Below you will find a brief biography of each research contributor of this website.

    Research Contributors

  • Monica Billio

    Monica Billio is a Professor in Econometrics at the Ca’ Foscari University of Venice. She graduated in Economics from the same University and holds a Ph.D. in Applied Mathematics from Paris Dauphine University. She participates in many research projects financed by the European Commission, Eurostat, the Italian Ministry of Research (MIUR) and is now the local Coordinator for the Ca’ Foscari University of Venice of the MIUR Project “Financial Variables and Business Cycle: Interdependence and Real Effects of Financial Fluctuations”. The results of these and other research projects have appeared in peer-refereed journals, such as Journal of Econometrics, Journal of Statistical Planning and Inference, European Journal of Finance, among others. Her main research interests include financial econometrics, with applications to risk measurement and management, volatility modelling, financial crisis and hedge funds, business cycle analysis, dynamic latent factor models and simulation based inference techniques.

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    billio[ / at / ]
  • Kris Boudt

    Kris Boudt is an ​Associate Professor in Finance at Vrije Universiteit Brussel (VUB) and part-time at the Econometrics Department of the VU University of Amsterdam. He is a research partner of Finvex Group and ​an ​affiliated researcher at KU Leuven. The research of Kris Boudt aims at developing econometric methodolog​ies​ for analyzing financial markets and optimizing portfolio risk. His research results were used to create several innovative financial products, such as the Finvex sustainable efficient index. Kris has published in leading international finance and statistics journals including the International Journal of Forecasting, Journal of Financial Econometrics, Journal of Financial Markets, Journal of Portfolio Management and the Review of Finance, among others. Kris Boudt is a coauthor of the ​H​igh​F​requency, PortfolioAnalytics and PeerPerformance packages for financial econometrics in R.

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    kris.boudt[ / at / ]
  • Massimiliano Caporin

    Massimiliano Caporin is a Professor of Economic Statistics, in the Department of Statistical Sciences of the University of Padova. He holds a Ph.D. in Quantitative Economics from the Ca' Foscari University of Venice. Massimiliano has published articles in leading international journals such as Statistical Methods and Applications, Journal of Economic Surveys, Computational Statistics and Data Analysis, Econometric Reviews, among others. His main research interests include: financial econometrics and financial time series analysis, portfolio allocation and management, managed portfolios performance, weather derivative princing, high frequency data analysis and trading strategies, market risk measurement and systemic risk measurement through dynamic models, multivariate models for financial market variances: GARCH, stochastic volatilities and their extensions. More recently, he has worked with Gian Piero Aielli on the variance clustering that improve dynamic conditional correlation MGARCH estimators.

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    massimiliano.caporin[ / at / ]
  • Philippe Cogneau

    Philippe Cogneau is a Consultant in management of financial risks, and he has been working in credit risk, market risk, p&l analysis… for various major European and American banks. He is also Associate Professor in Finance at the EDHEC Business School (France), at the IESEG School of Management (France), and at the High School Fr. Ferrer (Belgium). Finally, he is Associate Researcher at HEC Liège. Philippe holds a M.Sc. in Mathematics (University of Liège, 1986), a M.Sc. in Computer Science (University of Liège, 1988), a D.E.S. in Management of Financial Risks (F.U.S.L. Brussels, 2006) and a PhD in Finance (HEC Liège, 2013). His domain of expertise is mainly the performance measurement of (mutual) funds, but he also made some researches over financial risks. His work includes papers published in Journal of Banking & Finance, Quantitative Analysis and Journal of Performance Measurement.

    Home Page;
    philippe.cogneau[ / at / ]
  • Jianhua Gang

    Jianhua Gang is an Associate Professor in Finance at Renmin University of China (RUC) and a research fellow of China Financial Policy Research Center. He holds a Ph.D. in Economics from the University of York (research area: Financial Econometrics), MS of Finance from the University of Southampton. He is now the Deputy Director of the Finance Faculty in the School of Finance, Renmin University of China. He is also the Executive Director of the Institute of Finance and Real Estate (IFRE) at RUC. His research interests include time series econometrics, mutual funds/hedge funds, option markets, derivatives, real estate finance, and volatility analysis. He published in journals such as the Economic and Political Studies, the Bulletin of Economic Research, the Manchester School and Emerging Markets Finance and Trade. His recent working papers cover topics related to global capital flow, foreign exchange rates, financial asset pricing, fund performance measurement, systemic risk measurement, and social network analysis.

