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Appointments - May 17, 2016

Professor Riccardo Rebonato joins EDHEC-Risk Institute

EDHEC-Risk Institute is very delighted to announce that Professor Riccardo Rebonato, a specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing, has joined EDHEC-Risk Institute on May 2, 2016. He also joined the EDHEC Faculty.

Professor Rebonato was previously Global Head of Rates and FX Research at PIMCO. He also served as Head of Front Office Risk Management and Head of Clients Analytics, Global Head of Market Risk and Global Head of Quantitative Research at Royal Bank of Scotland (RBS). Prior joining RBS, he was Head of Complex IR Derivatives Trading and Head of Head of Derivatives Research at Barclays Capital. Riccardo Rebonato has served on the Board of ISDA (2002-2011), and has been on the Board of GARP since 2001. He was a visiting lecturer in Mathematical Finance at Oxford University (2001-2015).

He is the author of several books, in particular having published extensively on interest rate modelling, risk management, and most notably books on SABR/LIBOR Market Model pricing of interest rate derivatives, as well as on the use of Bayesian nets for stress testing and asset allocation. He has published articles in international academic journals such as Quantitative Finance, the Journal of Derivatives and the Journal of Investment Management, and has made frequent presentations at academic and practitioner conferences.

He holds a doctorate in Nuclear Engineering (Universita' di Milano) and a PhD in Science of Materials (Condensed Matter Physics, Stony Brook University, NY).

Professor Lionel Martellini, Director of EDHEC-Risk Institute, said, “We are truly delighted to welcome Riccardo to our team. A world leading expert in interest rate risk modelling and management, he will further strengthen our expertise in fixed-income securities, a subject already covered at EDHEC-Risk Institute by Professors Frank Fabozzi and Dominic O’Kane, as well as Research Director, Vincent Milhau. Fixed-income investing is a strategic area of development for our institute, with a number of increasing relevant questions for investors, including smart harvesting of interest rate and credit risk premia, the impact of a zero-interest rate environment on bond portfolio management, or efficient interest rate risk management in retirement investing solutions.”