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Dean Fantazzini
Fax:
+7 495 5105256
Associate Professor in Applied Econometrics and Risk Management (Доцент)
Moscow School of Economics - Moscow State University |
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- Sept. 2002 - Jan. 2006
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Ph.D. in Economics,
Department of Political Economy and Quantitative Methods, University of
Pavia (Italy). |
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- Aug. 2003 – Aug. 2004 |
Pre-Doc Research position at the Chair for Economics and Econometrics, University of Konstanz (Germany) |
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- Sept.2000 – Nov 2002 |
Degree in Political Economics,
Department of Economics, University of |
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- Jan. 2000 – Dec. 2000 |
Master in Financial and Insurance Investments,
Department of
Statistics |
| - Sept.1995 – Nov 1999 |
Degree in Business and Economics, Department of Economics,
University |
| Teaching | |
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Time Series Analysis -
Econometrics (Bachelor Course 3rd year- MSE): |
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Time Series Analysis (Master Course 1st year - MSE): |
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Time Series Analysis
for Financial Risk Management (Master Course 2nd year - MSE): |
Syllabus |
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Stochastic calculus
for Finance (Bachelor course 4th year - HSE) |
Syllabus |
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Stochastic calculus
for Finance and Option Risk Management (Master course 1st year - HSE) |
Syllabus |
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Nonlinear Time Series
Analysis (Master Course 2nd year - HSE) |
Syllabus  |
A great Christmas card made by one of my Master students !
...what to say! Thanks a lot Ivan!
A nice cartoon made by my students of the Master 1st year course on the
blackboard, summarizing the "Roman spirit" of my econometric courses!
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Articles |
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Applied Econometrics, 25 (1), 3- 24, (2012) |
"Credit
default swaps and CDS-bond basis with Russian companies: a review
and an analysis of the effects of the short selling ban during the
second great contraction" You can find the Abstract at SSRN or Repec |
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Handbook of short
selling,
Elsevier,
p. 339-352, (2012) |
"Short Selling in
Emerging Markets: A Comparison of Market Performance during the Global
Financial Crisis
"
(with
M. Maggi) Download the published version from Elsevier The (short) official presentation slides can be found at Elsevier |
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Handbook of short
selling,
Elsevier,
p. 387-400, (2012) |
"Short Selling in Russia: Main Regulations and Empirical
Evidence from Medium- and Long-Term Portfolio Strategies "
(with
A. Kudrov, A. Zlotnik, and E. Dukhovnaya ) Download the published version from Elsevier The (short) official presentation slides can be found at Elsevier |
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Economics Bulletin 31(4), 3259-3267, (2011) |
“Forecasting the Global Financial Crisis in the Years
2009-2010: Ex-post Analysis "
Figure 1: SP500 ex-ante forecast, SP500 realized values, 95% and 99.9% confidence bands over the time sample 14/04/2009 - 29/04/2011. The vertical black line on the 27/08/2010 signals the day of the Chairman’s speech at Jackson Hole (Wyo., USA). Time t converted in units of one year (0 is set at Jan. 1st 2000). The ex-ante forecast was made on the 14/04/2009, covering the time sample 14/04/2009 - 09/10/2010, and the paper containing it was submitted to the Economics Bulletin on the 15/05/2009 (submission number: EB-09-00287), and was later published in 2010 (see also below). Frankly speaking, this was the last ex-ante forecast that I did just before the paper submission: in reality, I started working on this topic in the summer 2008, when the parameters of the anti-bubble stabilized. In this regard, the parameters' stability is the key, both for understanding when the pattern is real and when it is finishing (for many people this is obvious, but for many others it represents -unfortunately- only an optional):
Figure 2: Recursive estimates of ω and β with the log-periodic equation (2) in the text, where t_last ranges from 2009/04/14 till 2011/04/29. The vertical black line on the 27/08/2010 signals the day of the FED Chairman’s speech at Jackson Hole (Wyo., USA). Time t converted in units of one year. Clearly, the estimates of the key parameters changed completely after the Chairman's speech: however, it is interesting to note that already during the summer months June-August 2010 the estimates started wavering, highlighting that the end of the anti-bubble pattern was near.
