Risk Finance.
  8. Applied Financial Economics.
  9. Quantitative Finance.

PhD examinations:

  1. Kolawole Albright, 2015. An examination of Bank Use of Credit Derivatives to mitigate Risk: An empirical analysis of its potency and impact on Bank Portfolio Management and Performance.(External Examination).
  2. Ioannis Chatziantoniou, 2013. Essays on Macroeconometric Modelling: Housing and Financial Markets in the Light of Inflation Targeting Monetary Policy. Evidence from the United Kingdom. (External Examination).
  3. Spiridon, Repousis, 2012. The Effects of Merger and Acquisitions on the Greek Banking System. (Internal Examination)

Professional Certifications:

  1. Financial Risk Manager — Certified by the Global Association of Risk Professionals.

Projects:

  1. November 2007 - October 2009: EDEKT Asset Management. Creation of a Risk Model. Principal Investigator. Budget grant: 16.000€.
  2. October 1999-February 2000: Construction of Eurobank’s EFG Mutual Fund. Junior Research Fellow. Budget grant: 25.000€

DEPARTMENT OF ECONOMICS