Bios

Organisers

 

George Kapetanios

Queen Mary, University of London

George works in the area of econometrics and macroeconomics. In the area of econometrics he is interested in (i) the analysis of nonlinear econometric models, (ii) nonlinear unit root tests, (iii) factor models for large datasets (iv) model selection (v) tests of rank (vi) tests of nonlinearity and (vii) econometric forecasting. He has developed unit root tests that are powerful against nonlinear stationary processes for a variety of nonlinear alternative hypotheses.

He has developed new tests for nonlinearity with very favourable size and power properties. He has proposed a new methodology for estimating factors from large datasets using state space models. In the area of macroeconomics he has investigated the persistence properties of a number of macroeconomics series and used state space and nonlinear models to forecast GDP for Europe and the US.

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George Kapetanios

George Kapetanios

Queen Mary, University of London

George Skiadopoulos

Queen Mary, University of London and University of Piraeus

George Skiadopoulos is a Professor in the School of Economics and Finance at Queen Mary, University of London, and an Associate Professor at the University of Piraeus in the Department of Banking and Financial Management and he. He is also an Associate Research Fellow at Warwick Business School, University of Warwick, and an Honorary Senior Visiting Fellow at Cass Business School, City University, UK.

His research interests lie in the areas of commodities, financial derivatives, portfolio construction and risk management. His work has been published in academic journals such as the Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, and the International Journal of Forecasting. He serves in the editorial Boards of the Journal of Banking and Finance, Journal of Business Finance and Accounting, Journal of Derivatives and of the Multinational Finance Journal.

Before joining academia, George worked in the R&D department of the Athens Derivatives Exchange and he has acted as a consultant to various financial institutions. He has taught at a number of UK and Greek Universities and he has provided a number of executive training courses in Athens, London, and Barcelona. He has also served in the Academic Advisory Board of the Professional Risk Managers International Association (PRMIA).

George holds a B.Sc. from the Department of Economics of the Athens University of Economics and Business (first class degree, ranked first in his graduating class), an M.Sc. in Mathematical Economics and Econometrics from the London School of Economics, and a Ph.D. from the University of Warwick.

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George Skiadopoulos

George Skiadopoulos

Queen Mary, University of London and University of Piraeus

Speakers

 

Turan Bali

Georgetown University

Turan G. Bali is the Robert S. Parker Chair Professor of Business Administration at the McDonough School of Business at Georgetown University. He received his Ph.D. from the Graduate School and University Center of the City University of New York in 1999. Before joining Georgetown University, Professor Bali was the David Krell Chair Professor of Finance at the City University of New York. He also held visiting faculty positions at New York University and Princeton University, reviewed books for several publishers, and served on the review committees of the National Science Foundation, Research Grants Council of Hong Kong, Scientific and Technological Research Council of Turkey, and Social Sciences and Humanities Research Council of Canada.

Professor Bali specializes in asset pricing, risk management, fixed income securities, and financial derivatives. A founding member of the Society for Financial Econometrics, he has worked on consulting projects sponsored by major financial institutions and government organizations in the U.S. and other countries. In addition, he currently serves as an Associate Editor for the Journal of Financial and Quantitative Analysis, the Journal of Banking and Finance, the Journal of Futures Markets, the Review of Financial Economics, the Journal of Portfolio Management, and the Journal of Risk. He also serves as an ad-hoc reviewer for numerous journals in economics, finance, statistics, and operations research.

With more than 50 published articles in economics and finance journals, Bali’s work has appeared in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, Management Science, and many others. Bali's research has also been featured in newspapers, magazines, and practitioner-oriented outlets.

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Turan Bali

Turan Bali

Georgetown University

Peter Christoffersen

University of Toronto

Peter Christoffersen is a Professor of Finance at the Rotman School of Management at the University of Toronto and a Fellow of the Bank of Canada. He is the author of Elements of Financial Risk Management and his research articles have been published in a number of leading finance and econometrics journals. He is currently an associate editor of the Review of Financial Studies, Review of Finance, Journal of Applied Econometrics, the Journal of Financial Econometrics, and the Journal of Risk. He also serves on the Model Validation Council at the Board of Governors of the Federal Reserve. Before joining the Rotman School in 2010 he taught at McGill University and worked as an economist at the International Monetary Fund in Washington, DC. He is also affiliated with the Copenhagen Business School and with CREATES.

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Peter Christoffersen

Peter Christoffersen

University of Toronto

Joost Driessen

Tilburg University

Joost Driessen is Professor of Financial Derivatives at Tilburg University. Joost has published his academic research in journals such as the Journal of Finance, Review of Financial Studies, Journal of Econometrics, and the Journal of Financial Economics. He has presented his research at many universities, financial institutions, and international conferences. His research has been sponsored by a VENI-grant of the Netherlands organisation of Scientific Research (NWO), Inquire, GARP, BSI-Gamma Foundation and Netspar. In November 2009 he received a VIDI grant from NWO. He is currently head of the Finance Department at Tilburg University. Joost obtained his Ph.D. at Tilburg University in 2001. He previously held a position at the University of Amsterdam (2001 to 2009), had parttime positions at several financial institutions and is currently research fellow at CEPR and Netspar. His current research interests include liquidity risk, derivative markets, corporate bonds and credit risk, optimal portfolio choice, and private equity. At Tilburg University, Joost teaches courses in Derivatives and Investments.

