Deutsche Bank Chair in Quantitative Finance and Asset Pricing to Carlo Favero

OFFICIALLY LAUNCHED THIS MORNING AT A PRESS CONFERENCE

To support research dedicated to econometric modeling of asset prices is the purpose of the new Deutsche Bank Chair in Quantitative Finance and Asset Pricing, officially launched this morning at a press conference.

The chair, assigned to Carlo Favero of Bocconi’s Department of Finance, is part of a three-year agreement which makes Deutsche Bank the first foreign corporation to become strategic partner of Bocconi.

“The view forming our research program”, Favero said, “is that financial returns are determined by a permanent information component and by a temporary noise component. The noise component dominates the data at high-frequency, while the information component emerges in long-horizon returns.As a consequence, over the short-run there is no predictability ofreturns and quantitative modelingconcentrates on concepts likevolatility, contagion, non-normality. In the long-runpredictability emerges as a reflection of the role of fundamentals”.

Carlo Favero holds a D.Phil. from Oxford University, where he was a member of the Oxford Econometrics Research Centre. He has beenprofessor of Econometrics at Bocconi University from 1994 to 2001 and professor of Economics since 2002. In 2009 he joined the newly formed Department of Finance, where he teaches Financial Econometrics. He has published in scholarly journals on the econometric modelling of bond and stock prices, applied econometrics, monetary policytime-series models for macroeconomics and finance . He has been advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy and has been consulting the European Commission, the World Bank and the European Central Bank on monetary policy, the monetary transmission mechanism and bond markets.

by Fabio Todesco