Written on 09 Feb 2023.
“Very few names in finance command as much respect as Riccardo Rebonato’s. Riccardo is an exceptionally prolific author who has made numerous influential contributions to our field, particularly in the context of interest-rate modelling, asset pricing, and risk management. This year’s Quant Researcher of the Year Award pays tribute to a colleague to whom the field of quantitative finance owes much,” said the first winner of the award, Dr Marcos López de Prado, Global Head - Quantitative Research and Development, Abu Dhabi Investment Authority and Professor of Practice, College of Engineering, Cornell University.
To read the official announcement of the 2022 award, follow this link.
Established by Portfolio Management Research, the leading provider of thought-leadership for the investment industry, the ‘PMR Quant Researcher of the Year’ award distinguishes individuals responsible for major advances in academic knowledge, in particular researchers with a history of outstanding contributions to the field of quantitative portfolio theory.
Past winners of the award:
Riccardo Rebonato is Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC-Risk Climate Impact Institute, where he also heads the research programme on “The Impact of Climate Change on Asset Prices and Investment Management”. He was previously Global Head of Rates and FX Analytics at PIMCO. He has served on the boards of ISDA and GARP. He holds a doctorate in Nuclear Engineering and a PhD in Materials Science and Solid State Physics.
On receiving this award, Professor Rebonato said:
“It is a great honour to be awarded the Quant Researcher of the Year Award for 2022 by The Journal of Portfolio Management. My first thanks go to those who have put my name forward, but I know that I have many more people to thank. I have been very lucky over the years to have great mentors, both in academia and in the financial industry. What these people have taught me is that the boundary between fundamental and applied research can and should be crossed – always with due respect accorded to the laws and customs of the two lands, but also with resolve. This has resonated well with me, perhaps because of my previous experience as a physicist, where I was that rare an awkward animal – an experimentalist who was also a theoretician. From my physics days, I have also carried with me into the field of finance something else: the idea that we do research to be surprised, not to confirm what we thought we knew already. My latest area of academic research – the economics and finance of climate change – is the perfect field to apply this idea of research-as-surprise. EDHEC Business School and its Climate Institute have provided the ideal environment to carry out this work.”
More academic research from Riccardo Rebonato:
Riccardo Rebonato, Dherminder Kainth and Lionel Melin, Climate Output at Risk, The Journal of Portfolio Management, Novel Risks Special Issue 2022.
Riccardo Rebonato and Taku Hatano, Why Does the Cieslak–Povala Model Predict Treasury Returns? A Reinterpretation, The Journal of Fixed Income, Spring 2022.
Lionel Martellini, Riccardo Rebonato and Jean-Michel Maeso, Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market, The Journal of Fixed Income, Winter 2022.
Riccardo Rebonato and Amir El Aouadi, How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited, The Journal of Fixed Income, Spring 2021.
Riccardo Rebonato and Hong Sherwin, Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity, The Journal of Fixed Income, Winter 2021.
More industry-orientated research from Riccardo Rebonato:
To halt global warming, forget net-zero: aim for net-negative, EDHEC Vox, EDHEC-Risk Climate Impact Institute, 2022.
From climate change to asset prices, EDHEC-Risk Institute, 2021.
Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets, EDHEC-Risk Institute, 2019.
Factor Investing in Fixed-Income – Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets, EDHEC-Risk Institute, 2019.
Factor Investing in Sovereign Bond Markets – A Time-Series Perspective, EDHEC-Risk Institute, 2019.