Fulvio Pegoraro

• http://www.crest.fr/index.php?option=com_wrapper&view=wrapper&Itemid=447 

Fulvio Pegoraro is a research adviser in the ACPR’s Research and Risk Analysis Directorate. Prior to this, he was Principal Economist at the European Central Bank, Deputy Head of the Financial Economics Research Division at the Banque de France, and an IMF expert. He has a PhD in Economics from the University Ca’ Foscari of Venice and a PhD in Applied Mathematics from Paris Dauphine University. He has been an associate professor at HEC Lausanne, EPFL Lausanne and the ESSEC business school. He is a member of the CREST Finance and Insurance Lab and associate professor at the Institut Polytechnique de Paris (ENSAE). His research interests are yield curve and credit risk models, non-linear time series models and climate risk-based scenarios, and interest rate pass-through models.

Current Position

Research Adviser, Research and Risk Analysis Directorate, ACPR

Previous Position

• November 2006-August 2014: Research Economist at the Banque de France, Economics and Finance Research Centre (DGEI)
• September-November 2006: Research grant at the Insurance and Finance Department of CREST (Paris)
• September 2005-August 2006: Assistant Professor of Statistics, CEREMADE, Paris-Dauphine University (France)
• October 2003-September 2005: CREST scholarship.

Diplomas

• PhD in Applied Mathematics, Paris-Dauphine University
• PhD in Economics, Ca' Foscari of Venice
• Masters degree in Mathematics Applied to Economics and Finance, Paris-Dauphine University.

Research Interest

Financial econometrics, asset pricing, dynamic term structure models.

Contact

• fulvio.pegoraro@banque-france.fr
• +33 (0)1 42 92 91 67
• Banque de France, 41-1391 DGEI-DEMFI-RECFIN, 75049 Paris Cedex 01, France

Academic publications

Articles

• Gourieroux, C., Monfort, A., and Renne, J.-P., (2014): "Regime Switching and Bond Pricing", The Journal of Financial Econometrics (Invited Lecture, SoFiE, Oxford, June 20th, 2012),12 (2), pp. 237-277.
• "No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth" with Caroline Jardet and Alain Monfort, The Journal of Banking and Finance, 2013, Vol. 37, 389-402.
• "Asset Pricing with Second-Order Esscher Transforms" with Alain Monfort, The Journal of Banking and Finance, 2012, Vol. 36, 1678-1687.
• "Econometric Asset Pricing Modelling" with Henri Bertholon and Alain Monfort, Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 407-458)
• "Switching VARMA Term Structure Models" with Alain Monfort, Journal of Financial Econometrics, 2007, Vol. 5, No. 1, 105-153