Riccardo Rebonato

Professor

EDHEC-Risk Climate Impact Institute Scientific Director and Programme Director (Impact of Climate Change on Asset Pricing and Investment Management)

Main contributions

Journal of Empirical Finance (2021), 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 ; 2021), Quantitative Finance (2019)

Discipline: Finance
Faculty: Data Science, Economics & Finance
Expertise: Interest Rate Risk Modelling with Applications to Bond Portfolio Management and Fixed-Income Derivatives Pricing

Publications of Riccardo Rebonato

17.12.2021 - Article in a non peer reviewed journal

Is Basel Faulty? Bank Regulation Is Still Built on Shaky Foundations - Macroprudential Matters

Riccardo Rebonato
|

Macroprudential Maters, December 2021, Pages 1 - 2


23.11.2021 - Article in a peer reviewed journal

Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market

Riccardo Rebonato, Lionel Martellini, Jean-Michel Maeso
|

Journal of Fixed Income, Volume 31, November 2021, Pages 20 - 40


12.10.2021 - Article in a peer reviewed journal

Why Does the Cieslak-Povala Model Predict Treasury Returns?\\ A Reinterpretation

Riccardo Rebonato
|

Journal of Fixed Income, Volume 32, April 2022, Pages 20 - 32


30.07.2021 - Article in a peer reviewed journal

Predicting Future Yields and Risk Premia: The `Blue-Dots' Affine Model

Riccardo Rebonato, Ronzani Riccardo
|

Journal of Fixed Income, Volume 30, November 2020, Pages 5 - 21


02.07.2021 - Article in a peer reviewed journal

Is Convexity Efficiently Priced? Evidence from International Swap Markets

Riccardo Rebonato, Ronzani Riccardo
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Journal of Empirical Finance, Volume 63, September 2021, Pages 392 - 413



Derniers articles EDHEC Vox