Research Interests

• Dynamic Term Structure Models. 
• Credit Risk Models. 
• Multivariate Non-Linear Time Series Models and Scenarios. 
• Interest Rate Pass-Through Models.

Biography

Education

• 2006 - Paris Dauphine University (France)
  Ph. D. in Applied Mathematics
  Supervisor : Alain Monfort
  Thesis : Discrete Time Factor Models for Asset Pricing

• 2003 - University Ca’ Foscari of Venice (Italy)
  Ph. D. in Economics
  Supervisor : Monica Billio
  Thesis : Discrete Time Pricing Models with Latent Variables

• 2002 - Paris Dauphine University (France)
  Master in Mathematics Applied to Economics and Finance (DEA MASE)

Jobs

• Since January 2020 : Research Economist at the Research and Risk Analysis Directorate of ACPR.
• 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).
• From September to December 2016 : Senior Economist in the Monetary Policy Strategy Division (DG Monetary Policy).
• From September 2014 to August 2017 : Deputy Head of the Financial Economics Research Division (DGEI-DEMFI-RECFIN) at the Banque de France.
• Since July 2015 : IMF Expert.
• From February to September 2012: Acting Deputy Head of the Financial Financial Economics Research Division (DGEI-DEMFI-RECFIN) at the Banque de France.
• From November 2006 to August 2014 : Researcher at the Banque de France, Financial Economics Research Service (DGEI-DEMFI-RECFIN).

Publications

• ”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.

• ”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)).

• "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).

• "Asset Pricing with Second-Order Esscher Transforms" (with Alain Monfort, The Journal of Banking and Finance, 2012, Vol. 36, 1678-1687).

• "Econometric Asset Pricing Modelling" (with Henri Bertholon and Alain Monfort, Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 407-458).

• “Switching VARMA Term Structure Models” (with Alain Monfort, Journal of Financial Econometrics, 2007, Vol. 5, No. 1).

WORKING PAPERS

• "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion" (with Alain Monfort, Jean-Paul Renne and Guillaume Roussellet; December 2019; R&R)

• "Specification Analysis and International Treasury Yield Curve Factors" (with Andy Siegel and Luca Tiozzo 'Pezzoli'; June 2014; R&R)

• "International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment" (with Andy Siegel and Luca Tiozzo 'Pezzoli'; June 2014)

• "Staying at Zero with Affine Processes: An Application to Term-Structure Modeling" (with Alain Monfort, Jean-Paul Renne and Guillaume Roussellet; Revised version March 2015)

• "Regime Switching and Bond Pricing" (with Christian Gourieroux, Alain Monfort and Jean-Paul Renne; June 2013; Journal of Financial Econometrics Invited Lecture, SoFiE, Oxford, June 20th, 2012).

• "Asset Pricing with Second-Order Esscher Transforms" (with Alain Monfort; December 2010).

• “No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth” (with Caroline Jardet and Alain Monfort, Banque de France working paper; REVISED AUGUST 2012).

Online Appendix (REVISED MARCH 2012) available here.

• "Persistence, Bias, Prediction and Averaging Estimators" (with Caroline Jardet and Alain Monfort; REVISED JULY 2011).

• “New Information Response Functions and Applications to Monetary Policy” (with Caroline Jardet and Alain Monfort, REVISED APRIL 2012).

• “Econometric Asset Pricing Modelling” (with Henri Bertholon and Alain Monfort, CREST DP, 2008; Revised)

• “Switching VARMA Term Structure Models” (with Alain Monfort, CREST DP, 2006)

• “Switching VARMA Term Structure Models – Extended Version” (with Alain Monfort, CREST DP, 2006)

• “Multi-Lag Term Structure Models with Stochastic Risk Premia” (with Alain Monfort, CREST DP, 2007)

• “Pricing and Inference with Mixtures of Conditionally Normal Processes” (with Henri Bertholon and Alain Monfort, CREST DP, 2006)

Teaching

EPFL (Lausanne, CH)

Master in Financial Engineering

Fall 2016 and Fall 2017

Quantitative Methods in Finance / Optimization Methods

ESSEC BUSINESS SCHOOL

MSTF

Fall 2014 and Fall 2015

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

Work in progress

• "Scenario Response Distributions" (with Caroline Jardet and Alain Monfort; 2015, coming soon)
• "Time-Varying Interest Rate Pass-Through in the Euro Area: An Adaptive Learning Approach" (2019, coming soon)

Other

• English CV ( pdf file)

• Banque de France ( link )
• SSRN ( link )
• IDEAS Repec ( link )

• Econometric Society, American Finance Association (AFA), Western Finance Association (WFA), Euro Area Business Cycle Network (EABCN), The Society for Financial Econometrics (SoFiE).

"Le centre de la Recherche en Économie et Statistique ne peut être tenu responsable pénalement des infractions aux lois que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur."