Fulvio PEGORARO

Grade : Economiste Banque de France

Mail : pegoraro[arrowbase]ensae.fr

ResearchEducationJobsPublicationsTeachingWork in progressOther

Research Interests

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

Biography

Education

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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
  • 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

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  • 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

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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.
  • ”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)
 
 
 
 

Online Appendix (REVISED MARCH 2012) available here.

 



Teaching

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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

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  • "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

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MY OTHER WEBPAGES
 
 
OTHER AFFILIATIONS
  • 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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