Dr BAGNAROSA Guillaume

Assistant Professor

Pôle : Finance and Accounting

Nationalités :

Qualifications

  • Ph.D. in Economics, University Paris I Panthéon-Sorbonne, France, 2013
  • MPhil, (DEA) in Finance, University Paris I Panthéon-Sorbonne, France, 2002
  • MRes, (Magistère) in Finance, University Paris I Panthéon-Sorbonne, France, 2002

Research Interests

  • Asset Pricing
  • Risk Management
  • Financial Econometrics
  • Asset Allocation
  • Hedge Funds

Work experience

Academic

  • Honorary Research Associate, University College London (UCL) (2012 – Present), London, Great Britain.
  • Lecturer, University College London (UCL) (2012 – 2014), London, Great Britain.
  • Teacher Assistant, University of Paris 1, Panthéon-Sorbonne (2007 – 2008), Paris, France.

Non-Academic

  • Director of Research and Partner, Molinero Capital Management (December, 2009 – August, 2014), London, United Kingdom.
  • Portfolio Manager/Analyst, HDF FINANCE (January, 2004 – December, 2009), PARIS, France.
  • Option Trader, BNP Paribas Arbitrage (June, 2002 – January, 2004), PARIS, France.

Intellectual contributions

Refereed Articles

Basic or Discovery Scholarship

  • Bagnarosa, Guillaume , Matthew Ames, and Gareth Peters, « Violations of uncovered interest rate parity and international exchange rate dependences. » Journal of International Money and Finance 73. (2017): 162-187.
  • Bagnarosa, