Andrea Buraschi

Imperial College London Business School

Chair in Finance



 

 
Finance Department
53 Prince's Gate
Office 4.08
London SW7 2AZ
T: +44 (0) 7860 800590
T: +44 (0) 20 7594 1818


 

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EDUCATION

PhD Economics, The University of Chicago
(Fields: Econometrics, Finance, Mathematical Economics. Main advisor: Lars P. Hansen).
MA Economics, The University of Chicago
BA Economics, DES, Bocconi – (Cum Laude, Gold Medal)
Stockholm School of Economics – Visiting Scholar
 

TEACHING

Chicago Booth:           Investments (2011-2012 and 2012-2013)
Imperial College:         PhD Course in Asset Pricing Theory;
                                   PhD Course in Financial Econometrics and Empirical Finance;
                                   Derivatives and Asset Pricing (MSc Finance);
Executive Education (Director of the International Wealth Management Programme)
Columbia University:   Investments (MBA and EMBA Programme)
Chicago GSB:              Financial Engineering and Risk Management (MBA and EMBA Programme)
                                    Fixed Income and Derivatives
London Business School: Financial Engineering (MiF Programme), Corporate Finance (MBA)
                                     PhD Financial Econometrics and Empirical Asset Pricing
 
 

TEACHING AWARDS:  from Imperial College London and London Business School.

 
ADMINISTRATIVE ROLES: 
Director of Master in Finance  (up to 2010)
Director of Master in Risk Management and Financial Engineering  (up to 2010)

 

RECENT PUBLICATIONS

18. The Geography of Funding Markets and Limits to Arbitrage”, 2014, with Emrah Sener and Murat Mengütürk. Review of Financial Studies, 2014, 28 (4), p1103-1152.


17. Bond Markets and Monetary Policy”, 2015, with P. Whelan. Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi © 2015 John Wiley & Sons, Inc. Published 2015 by John Wiley & Sons, Inc.


16. Bond Markets and Unconventional Monetary Policy”, 2015, with P. Whelan. Handbook of Fixed-Income Securities,  First Edition. Edited by Pietro Veronesi © 2015 John Wiley & Sons, Inc. Published 2015 by John Wiley & Sons, Inc.


15. “When There is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Funds Returns”,  with Robert Kosowski and Fabio Trojani.  Winner of the Inquire UK 2009 Award. Review of Financial Studies, 2014, Vol. 27, 2, p581-616.

14. “Incentives and Endogenous Risk Taking: A Structural View of Hedge Fund Alphas”, 2013, with R. Kosowski and W. Sritakul, Journal of Finance (forthcoming)

13. “When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia”, 2013, with Fabio Trojani and Andrea Vedolin, Journal of Finance (forthcoming).

12. “Economic Uncertainty, Differences in Beliefs and Credt Spreads", 2013, with Fabio Trojani and Andrea Vedolin, Management Science (forthcoming).


11. “Understanding Short versus Long-Rung Risk Premia”, 2013, with Andrea Carnelli, European Financial Management. Nominated for EFMA 2012 Best Paper Award.

10. “The Economics of Donations and Enlightened Self-interest, 2013, with Francesca Cornelli, European Financial Management 

9. “Difference in Beliefs and Currency Risk Premia”, 2010, with Alessandro Beber and Francis Breedon, Journal of Financial Economics 2010, 98, p415-438. Lead Article.

8. “Correlation Risk and Optimal Portfolio Choice”, 2010, with Paolo Porchia and Fabio Trojani, Journal of Finance 2010, 65, p392-420.  Winner of the Inquire Europe Best Paper Award.

7. “Habit formation and macroeconomic models of the term structure of interest rates”, 2007, with Alexei Jiltsov, Journal of Finance 2007, 62(6), p3009-3063.

6. “Model Uncertainty and Option Markets with Heterogeneous Beliefs”, 2006, with Alexei Jiltsov, Journal of Finance 2006, 61, p2841-2897. ESRC Award R000223628.

5. “Inflation Risk Premia and the Expectations Hypothesis: Taylor Monetary Policy Rules and the Treasury yield curve”, 2005, with Alexei Jiltsov, Journal of Financial Economics 2005, 75, p429-490. Winner of WFA Award as Best Paper in Investments.

4. “Liquidity Risk and Specialness: How Well Do Forward Repo Spreads Price Future Specialness?”, 2002, with Davide Menini, Journal of Financial Economics 2002, 64, p243-282.

3. “The Price of a Smile: Hedging and Spanning in Option Markets”, 2001, with Jens Jackwerth, Review of Financial Studies 2001, 14, p495-527.

2. “The Forward Calculation of Compound Option Prices”, 2001, with Bernard Dumas, Journal of Derivatives 2001, 9, p8-17. Lead Article.