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Joost Driessen

Joost Driessen

Tilburg University

Eric Jondeau

HEC Lausanne

Eric Jondeau is Professor of Finance at the University of Lausanne, Switzerland. He graduated from the French National School of Statistics and Economics (ENSAE, Paris) and holds a PhD in Economics from the University of Paris-Dauphine. He is also fellow of the French Actuaries Institute.

Before joining HEC Lausanne in 2004, he worked in the French banking industry (Caisse des Dépôts et Consignations, Banque Indosuez, and Banque de France). He has been the Director of the Institute of Banking and Finance from 2006 to 2012 and is now the Director of the Center for Risk Management – Lausanne.

His main research interests are financial econometrics, the modelling of asset prices, portfolio allocation under non-normality, and the estimation of rational expectations models. His papers have been published in a variety of academic journals including the Journal of Econometrics, the Review of Finance, the Journal of Financial Econometrics, and the Journal of Business and Economic Statistics.

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Eric Jondeau

Eric Jondeau

HEC Lausanne

Michael Neumann

Queen Mary, University of London

Michael Neumann is a Lecturer in Finance at the School of Economics and Finance at Queen Mary, University of London. He has also been teaching at the London School of Economics in the past. Michael’s research interests are in Empirical Finance, Derivatives Markets, Asset Pricing, Market Microstructure, and Financial Econometrics. His work has been published in leading academic journals and presented in various international conferences. Michael has obtained a Ph.D. from Queen Mary, University of London and holds an M.Sc. from Munich University of Technology.

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Michael Neumann

Michael Neumann

Queen Mary, University of London

Lubos Pastor

University of Chicago

Lubos Pastor is Charles P. McQuaid Professor of Finance at the University of Chicago Booth School of Business. He is also co-director of the Fama-Miller Center for Research in Finance, Vice President of the Western Finance Association, member of the CRSP Indexes Advisory Council, Research Associate at the National Bureau of Economic Research, and Research Fellow at the Centre for Economic Policy and Research. In addition, he is an Associate Editor of the Journal of Finance and Journal of Financial Economics, and a former Associate Editor of the Review of Financial Studies.

Professor Pastor’s research focuses mostly on financial markets and asset management. He has written on a broad range of topics such as liquidity risk, political uncertainty, stock price bubbles, stock volatility, return predictability, technological revolutions, portfolio choice, performance evaluation, returns to scale in active management, indexing, and IPOs. He has analyzed various effects of parameter uncertainty and learning in finance. His articles have appeared in the American Economic Review, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Review of Financial Studies, as well as nonacademic outlets such as Bloomberg and the Financial Times.

His research has been awarded numerous prizes, such as two Smith Breeden Prizes, two Fama/DFA Prizes, Whitebox Advisors Selected Research Prize, Goldman Sachs Asset Management Prize, Barclays Global Investors Prize, Rothschild Caesarea Center Best Paper Award, two Geewax, Terker & Co. Prizes, Marshall Blume Prize, the NASDAQ Award, and the Q Group Award.

Professor Pastor has been teaching at Chicago Booth since 1999 when he obtained a Ph.D. in finance from the Wharton School at the University of Pennsylvania. He has received the McKinsey Award for Excellence in Teaching as well as two Faculty Excellence Awards at Chicago Booth.

In his student years, Professor Pastor won awards in chess and mathematics, mainly in his native Slovakia. In his spare time, he enjoys sports, reading, and spending time with his family.

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Lubos Pastor

Lubos Pastor

University of Chicago

Lasse Heje Pedersen

New York University

Lasse Heje Pedersen is the John A. Paulson Professor of Finance and Alternative Investments at the NYU Stern School of Business, a professor at Copenhagen Business School, a principal at AQR Capital Management, and a research associate at CEPR and NBER. He has served as Director of the American Finance Association, in the Liquidity Working Group meeting at the Federal Reserve Bank of New York to address liquidity issues, in the New York Fed’s Monetary Policy Panel, in the Economic Advisory Boards of NASDAQ and FTSE, and on the editorial boards of the Journal of Finance, Journal of Economic Theory, The Review of Asset Pricing Studies, and Quarterly Journal of Economics. His academic awards include the Bernácer Prize to the best E.U. economist under 40 years of age, the Banque de France-TSE Prize, the Fama-DFA Prize, and the Michael Brennan Award. Lasse received his B.S. and M.S. from University of Copenhagen and his Ph.D. from Stanford University Graduate School of Business.

