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CARLO AMBROGIO FAVERO

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Deutsche Bank Chair in Quantitative Finance and Asset Pricing

 

The Deutsche Bank Chair in Quantitative Finance and Asset Pricing has been formally launched at Bocconi University in September 2010. Its purpose is to support research dedicated to econometric modeling of asset prices. The view informing our research program is that financial returns are determined by a permanent "information" component and by a temporary "noise" component. The noise component dominates the data over the short-run, while the information component emerges in long-horizon returns. As a consequence, over the short-run there is no predictability of returns and quantitative modeling concentrates on concepts like volatility, contagion, non-normality. In the long-runpredictability emerges as a reflection of the role of fundamentals. Econometric modeling when information matters and predictability emerges is naturally implemented within a multidisciplinary approach. In fact, interdisciplinary research carried out at the interface between finance, economics, and demography generates the relevant empirical models to study returns predictability, long-run risk, longevity risk.

The Chair is also committed to excellence in teaching and to bring new developments to the classroom ( especially those related to programming, originally with MATLAB and now with R ), in particular in the framework of the Bocconi Master program in Finance and the PhD program in Economics and Finance.

The Chair will organize a regular annual conference with the purpose of bringing together researchers, practitioners and institutions playing a leading role in the topics of our main focus.

TEACHING PHILOSOPHYEducation should not be about filling a bucket , but lighting a fire (G.B. Yeats)

 

 

 

Carlo Favero holds a D.Phil. from Oxford University, where he was a member of the Oxford Econometrics Research Centre. He has been professor of Econometrics at Bocconi University from 1994 to 2001 and professor of Economics since 2002. In 2009 he joined the newly formed Dept of Finance at Bocconi University, where he teaches Econometrics. He has published in scholarly journals on the econometric modelling of bond and stock prices, applied econometrics, monetary and fiscal policy and  time-series models for macroeconomics and finance. His research interests have recently extended to estimation and simulation of  realistic models of the spread of SARS-Cov-2  in an economy where the population has different age groups and sectors.  He is a research fellow of CEPR in the International Macroeconomics programme. He is fellow  of the Innocenzo Gasparini Institute for the Economic Research at Bocconi University and a member of the scientific committee of the Centro Interuniversitario Italiano di Econometria (CIDE). He is advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. He has been consulting the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism and bond markets. He is member of the editorial board of the Bocconi Springer Series in Mathematics, Statistics, Finance and Economics. He couthored with A.Alesina and F.Giavazzi the book "Austerity. When it Works and When it Doesn't" (Princeton University Press 2019). The book has been translated in Spanish and Italian and in May 2020 was awarded the Hayek Book Prize by the Manhattan Institute. 

Last change 02/06/2020