REBONATO Riccardo, PhD

Professor, Researcher at EDHEC-Risk Institute

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

Tel.: +44 (0)20 7332 5600

Email :

Main academic publications

International Journal of Theoretical and Applied Finance (2020), The Journal of Portfolio Management (2020), The Journal of Derivatives (2019), The Journal of Fixed Income (2019 ; 2020), Quantitative Finance (2019)

Documents to download

CV REBONATO Riccardo...
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EDHEC Publications

International Journal of Theoretical and Applied Finance, Vol. 21, No. 07
Chapter: Stress Testing with Bayesian Nets and Related Techniques: Meeting the Engineering Challenges. Ed. PALGRAVE MACMILLAN
Investors in the Treasury market often observe an upward-sloping yield curve.1 This means that, by assuming ‘duration risk’, they can very often...