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    jhgang[ / at / ]
  • Georges Hübner

    Georges Hübner is a Professor in Finance, a member of the Deloitte Chair of Portfolio Management and Performance, and a member of the Supervisory Board of HEC-Management School at the University of Liège (Belgium). He is also Associate Professor in Finance at Maastricht University (Netherlands), EDHEC (France - Singapore) and Solvay Brussels School of Economics and Management (Belgium). He is the co-founder and scientific director of Gambit Financial Solutions, a company of HEC Liège that produces software solutions for investor profiling, portfolio optimization and risk management. Georges Hübner holds a PhD in Management (Finance orientation) from the INSEAD. He has published numerous books and research articles about credit risk, hedge funds and portfolio performance in internationally renowned scientific outlets such as Journal of Banking and Finance, Journal of Empirical Finance, Review of Finance, Financial Management and Journal of Portfolio Management. He obtained the best paper Awards in 2002 from the Journal of Banking and Finance and in 2012 from Finance, and the Operational Risk and Compliance Achievement Award 2006 for the best academic paper.

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    G.Hubner[ / at / ]
  • Grégory M. Jannin

    Grégory M. Jannin is the Operations Manager within JMC Asset Management LLC since December 2014. Gregory graduated with a M.Sc. in Finance (2007), a M.Sc. in Financial Engineering (2007) and a M.Phil. in Quantitative Finance (2009) from the University Paris 1 Panthéon-Sorbonne, and he holds a Ph.D. in Finance (2013) from the same university. Gregory was awarded in 2009 the “Presidential Scholarship” – a 3-year doctoral financial support – and in 2010 a 6-month Ph.D. Grant, both from the University Paris 1, to pursue his research at Brown University within the Applied Mathematics department. Gregory was at the origin of the Performance Metrics Project when he was Ph.D. student and actively promoted the first version of this collective initiative. Previously, he was in charge of developments and follow-ups of quantitative tools for asset allocations, risk analyses and quantitative asset management within a Quant Group of ABN AMRO based in Paris. His research interests are performance measurement, portfolio management, asset allocation and Prospect Theory

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    gjannin[ / at / ]
  • Francesco Lisi

    Francesco Lisi is a Professor of Economic Statistics at the Department of Statistical Sciences of the University of Padova. He has published in several peer-reviewed international journals, such as Quantitative Finance, Annals of Finance, Journal of Performance Measurement, The Econometrics Journal, Econometric Reviews, Decision in Economics and Finance, Economics Letters, International Journal of Forecasting, Computational Statistics and Data Analysis, Statistical Methods and Applications, and Applied Economics Letters. His research fields are linear and nonlinear time-series, financial time-series, measures of volatility and risk, performance measurement, modeling and forecasting electricity markets.

    Home Page;
    francesco.lisi[ / at / ]
  • Bertrand B. Maillet

    Bertrand B. Maillet is a Professor in Quantitative Finance at EMLyon Business School (Paris and Shanghai Campus), the Head of the MS in Quantitative Finance at EMLyon Business School (Paris Campus), a Professor in Financial Economics at the University of La Réunion (on sabbatical), an Adjunct Professor in Finance at the University of Paris-Dauphine, and the Principal at Variances (a company providing academic supports to financial institutions). He is currently a Senior Academic Fellow at the Louis Bachelier Institute. He graduated in Economics, in Finance, in Statistics and holds a Ph.D. in Economics and a Ph.D. in Finance (HdR) from the University of Paris-1 Panthéon-Sorbonne. He has published several articles in academic journals in Economics, in Finance and in Applied Mathematics, such as Journal of Economic Dynamics and Control, European Journal of Operational Research, Journal of Banking and Finance, Quantitative Finance, Review of International Economics, Neural Networks, Neurocomputing, chapters in books edited by Wiley, Springer and Kluwer Academics, and serves as a referee in several international leading journals. His domain of expertise covers financial econometrics, risk management, performance measurement, portfolio management and asset pricing.

    Home Page;
    bmaillet[ / at / ]
  • Loriana Pelizzon

    Loriana Pelizzon is a Professor in Finance at Goethe University and an Associate Professor in Economics at the Ca' Foscari University of Venice. She holds a Ph.D. in Finance from the London Business School. She is the Program Director of the Research Lab "Systemic Risk" of the Center of Excellence SAFE located at Goethe University's House of Finance. Her work includes papers published in Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation and Journal of Banking and Finance. Loriana has been awarded the "EFA 2005 - Barclays Global Investor Award" for the best symposium paper, "FMA European Conference", "2005 Best Conference Paper" and the award for the most significant paper published in the Journal of Financial Intermediation in 2008. She is one of the Coordinators of the European Finance Association (EFA) Doctoral Tutorial. Loriana is a member of the EFA Executive Committee and of the BSI GAMMA Foundation Board. She has been involved in NBER and FDIC projects as well as EU and Inquire Europe Projects. Her research interests are on risk measurement and management, asset allocation and household portfolios, hedge funds, financial institutions, systemic risk and financial crisis.