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Lasse Heje Pedersen

Lasse Heje Pedersen

New York University

Christopher Polk

London School of Economics

Professor of Finance; Director, Financial Markets Group (FMG)

Research interests

  • Asset Pricing
  • Corporate Finance
  • Hedge Funds
  • Macroeconomics
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Christopher Polk

Christopher Polk

London School of Economics

Dimitri Vayanos

London School of Economics

Dimitri Vayanos is Professor of Finance at the London School of Economics, where he also directs the Paul Woolley Centre for the Study of Capital Market Dysfunctionality. He received his undergraduate degree from Ecole Polytechnique in Paris and his PhD from MIT. Prior to joining the LSE, he was faculty member at Stanford and MIT. His research, published in leading economics and finance journals, such as the Journal of Finance, the Journal of Financial Economics, the Quarterly Journal of Economics, the Review of Economic Studies, and the Review of Financial Studies, focuses on financial markets, and especially on what drives market liquidity, why asset prices can differ from assets’ fundamental values, why bubbles and crises can occur, and what are appropriate regulatory and policy responses. He is an Editor of the Review of Economic Studies, a Fellow of the British Academy, a Director of the American Finance Association, a Research Fellow at CEPR and a past Director of its Financial Economics program, a Research Associate at NBER, and a current or past Associate Editor of a number of journals including the Review of Financial Studies and the Journal of Financial Intermediation.

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Dimitri Vayanos

Dimitri Vayanos

London School of Economics

 

Chairs

 

Richard Baillie

Queen Mary University of London

Richard is a part time professor at QMUL and is the A J Pasant Professor of Economics and Finance at the Michigan State University, USA. He works in the area of dynamic econometric methods, international finance, asset pricing and time series analysis. His current main research interests are the theory of long memory processes, modelling volatility, general issues in prediction, international finance parity conditions, modelling risk premium, and the effects of central bank intervention. He has published over seventy articles in the main professional journals and is a Fellow of the Journal of Econometrics and an elected Fellow of the American Statistical Association. According to Repec, he is in the top 3% of all economists for citations and has an "h" statistic of 19. He is Co-Editor of the Journal of Empirical Finance and also serves as Associate Editor of a number of other journals and is visiting Scholar at the Federal Reserve Bank of Atlanta.

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Richard Baillie

Richard Baillie

Queen Mary University of London

Andrea Buraschi

Imperial College London

Professor Buraschi’s research interests are in the fields of Financial Economics, Asset Pricing and Derivatives, and Financial Econometrics.

Professor Buraschi has previously held at The University of Chicago Booth School of Business as a Visiting Professor of Finance (2011 - 2013), where he taught in the MBA and Executive MBA Porgram. Earlier he has been at London Business School and Columbia University.

He earned his PhD from The University of Chicago specializing in Financial Economics and Econometrics. His research interests encompass five key areas:

1. Economic Uncertainty and Differences in Beliefs
2. Term Structure, Monetary Policy and Derivative Markets
3. Hedge Fund Performance and Shadow Banking
4. General Equilibrium, Networks, and Asset Pricing
5. Portfolio Management

His work has been published in the following journals The Journal of Finance, The Journal of Financial Economics, Review of Financial Studies, Journal of Derivatives, European Financial Management and The Journal of Banking and Finance.

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Andrea Buraschi

Andrea Buraschi

Imperial College London

Raman Uppal

EDHEC

Raman Uppal is Professor of Finance at EDHEC Business School. He was formerly Professor of Finance and Chair of the Finance Subject Area at the London Business School, having previously worked at the University of British Columbia. He has held visiting positions at KU Leuven, the MIT Sloan School of Management, the London School of Economics, and has served as co-director of the Financial Economics Programme of the Centre for Economic Policy Research. His research focuses on optimal portfolio selection and asset allocation in dynamic environments, valuation of securities in capital markets, risk management, and exchange rates. He has published widely in leading journals such as Journal of Economic Theory, Journal of Finance, Journal of Financial and Quantitative Analysis, Management Science and Review of Financial Studies, and has received numerous grants and awards for his research work.

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Raman Uppal

Raman Uppal

EDHEC

Mungo Wilson

University of Oxford

Mungo Wilson is a Lecturer in the Department of Finance at Saïd Business School and an associate member of the Oxford Man Institute of Quantitative Finance, both in the University of Oxford. He specialises in asset pricing and mutual funds.

Mungo’s research focuses on asset pricing. In particular, his work is centred on assessing how risk affects asset prices. He also studies mutual funds, analysing how their behaviour is affected by growth, and credit risk.

Having studied PPE at the University of Oxford, Mungo initially trained as a solicitor and worked at Slaughter and May, before reading for an MSc in Economics from the London School of Economics and PhD in Economics from Harvard University.

Before joining Saїd Business School in 2009, Mungo held positions as Assistant Professor in the Department of Finance at the Hong Kong University of Science & Technology, and as a Visiting Lecturer at the London School of Economics.

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Mungo Wilson

Mungo Wilson

University of Oxford