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"Global Oil Risks in the Early 21st Century" (with M. Höök and A. Angelantoni) Energy Policy , 39(12), 7865-7873, (2011) Abstract: The Deepwater Horizon incident demonstrated that most of the oil left is deep offshore or in other difficult to reach locations. Moreover, obtaining the oil remaining in currently producing reservoirs requires additional equipment and technology that comes at a higher price in both capital and energy. In this regard, the physical limitations on producing ever-increasing quantities of oil are highlighted as well as the possibility of the peak of production occurring this decade. The economics of oil supply and demand are also briefly discussed showing why the available supply is basically fixed in the short to medium term. Also, an alarm bell for economic recessions is shown to be when energy takes a disproportionate amount of total consumer expenditures. In this context, risk mitigation practices in government and business are called for. As for the former, early education of the citizenry of the risk of economic contraction is a prudent policy to minimize potential future social discord. As for the latter, all business operations should be examined with the aim of building in resilience and preparing for a scenario in which capital and energy are much more expensive than in the business-as-usual one.
A webpage containing the presentation slides as well as additional materials and discussions can be found here.
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European Journal of Finance, forthcoming, (2011) |
"Everything
You Always Wanted to Know about Log Periodic Power Laws for Bubble
Modelling but Were Afraid to Ask
" (with
P. Geraskin) |
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Applied Financial Economics, 21 (21), 1587 - 1597, (2011) |
"Small Sample
Properties of Copula - GARCH Modelling: a Monte Carlo Study
" (with
C. Bianchi, M.E. DeGiuli, M. Maggi) |
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Applied Econometrics, (Прикладная эконометрика) 24 (4), 100 - 130, (2011) |
"Моделирование
Многомерных Распределений С Использованием Копула-Функций. Часть III " (Analysis of Multidimensional Probability Distributions with Copula Functions - Part 3) You can find the Abstract at SSRN or Repec |
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Applied Econometrics, (Прикладная эконометрика) 23 (3), 98 - 132, (2011) |
"Моделирование
Многомерных Распределений С Использованием Копула-Функций. Часть II " (Analysis of Multidimensional Probability Distributions with Copula Functions - Part 2) You can find the Abstract at SSRN or Repec |
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Applied Econometrics, (Прикладная эконометрика) 22 (2), 98 - 134, (2011) |
"Моделирование
Многомерных Распределений С Использованием Копула-Функций. Часть I " (Analysis of multidimensional probability distributions with copula functions - Part 1)" You can find the Abstract at SSRN or Repec |
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Nonlinear Financial Econometrics:
Palgrave Macmillan, p. 104-123, (2011) |
"Fractionally
Integrated Models for Volatility: A Review " You can find the Abstract at SSRN You can find the book here at Palgrave Macmillan A excerpt can be found at Google Books The Empirical Appendix not reported in the published version due to space limits, and which describes some examples with R interfaced with the Ox package G@RCH and American stock market data can be found here The R code, the Ox code and the data for the empirical examples can be found here |
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Financial Econometrics Modeling : (Market Microstructure, Factor Models and Financial Risk Measures) Palgrave Macmillan, p. 92-131, (2011) |
"The Intraday
Analysis of Volatility, Volume and Spreads: A Review with Applications
to Futures Markets " You can find the Abstract at SSRN You can find the book here at Palgrave Macmillan A excerpt can be found at Google Books |
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Economics Bulletin 30(3), 1833-1841, (2010) |
“Modelling and Forecasting the Global Financial Crisis:
Initial Findings using Heterosckedastic Log-Periodic Models " Download the published version from Repec Download the working paper version from SSRN |
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The Handbook of trading,
McGraw-Hill, p. 365-388, (2010) |
"Modelling Bubbles and
Anti-Bubbles in Bear Markets: A Medium-Term Trading Analysis" You can find the Abstract at SSRN You can find the book here at McGraw-Hill A long excerpt can be found at Google Books |
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Applied Economics, 42(25), 3267-3277, (2010) |
"A
Copula-VAR-X approach for Industrial Production
Modelling
and Forecasting" (with C.
Bianchi, A. Carta, M.E. Degiuli, M. Maggi –
University of Pavia) |
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The BANKING CRISIS
Handbook,
Chapman & Hall / CRC
Finance, p. 383-405, (2010) |
"Dangers and
Opportunities for the Russian Banking Sector: 2007 - 2008" (with
A. Kudrov and A. Zlotnik) You can find the Abstract at SSRN You can find the book here at Chapman & Hall / CRC Finance An excerpt can be found at Google Books or here
The
presentation
at the first Russian Economic Congress in Moscow (Russia), on |
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Computational
Statistics and Data Analysis, 54(11), 2562-2579 (2010) |
"Three-Stage
Semi-parametric Estimation of T-Copulas: Asymptotics, Finite-Sample
Properties and Computational Aspects" Download the published version from Elsevier Download the working paper version from SSRN (it contains the full set of tables, plots and proofs not reported in the published version due to space limits) The presentation at the EEA-ESEM 2008 Milan, on August the 28th can be found at Scribd.com |
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The Risk Modeling
Evaluation Handbook,
McGraw-Hill, p. 339-361,
(2010) |
"Small-Samples and EVT
Estimators for Computing Risk Measures: Simulation and Empirical
Evidences" (with A. Kudrov) You can find the Abstract at SSRN You can find the book here at McGraw-Hill A long excerpt can be found at Google Books |
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The Risk Modeling
Evaluation Handbook,
McGraw-Hill, p. 321-338,
(2010) |
"Copula-VAR and
Copula-VAR-GARCH Modeling: Dangers for Value at Risk and Impulse
Response Functions" (with C. Bianchi,
M.E. DeGiuli and M. Maggi) You can find the Abstract at SSRN You can find the book here at McGraw-Hill A long excerpt can be found at Google Books |
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International Journal
of Risk Assessment and Management, 11(1/2), 164-179,(2009) |
"Discrete-Time Affine
Term Structure Models: An ARCH Formulation" (with
A. Carta, and M. Maggi) Download the published version from Inderscience or Ingentaconnect Download the working paper from SSRN |
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EMERGING MARKETS:
PERFORMANCE, ANALYSIS AND INNOVATION, Chapman & Hall / CRC Finance,
p. 533-554, (2009)
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"Market Risk Management
for Emerging Markets: Evidence from the Russian Stock Market" You can find the Abstract at SSRN You can find the book here at Chapman & Hall / CRC Finance A long excerpt can be found at Google Books The presentation at the VII-th International School Seminar "Multivariate Statistical Analysis and Econometrics", Tsahkadzor, Armenia, September 24th 2008, can be found at Scribd.com |
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The VAR IMPLEMENTATION
HANDBOOK, McGraw-Hill, p. 253-282, (2009) |
"Value at Risk for
High-Dimensional Portfolios: A Dynamic Grouped-T Copula Approach" You can find the Abstract at SSRN You can find the book here at McGraw-Hill A long excerpt can be found at Google Books The presentation at the International Workshop on Computational and Financial Econometrics, Geneva (Switzerland), April 20-22, 2007 can be found at Scribd.com |
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Applied Econometrics (Прикладная
эконометрика) 2(14), 57-73 (2009) |
"
Экономические факторы в модели голосования: пример Нидерландов,
Великобритании и Израиля"
(with Alexei V. Zakharov , - HSE / MSE) You can find the Abstract here |
| Journal of Financial Transformation, 25(1), 31-39, (2009) |
"Enhanced Credit Default
Models for Heterogeneous SME Segments" (with M.E.
DeGiuli, S.
Figini, P. Giudici, – University of
Pavia). Download the published version from Repec Download the working paper version from SSRN (it contains the full set of tables and plots not reported in the published version due to space limits) |
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Applied Econometrics (Прикладная
эконометрика) 2(14), 100-127 (2009) |
" Управление кредитным
риском (окончание)" You can find the Abstract here |
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Applied Econometrics (Прикладная
эконометрика) 1(13), 105-138 (2009) |
"Управление кредитным
риском (Продолжение)" You can find the Abstract here |
| Stock Market Volatility, Chapman & Hall / CRC, 527-548,(2009) |
"Forecasting Default
Probability without Accounting Data: Evidence from Russia" You can find the Abstract at SSRN You can find the book here at Chapman & Hall / CRC A long excerpt can be found at Google Books |
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International Journal of Risk Assessment and Management, 11(1/2), 138-163,(2009) |
"Default forecasting for
small-medium enterprises: does heterogeneity matter?"
(with S.
Figini– University of Pavia). Download the published version from Inderscience or Ingentaconnect |
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Computational Statistics and Data Analysis, 53(6), 2168-2188, (2009) |
"The Effects of Misspecified Marginals and Copulas on Computing the
Value at Risk: A Monte Carlo Study" Download the published version from Elsevier Download the working paper version from SSRN (it contains the full set of tables not reported in the published version due to space limits) |
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Operational Risk Toward Basel
III: Best Practices and Issues in Modeling, Management, and Regulation,
Wiley, 197-216, (2009).
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"Multivariate Models for Operational Risk: A Copula Approach using
Extreme Value Theory and Poisson Shock Models", (with
O. Rachedi, Cass Business School, London) You can find the Abstract at SSRN
You can find the book here at
Wiley
The
presentation at HSE dealing with a general review of Operational Risk
Management can be found at
Scribd.com
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Methodology and Computing in Applied Probability 11(1), 29-45 (2009) |
"Random Survival Forest models for SME Credit Risk Measurement"
(with S.
Figini– University of Pavia). Download the published version from Springer Download the working paper version (before revision) from SSRN |
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Applied Econometrics (Прикладная
эконометрика) 4(12), 84-137 (2008) |
" Управление кредитным
риском " You can find the Abstract here |
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Applied Econometrics (Прикладная
эконометрика) 3(11), 87-122 (2008) |
"
Управление операционным риском " You can find the Abstract here |
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Applied Econometrics (Прикладная
эконометрика) 2(10), 91-137 (2008) |
" Эконометрический анализ
финансовых данных в задачах управления риском " You can find the Abstract here |
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Computational Economics 31(2), 161-180, (2008) |
“A
New Approach for Firm Value and Default Probability Estimation beyond
Merton Models” Download the published version from Springer Download the working paper version from SSRN |
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Frontiers in Finance and Economics 5(2), 72-108, (2008) |
“Dynamic
Copulas for Value at Risk" Download the published version from Repec Download the working paper version from SSRN |
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Operational Risk: A Guide to
Basel II Capital Requirements, Models, and Analysis, Wiley, p. 274-277, (2007) |
"Empirical Studies with Operational Loss Data: DallaValle, Fantazzini
and Giudici Study", You can find the book here at Wiley |
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International Journal of Risk Assessment and Management, 9(3), 238-257,(2008) |
“Copulae
and Operational Risks”,
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European Review of Agricultural Economics, 34 (1), 129-131, (2007) |
“Leaves and Cigarettes: Modelling the Tobacco Industry (With applications to Italy and Greece)", (with F. Arfini – University of Parma, F. Ferretti – Univesity of Reggio Emilia, K. Mattas – University of Thessaloniki), Book Review by Kenneth J. Thomson. For more details about this book see here . |
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Agribusiness, Landscape and Environmental Management, 10(2), 1-13, (2007) |
“Evidence
from a Time-Changing Regulated Agricultural Market: The Italian Tobacco
Industry” |
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(in) S.Co 2005, (edit by C. Provasi), p. 215-220 |
“The
Econometric Modelling of Copulas: a Review with Extensions ”, |
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Quaderno di Ricerca, University of Pavia 5, 1-21, (2005) |
“Discrete-Time
Affine Term Structure: an Econometric Formulation ” |
| Journal of the Italian Society of Financial Risk Management (AIFIRM), 2, 2 -10, (2005) |
“Modelli
Multivariati per la Gestione dei Rischi Operativi: L'approccio delle
Copulae”
(i.e. "Multivariate Models for Operational Risk Modelling: The Copulae
Approach") |
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Capital Market Notes, |
“Investment
grade financial corporate bonds: Term structure estimation and relative
value”,
(with
E. Bernini – Banca Intesa). |
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Credit market strategies, Research Department
, Banca Intesa, |
“Term
structure estimation and relative value for European financial names”,
(with E. Bernini – Banca Intesa). |
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Collana Ricerche,
Studi e Ricerche, Banca Intesa,
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“Funzioni
spline per la stima di strutture a termine: il caso dei corporate spread