    Home Page;
    loriana.pelizzon[ / at / ]
  • Christian Pigorsch

    Christian Pigorsch is a Professor in Statistics for Business and Economics at the University of Jena. He was previously a Junior Professor at the University of Bonn. Christian holds a Master degree in Quantitative Economics from the University of Kiel and a Ph.D. from the University of Munich. Christian has published articles in leading international journals, such as Journal of Banking & Finance, Econometrics Reviews, Journal of Econometrics, Economics Letters, among others. His research interests are in the broad field of financial econometrics. This includes the estimation of stochastic differential equations as well as exploiting the information contained in high-frequency financial market data in order to construct more precise daily volatility measures. A typical example is the separation of the price variation into the variation coming from price jumps and the variation due to the continuous price evolvement.

    Home Page;
    christian.pigorsch[ / at / ]
  • Zongxin Qian

    Zongxin Qian is an Assistant Professor in Finance at the School of Finance of Renmin University of China (RUC), a Research Fellow at the RUC Institute of Finance and Real Estate (IFRE) and RUC International Monetary Institution (IMI). He is also currently a visiting scholar in the Institute of International Finance at the Bank of China. He holds a Ph.D. in Economics from Tilburg University in The Netherlands and a Ph.D. in World Economics from Renmin University of China. Previously, he was a Junior Research Fellow of European Banking Center (EBC) at Tilburg University. He also worked as an economist in Directorate for Financial and Enterprise Affairs at Organization for Economic Cooperation and Development (OECD). He contributed to several research consulting projects for the National Natural Science Foundation of China, People's Bank of China, China Banking Regulatory Commission, China Development Bank on sovereign debt, monetary policy reform, rural banking and RMB internationalization. He has published in various journals such as the Journal of Financial Stability, Journal of Macroeconomics, Emerging Markets Finance and Trade, among others. His research interests focus on the interactions between macroeconomic policies and financial markets, international finance, sovereign risk and systemic risk, performance measurement and asset pricing.

    Home Page;
    qianzx[ / at / ]
  • Jan Voelzke

    Jan Voelzke is a Doctor in Economics at the Institute of Econometrics and Economic Statistics of the University of Münster. He holds a Ph.D. in Economics, a M.Sc. in Business Administration and a M.Sc. in Mathematics from the same university. Jan is specialized in probability theory and financial mathematics. His research interest mainly concerns the value of human capital contracts determined with the help of the methods of modern asset pricing theory. He recently worked on the Substaintial-Gain-Loss-Ratio, aiming to improve the Gain-Loss-Ratio (GLR) by Bernardo and Ledoit (2000). The new defined performance measure - called the Substantial Gain-Loss-Ratio (SGLR) - can either be used as a performance measure on a market with known prices, or to derive price intervals (bounds) in incomplete markets. His related article intitled "Weakening the Gain-Loss-Ratio Measure to make it Stronger" has been published in 2015 in Finance Research Letters.

    Home Page;
    jan.voelzke[ / at / ]
  • Spyridon Vrontos

    Spyridon Vrontos is Senior Lecturer in Actuarial Science at the Department of Mathematical Sciences in the University of Essex. He holds a Ph.D. in Statistics from Athens University of Economics and Business. Spyridon was the recipient of the Charles A. Hachemeister Prize of Casualty Actuarial Society and a recipient of a research grant on Asset Liability Management based on a Research Grant Competition from Society of Actuaries, The Actuarial Foundation and CKER. His publications have appeared in journals such as Journal of Forecasting, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Asset Management, Scandinavian Actuarial Journal and ASTIN Bulletin. His principal research is concerned with performance measurement for pension funds, hedge funds and mutual funds, portfolio optimization, asset-liability management for pension funds, predictability of financial time series, risk management, solvency and actuarial science. Spyridon’s consulting interests include portfolio optimization, fund’s performance measurement, valuation and funding of pension funds and of employee benefits based on IAS, ratemaking and design of bonus - malus systems.

    Home Page;
    svrontos[ / at / ]
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    Several research contributors are academics or affiliated to the acknowledged institutions above.