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

12.12.2022 - EDHEC publication

To halt global warming, forget net-zero: aim for net-negative

Riccardo Rebonato
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EDHEC Risk Climate Impact Institute, EDHEC VOX, December 2022


01.10.2022 - Article in a peer reviewed journal

Climate Output at Risk

Riccardo Rebonato, Lionel Melin
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Journal of Portfolio Management, Volume 49, October 2022


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
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Macroprudential Maters, December 2021, Pages 1 - 2


01.11.2021 - Article in a peer reviewed journal

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

Riccardo Rebonato, Lionel Martellini
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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
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Journal of Fixed Income, Volume 32, April 2022, Pages 20 - 32