Riccardo Rebonato

Professor

EDHEC Climate Institute Research Director and Senior Advisor

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

Bio

Riccardo Rebonato is Scientific Director of EDHEC-Risk Climate Impact Institute and Professor of Finance at EDHEC Business School. He heads EDHEC-Risk Climate Impact Institute’s “Impact of Climate Change on Asset Prices” research programme. He holds doctorates in Nuclear Engineering and Condensed Matter Physics. Riccardo has been Head of Derivatives Trading, Risk Management and Research for leading international financial institutions on the sell- and buy-side, and served on the boards of ISDA and GARP. He was previously a Professorial Visiting Fellow at Edinburgh University (Political Economics and Sociology), Visiting Lecturer at Oxford University (Mathematical Finance), Adjunct Professor at Imperial College, London (Financial Economics) and a Research Fellow in Physics at Corpus Christi College, Oxford. Riccardo is currently Series Editor for the Cambridge Elements in Quantitative Finance. He has published an extensive body of academic work, including more than 10 books and approximately 50 articles in refereed journals, in the areas of derivatives pricing, risk management, asset pricing and, latterly, the economics of climate change. His latest book “How to Think About Climate Change” (Cambridge University Press) deals with using economics to tackle climate change. The Journal of Portfolio Management named him 2022’s “PMR Quant Researcher of the Year”.

Publications of Riccardo Rebonato

15.10.2023 - EDHEC publication

Why We Need a New Generation of Climate Scenarios

Riccardo Rebonato
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EDHEC Risk Climate Impact Institute, EDHEC-Risk Climate Impact Institute Publication, October 2023


01.10.2023 - Article in a peer reviewed journal

Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk

Riccardo Rebonato
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Journal of Portfolio Management, Volume 50, October 2023, Pages 113 - 133


01.08.2023 - Article in a peer reviewed journal

The Q-Measure Dynamics of Forward Rates

Riccardo Rebonato
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Annual Review of Financial Economics, Volume 50, August 2023, Pages 493 - 522


20.07.2023 - Article in a peer reviewed journal

Can Representativeness Explain the Predictability of Treasury Bonds Returns?

Riccardo Rebonato, Riccardo Ronzani
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Journal of Fixed Income, July 2023


04.07.2023 - Working paper

Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk

Riccardo Rebonato
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EDHEC-Risk Climate working paper, July 2023