I’m a Ph.D. candidate at ESSEC Business School in Paris, France. My main research focus is on the emerging field of crypto-assets. Crypto-assets are based on a distributed network and can provide a wide variety of services, ranging from payment systems to distributed cloud storage by proposing a novel and innovative framework that allows for peer to peer interaction without the need of a centralized third party.




Research

Research Interests

My main research focus is on the emerging field of crypto-assets and the blokchcain technology. Crypto-assets are based on a distributed network and can provide a wide variety of services, ranging from payment systems to distributed cloud storage by proposing a novel and innovative framework that allows for peer to peer interaction without the need of a centralized third party. My research investigates financial stability implications of crypto-assets in the wider financial system, as well as alternative investment strategies using crypto-assets. Lastly, empirical asset pricing and sustainable finance constitute further areas of interest.


Working Papers

Contagious Volatility

Bastien BUCHWALTER
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Keywords: Volatility Spillovers, Crypto-assets, Financial Stability


How does uncertainty of crypto-assets affect traditional asset classes? Using a vector autoregression (VAR) methodology, we answer this question by analyzing volatility spillovers between five asset classes (crypto-assets, stocks, bonds, fiat- currencies, and commodities). Given the vast heterogeneity within each asset class, our VAR specification accounts for cross-sectional variation across and within each asset class. By transforming the VAR residuals into sectoral shocks, we are able to distinguish between volatility spillovers across, and volatility co-movements within asset classes. We find that on average volatility of crypto-assets accounts for 15% of the volatility contagion received by traditional asset classes. The directional spillovers from crypto-asset to bonds and to fiat-currencies are particularly strong, capturing the wealth channel and the remittance channel, respectively.


Decrypting Crypto-assets

Bastien BUCHWALTER
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Keywords: Blockchain, Classification of Crypto-assets, Coins and Tokens


This paper, which is intended for a non-technical audience, aims at explaining the blockchain technology and addressing misconceptions about crypto-assets. We define crypto-assets as all assets that are based on a distributed blockchain. The greatest misunderstanding consists of the fact that not all crypto-assets are crypto-currencies. It is true that each distributed blockchain has a native currency. However, it primarily serves as an incentive mechanism for individuals to maintain and update the distributed network. Crypto-assets can, for instance, also be used as a mean of cloud storage or cloud computing. Understanding how different crypto-assets interact with the blockchain technology and what other purpose the native currency fulfills is key to establishing a comprehensive classification.


Tail Risk, Core Risk and Expected Stock Returns

Johannes BRECKENFELDER, Bastien BUCHWALTER, Roméo TEDONGAP
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Keywords: Realized Variance, Asymmetry, Predictability


Expected returns should not only include rewards for accepting the risk of a po- tential downside loss, but also discounts for potential upside gains. Since investors care differently about upside gains versus downside losses, they require a risk pre- mium for bearing the relative downside risk. We show that conditional asymmetry forecasts equity market returns in the short run. Our short-term expected return predictors, the tail asymmetry and the core asymmetry, capture more variation in equity returns than the variance risk premium, a forward-looking measure, or the price-dividend ratio. Further, our predictors can easily be extracted from realized return series.


Heterogeneity and Volatility Regimes of Crypto-assets

Bastien BUCHWALTER, José DIAS, Sofia RAMOS
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Keywords: Crypto-assets, Regime Switching Models, Heterogeneity


Crypto-assets attract more and more investors due to their potential returns and diversification benefits. Contrary to popular believe, only a minority of crypto-assets are crypto-currencies. Thus in our study, we distinguish between payment crypto- assets (i.e. crypto-currencies), platform crypto-assets and protocol crypto-assets. In light of the heterogeneity of crypto-asset, we show that they present different regime dynamics. More precisely, the different subgroups of crypto-assets tend to regroup in three separate clusters. That is, the analysis yields four regimes with different lev- els of variance: ranging from extremely ‘low’ through ‘neutral’ and ‘high’ volatility regimes up to ‘explosive’ volatility. The clusters of crypto-assets distinguish them- selves by the time they spend in the ‘explosive’ and ‘neutral’ volatility regime.


Work in Progress

Risk Sharing in Blockchain Mining Pools

Bastien BUCHWALTER, Nima FAZELI
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Keywords: Mining Pools, Blockchain, Risk Sharing


This paper formalizes a framework to explain why (and under which circumstances) individual miners decide to join a mining pool. The multiple agent setup endogenously determines pool size and pool fees based on the miners’ risk aversion.




Teaching

Teaching Philosophy

My motivation to pursue a career in academia not only stems from my passion in doing research, but also builds on my wish to train, mentor, and inspire students. My philosophy of teaching is built on three objectives: I want students to learn the fundamental concepts, develop problem-solving strategies and be able to apply those skills outside the classroom.


Classes and Teaching Interests

My teaching interests concentrate around Finance and Financial Techonologies. In the recent years we witnessed a wide reaching transformation of the finance world with new financial products providing new ways to invest and interact.

List of classes:


Course Evaluations

My average course evaluation is 4.83/5. Please feel free to contact me for more details. The following comments are quoted from the course evaluations:




Vita

Academic Positions

2020 - present Assistant Professor, Finance at SKEMA Business School, Paris, France
2019 - 2020 Lecturer, Finance at ESSEC Business School, Paris, France

Education

Ph.D. Finance ESSEC Business School, Paris, France, 2020
M.Phil. Finance ESSEC Business School, Paris, France, 2017
M.Sc. Quantitative Economics Eberhard Karls University, Tübingen, Germany, 2015

Selected Seminars and Conferences

2019 Paris December Finance Meeting, Paris, France
Seminar Series, Bank of Canada, Ottawa, Canada
CEMA Annual Meeting, Carnegie Mellon University, Pittsburgh, USA
2018 Computational and Financial Econometrics, University of Pisa, Pisa, Italy
FinTech and Crypto-Finance, NEOMA Business School, Paris, France

Curriculum Vitae

For more information please feel free to download my CV here or to contact me directly.



Contact

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Bastien Buchwalter

Ph.D. Candidate Finance

ESSEC Business School

[email protected]








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