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 April 2021 : Research Advisor at the Research and Risk Analysis Directorate of ACPR/Banque de France.
• Since January 2020 : Senior Research Economist at the Research and Risk Analysis Directorate of ACPR/Banque de France.
• 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

• "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.
• ”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

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

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).

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