RICCARDO REBONATO
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The Journal of Portfolio Management (JPM) has named Riccardo Rebonato 'PMR Quant Researcher of the Year' for 2022. PMR’s Quant Researcher of the Year Award recognizes a researcher’s history of outstanding contributions to the field of quantitative portfolio theory. Professor Rebonato is currently Professor of Finance at EDHEC Business School, and Scientific Director of the EDHEC Risk Climate Impact Institute. Marco Lopez de Prado, the first winner of the Award, said of the 2022 award winner: “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.” Frank Fabozzi, Editor of JPM, noted that a critical mission of JPM is publishing research that helps bridge the gap between the academic and practitioner communities. Professor Rebonato has precisely done that in several areas of portfolio management. His books on the pricing of interest rate derivatives are highly regarded. His work towards advancing the use of Bayesian networks for stress testing and asset allocation was years ahead of industry standards. Fabozzi added that Professor Rebonato’s has held leadership positions at some of the largest banks (Royal Bank of Scotland, Barclays Capital), asset management firms (PIMCO), and professional association (GARP). In 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.” |
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