Research Interests | [haut] |
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Dynamic Term Structure Models.
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Credit Risk Models.
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Multivariate Non-Linear Time Series Models and Scenarios.
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Interest Rate Pass-Through Models.
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Biography |
Education | [haut] |
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2006 - Paris Dauphine University (France)
Ph. D. in Applied Mathematics
Supervisor : Alain Monfort
Thesis : Discrete Time Factor Models for Asset Pricing
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2003 - University Ca’ Foscari of Venice (Italy)
Ph. D. in Economics
Supervisor : Monica Billio
Thesis : Discrete Time Pricing Models with Latent Variables
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2002 - Paris Dauphine University (France)
Master in Mathematics Applied to Economics and Finance (DEA MASE)
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Jobs | [haut] |
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Since April 2021 : Research Advisor at the Research and Risk Analysis Directorate of ACPR/Banque de France.
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Since January 2020 : Senior Research Economist at the Research and Risk Analysis Directorate of ACPR/Banque de France.
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From September 2017 to December 2019 : Principal Economist in the Monetary Analysis Division (DG Monetary Policy) of the European Central Bank (in the Capital Markets/Financial Structure Division from January to June 2018).
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From September to December 2016 : Senior Economist in the Monetary Policy Strategy Division (DG Monetary Policy).
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From September 2014 to August 2017 : Deputy Head of the Financial Economics Research Division (DGEI-DEMFI-RECFIN) at the Banque de France.
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Since July 2015 : IMF Expert.
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From February to September 2012: Acting Deputy Head of the Financial Financial Economics Research Division (DGEI-DEMFI-RECFIN) at the Banque de France.
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From November 2006 to August 2014 : Researcher at the Banque de France, Financial Economics Research Service (DGEI-DEMFI-RECFIN).
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Publications | [haut] |
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"Affine Modelling of of Credit Risk, Pricing of Credit Events and Contagion" (Alain Monfort, Jean-Paul Renne and Guillaume Roussellet), Management Science, 2020, Vol. 67(6), 3321-3984.
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”Staying at Zero with Affine Processes: An Application to Term Structure Modelling” (Alain Monfort, Jean-Paul Renne and Guillaume Roussellet), The Journal of Econometrics, 2017, Vol. 201, 348-366.
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”Regime Switching and Bond Pricing” (Christian Gourieroux, Alain Monfort and Jean-Paul Renne), The Journal of Financial Econometrics, 2014, Vol. 12, No. 2, 237-277 (Invited Lecture, SoFiE, Oxford, June 20th, 2012).
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"No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth" (with Caroline Jardet and Alain Monfort), The Journal of Banking and Finance, 2013, Vol. 37, 389-402.
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"Asset Pricing with Second-Order Esscher Transforms" (with Alain Monfort), The Journal of Banking and Finance, 2012, Vol. 36, 1678-1687.
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"Econometric Asset Pricing Modelling" (with Henri Bertholon and Alain Monfort), Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 407-458.
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“Switching VARMA Term Structure Models” (with Alain Monfort), Journal of Financial Econometrics, 2007, Vol. 5, No. 1.
WORKING PAPERS
Online Appendix (REVISED MARCH 2012) available here.
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Teaching | [haut] |
ENSAE
Finance & Gestion des Risques
Spring 2021
Econometrics of Commodity and Asset Pricing
EPFL (Lausanne, CH)
Master in Financial Engineering
Fall 2016 and Fall 2017
Quantitative Methods in Finance / Optimization Methods
ESSEC BUSINESS SCHOOL
MSTF
Fall 2014, Fall 2015 and Spring 2017
Fixed Income and Credit Risk
Syllabus available here
TOULOUSE SCHOOL OF ECONOMICS
Master 2 - Financial Markets and Intermediaries
Spring 2014
Financial Econometrics
Syllabus available here (updated)
Lecture 1
Basic Concepts in No-Arbitrage Asset Pricing (useful for Lectures 2 and 3)
Lecture 2 (updated)
Lecture 3 (updated)
Lecture 4 (updated)
UNIVERSITY OF LAUSANNE
Faculté des Hautes Etudes Commerciales (HEC)
Master of Science in Finance - Fall 2009 - Fall 2010 - Fall 2011 - Fall 2012
Fixed Income and Credit Risk (Assistant: Roberto Marfè)
Syllabus available here
Course Website
ST. GALLEN UNIVERSITY
Ph.D. Programme in Economics and Finance (PEF) - Spring 2011
No-Arbitrage Discrete-Time Asset Pricing
Syllabus available here
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Work in progress | [haut] |
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"Scenario Response Distributions" (with Caroline Jardet and Alain Monfort; 2015, coming soon)
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"Time-Varying Interest Rate Pass-Through in the Euro Area: An Adaptive Learning Approach" (2019, coming soon)
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Other | [haut] |
MY OTHER WEBPAGES
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Banque de France ( link )
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SSRN ( link )
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IDEAS Repec ( link )
OTHER AFFILIATIONS
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Econometric Society, American Finance Association (AFA), Western Finance Association (WFA), Euro Area Business Cycle Network (EABCN), The Society for Financial Econometrics (SoFiE).
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