Name Riccardo Rebonato | Role Author | |
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Books Volatility and Correlation, Modern pricing of interest‑r, Interest‑rate option models, Plight of the Fortune Tellers, The SABR/LIBOR Market M | ||
Prof. Riccardo Rebonato on “Coherent Stress Testing – Should We Worry? What Should We Do?”
Riccardo Rebonato is Professor of Finance at EDHEC Business School and author of journal articles and books on Mathematical Finance, covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.
Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at Oxford University and adjunct professor at Imperial College’s Tanaka Business School. He sits on the board of directors of the International Swaps and Derivatives Association (ISDA) and the board of trustees for the Global Association of Risk Professionals (GARP). Previously, he was global head of market risk and global head of the Quantitative Research Team at the Royal Bank of Scotland (RBS), and sat on the Investment Committee of RBS Asset Management. He was Head of the Complex Derivatives Trading Desk and Research Group at Barclays Capital.
He holds a doctorate in nuclear engineering and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.