Faculty and researchers

REBONATO Riccardo, PhD

Professor

Speciality : Finance

Expertise : Interest Rate Risk Modelling with Applications to Bond Portfolio Management and Fixed-Income Derivatives Pricing

EDHEC Business School
10 Fleet Place, Ludgate
London EC4M 7RB - England

Tél. : +44 (0)207 871 6740
Fax : +44 (0)207 2482 209

Email : riccardo.rebonato@edhec.edu

Documents to download

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CV REBONATO Riccardo...

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Publications edhec

PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?

International Journal of Theoretical and Applied Finance, Vol. 21, No. 07

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

Journal of Derivatives, Vol. 25, Issue 3, Spring 2018

The Palgrave Handbook of Unconventional Risk Transfer.

Chapter: Stress Testing with Bayesian Nets and Related Techniques: Meeting the Engineering Challenges. Ed. PALGRAVE MACMILLAN

Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor

Investors in the Treasury market often observe an upward-sloping yield curve.1 This means that, by assuming ‘duration risk’, they can very often...

The ERI Stress Testing Tool: A Coherent Approach to Stress Testing

Risk management, prudential macro- and micro-regulation, portfolio allocation and, in general, the strategic analysis of financial and economic...

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Press Articles

Fed's low confidence signals recession

Pimco rates and FX head switches to academia

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.