finanziari”, (i.e., “Spline functions for term structure estimation:
The case of financial corporate spreads”), (with E. Bernini – Banca
Intesa). |
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М.: Экономист, 2010
(в печати) |
Методы эконометрики: Том 1: Базовый курс (Айвазян Сергей Артемьевич)
Том 2: Продвинутый
курс (Айвазян Сергей Артемьевич ,
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Franco Angeli
Editore |
"Leaves and Cigarettes: Modelling the Tobacco Industry
(With applications to Italy and Greece)",
(with F. Arfini –
University of
Parma, F. Ferretti
– Univesity
of Reggio Emilia, K. Mattas
–
University of
Thessaloniki)
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Digital University Press |
"Financial Markets Microstructure and High Frequency Data:
Theoretical Issues, Stylized Facts and Econometric
Tools" |
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| - December 2010 | 4th International Conference on Computational and Financial Econometrics, London (UK) |
| - June 2010 | Workshop Industry & Price Forecasting, Paris (France) |
| - October 2009 | 3rd International Conference on Computational and Financial Econometrics, Limassol (Cyprus) |
| - June 2009 | 40th Seminar in "Multivariate Statistical Analysis and Probabilistic Modelling of Real Processes", Moscow (Russia) |
| - January 2009 | Third Italian Congress of Econometrics and Empirical Economics (ICEEE), Ancona, Italy |
| - September 2008 | VII-th International School Seminar "Multivariate Statistical Analysis and Econometrics", Tsahkadzor, Armenia |
| - August 2008 | "63rd European Meeting of the Econometric Society (ESEM2008)", Milan, Italy |
| - June 2008 | "2nd International Workshop on Computational and Financial Econometrics", Neuchatel, Switzerland |
| - March 2008 | "Mathematical and Statistical Methods for Actuarial Sciences and Finance", Venice, Italy |
| - January 2008 |
"Recent Developments in Econometric Methodology", Department of Economics Minsky, University of Bergamo, (Italy). |
| - June 2007 |
“5th Infiniti Conference on International Finance", Dublin, Ireland.. |
| - May 2007 |
“14th ‘Forecasting Financial Markets’ Conference", Aix-en-Provence, France.. |
| - April 2007 |
“International Workshop on Computational and Financial Econometrics", University of Geneva, Switzerland.. |
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- January 2007 |
“Second Italian Congress of Econometrics and Empirical Economics", Rimini - Italy. |
| - September 2006 | “XXX Convegno AMASES" (i.e. 30th conference of the Italian Association of Applied Mathematics), Trieste, Italy |
| - June 2006 | “12th international conference on Computing in Economics and Finance", Limassol, Cyprus |
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- May 2006 |
“13th International conference on Forecasting Financial Markets", Aix-En-Provence, Fran |
| - April 2006 | “Convegno nazionale sulle serie temporali"(i.e. Italian Conference on Time Series) held by the Italian Society of Statistics, Rome, Italy. |
| - September 2005 | “Fifth Annual Conference of ENBIS - European Network of Business and Industrial Statisticians", Newcastle, England |
| - September 2005 | “Quarto Convegno su Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione", Bressanone - Italy. |
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- July 2005 |
“8th Italian Spanish Meeting on Financial Mathematics", Verbania - Italy. |
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- June 2005 |
“Global Finance Conference 2005", Trinity College Dublin - Ireland |
| - May 2005 | “XXXVI Euro Working Group on Financial Modelling", University of Brescia - Italy |
| - January 2005 | “First Italian Congress of Econometrics and Empirical Economics", University of Venice - Italy |
| - November 2004 | Conference in “High Frequency Data: Models and Applications", University of Perugia - Italy |
| - April 2004 | Market Microstructure Workshop, University of Tilburg - Holland |
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English: close to mother tongue.
Italian : mother tongue
Russian: Intermediate level
Spanish: basic level.
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Proficient in Gauss;
Proficient in EViews;
Proficient in R;
Proficient in Reuters X-Tra (Equities and Fixed Income), Datastream, and Bloomberg;
Proficient in Visual Basic for Application (VBA) for Excel.
Proficient in Latex;
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Energy Risk Management, Financial Risk Management
Energy Economics
Economic and Financial Forecasting
Applied Econometrics
Periodic Modelling of Economic and Financial Data;
Copula Modeling for financial and Economic Applications
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Travelling, reading and cooking;
Jogging, swimming, skiing and basketball.
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