1. “Risk Management Implications of Time-Inconsistency: Model Updating and Recalibration of No-Arbitrage Models”, 2005, with Francesco Corielli, Journal of Banking and Finance 2005, 29, p2883-2907. Lead Article.


BOOKS CHAPTERS AND OTHERS

19. “Believe It or Not: Taylor Rule Uncertainty”, 2013, with Andrea Carnelli and Paul Whelan, in Modern Macroeconomic Policy Making, by Cambridge University Press.

20. “The Economic Value of Predictability in Portfolio Management”, 2013, with Andrea Carnelli, The Journal of Financial Management, Markets and Institutions, 2013, June (1), Lead Article.



WORKING PAPERS and R/R

21. “Term Structure Models and Differences in Beliefs, with Paul Whelan, 2010.
Accepted for presentation at: WFA 2011; EFA 2011, AFA 2012, Federal Reserve Board of Governors; SAFE Conference on Advances in the Term Structure of Interest Rates, Verona; 14th SGF Swiss Conference in Zurich, ECB, Bank of England. Under Submission.
Winner of Q-Group Research Award 2010.
 
21. “Dynamic Networks and Asset Pricing”, with Paolo Porchia (2012). Winner NYSE-Euronext 2012 Prize.
Accepted for presentation at EFA 2012 (Copenhagen), AFA 2013 (San Diego).

22. “Monetary Policy and Treasury Risk Premia”, with Andrea Carnelli and Paul Whelan (2012). Accepted for presentation at AFA 2013 (San Diego). Winner 2013 GARP Best Paper Award in Financial Risk Management.


23. “Expected Bond Returns'', with Ilaria Piatti and Paul Whelan (2015).



OLD WORKING PAPERS


24. “The Cross-Section of Expected Returns: Learning about Distress and Predictability in Heterogeneous Orchards”, with Paolo Porchia and Fabio Trojani. Accepted for presentation at: AFA 2011, EFA 2010.
 
25. “Correlation Risk and the Term Structure of Interest Rates”, with Anna Cieslak and FabioTrojani. Unpublished working paper. Accepted for presentation at: WFA, EFA, EFMA.

 


OP-EDs

 “Financial Derivatives and the full extent of the risks for the Italian Treasury”, with Luigi Zingales. Il Sole 24 Ore - 3 March 2015.

 

“A dance of numbers that does not inspire much trust”, with Luigi Zingales. Il Sole 24 Ore - 4 March 2012.

 

“Transparency, the Necessary Medicine for Derivatives”, with Luigi Zingales. Il Sole 24 Ore - 22 March 2012.

 


AWARDS AND FELLOWSHIPS

IMPERIAL                    2014 - Dean Award for Excellence in Service, Teaching and Research (Overall Award).

EFMA                           2013 - GARP Best Paper Award: “Taylor Rule Uncertainty”. (Annual award for "an outstanding paper in the field of financial risk management."

NYSE Euronext Award  2012 Best Paper Award: “Dynamic Networks and Asset Prices” (award for “Research paper that has the most potential to advance our understanding in the field of asset pricing”).

EFMA 2012                    2012 Nominated for Best Paper Award: “Predictability: The Wrong Way”.

Q-Group Award             2010 – “Macroeconomic Uncertainty, Differences in Beliefs and Bond Risk Premia”

Inquire Europe Award    2009 – Best Article Award: “When There is No Place to Hide”.

Inquire UK Award          2008 – Research Award Grant – “When There is No Place to Hide”.

Inquire UK Award          2009 – Research Award Grant – “When Uncertainty Blows in the Orchard”.

Inquire Europe Award    2006 – Best Article Award

WFA Award                    2000 – Best Article in Investments

LBS Teaching Award       1999 – Innovation in Learning 1999

ESRC Grant                    2001 – Option Markets

Academic Fellowship       1994 – University of Chicago, Department of Economics.

Gold Medal                     1990 – Bocconi


PROFESSIONAL ACTIVITIES  - Ad hoc reviewer for academic journals

Associate Editor for: Review of Finance, Journal of Management Science, European Financial Management Journal.

Acted as referee for: Journal of Finance, Journal of Financial Economics, Review of Financial Studies, American Economic Review, Econometrica, Economic Journal, European Economic Review, Journal of Business, Journal of Empirical Finance, Journal of Financial Intermediation, Journal of Financial and Quantitative Analysis, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies.

 

KEYNOTE SPEECH

2009:    Swiss Banking Institute (sponsored by Schroeder) - Zurich
            Global Asset Management (sponsored by UBS) – London
            SQA Goldman Sachs  (New York) (other keynote speaker: Robert Engle)
2008:    Swiss Finance Meetings - Zurich


Chair of Jury
: “Portfolio Institutional Awards 2011” –- Alternative Asset Classes

Invited Panel Speaker
SQA New York, Inquire Europe; European Finance Association; invited Panel Speaker at the Derivatives Research: Future Trends panel session; Risk, Conference on Quantitative Finance, New York
 
Conference Committee and Co-organizer           
London Hedge Fund Conference (2007-2010), WFA 2002, EFA 2001, Frontiers of Finance 2008, 2007, 2006, 2005.
Session Chair WFA Meetings, EFA Meetings, AFA Meetings, FMA Meetings.

Ad hoc reviewer for academic publishers Academic Press, McGraw-Hill.
 

SEMINARS AND CONFERENCES

2013: AFA 2013 (San Diego), following articles: (a) “Dynamic Networks and Asset Pricing”; (b) “Taylor Rule Uncertainty”; University of Chicago; University of Texas; Federal Reserve of New York; Federal Reserve Board of Governors; University of Geneva; University of Lausanne; University of Warwick; The Wharton School; University of Maryland, Robert H. Smith School of Business; Swiss SGA Meetings (Zurich); EFMA Meetings (London).

2012: ECB, Fed Board of Governors, European Finance Association (Copenhagen), three articles in following sessions: (a) Asset Pricing Models; (b) Mutual Funds and Hedge Funds; (c) Trading Frictions; American Finance Association (Chicago), three articles in following sessions: (a) Hedge Funds; (b) Fixed-Income Term Structure; (c) Anomalies and Inefficiency. World Finance Conference (Rio de Janeiro), EMA (Barcellona); Federal Reserve Board of Governors, University of Madison Wisconsin, University of Chicago Booth School.

2011: American Finance Association (Denver); Western Finance Association (Santa Fe); European Finance Association  (Stockholm); European Summer Symposium in Financial Markets (Gerzensee); Federal Reserve Board (Washington); Federal Reserve of Chicago; Bank of England; ECB; Swiss SGA Meetings (Zurich); EFMA Meetings (Braga); University of Cambridge Macro-Finance Conference; IESE Business School Barcelona; Cass University London ; University of Rotterdam.

2010: American Finance Association (Atlanta); Western Finance Association (Vancouver); European Finance Association; IE Madrid, Barcellona, Warwick Conference on Advances Volatility and Correlation Risk Premia; Amsterdam Asset Pricing Retreat; London School of Economics; HEC Nice; Advances in Modelling the Term Structure of Interest Rates, Verona; Brevan-Howard Hedge Fund Conference, London.

2009: American Finance Association; European Finance Association; Imperial College Hedge Fund Conference; London School of Economics; Frontiers of Finance, Belize; Swiss Banking Institute and Schroeder (IV Asset Management Workshop); Central Bank of Greece; University of Pireus, C.R.E.D.I.T. Conference Venice, Gerzensee Asset Pricing Symposium.

2008: American Finance Association (New Orleans); European Finance Association (Athens); Imperial College Hedge Fund Conference; London School of Economics; ASAP Conference; Gerzensee Asset Pricing Symposium; Frontiers of Finance, Curacao.

2007: Keynote address at Swiss Finance and Economics Meetings, Duke Asset Pricing Meetings, European Financial Management Association, Eastern Finance Association, Western Finance Association, Venice Asset Pricing Conference, Conference on Financial Disfunctionality, London; European Financial Association 2007.

2006: University of Mannheim, University of Frankfurt, CREST, IMD Lausanne, Imperial College, European Finance Conference, Bundesbank, Inquire Conference Athens, University of Warwick, CEPR Summer Meeting in Gerzensee CEPR Summer Meeting, Hedge Funds Conference London.

2005: Columbia University, University of Maryland, LSE, Western Finance Conference, American Finance Association, EFMA, Amsterdam University, IMD Lausanne, CEPR Summer Meeting in Gerzensee.

2003: Western Finance Conference, American Finance Association, EFMA, Amsterdam University, CEPR Summer Meeting in Gerzensee (main session), Lehman Brothers.

2002: Western Finance Conference, American Finance Conference, American Econometric Society, European Econometrics Society, Latin American Econometrics Meetings, European Finance Association, EFMA.

2000: Western Finance Association, UCLA, Duke, Chicago, Norwegian Business School, EFA Conference, Carnegie Mellon, Insead.

1999: Western Finance Association, The 1999 Annual Derivative Conference, The Red Sea Conference, Stockholm School of Economics, HEC School of Management.

 

References:

-          Cochrane, John H. (john.cochrane@chicagobooth.edu)

-          Constantinides, George M. (George.Constantinides@chicagobooth.edu)

-          Hansen, Lars (lhansen@uchicago.edu)

-          Pastor, Lubos (Lubos.Pastor@chicagobooth.edu)

-          Veronesi, Pietro (Pietro.Veronesi@chicagobooth.edu)

-          Yaron, Amir (Wharton School)

-          Bansal, Ravi (Duke University)

 

 

 

 

 


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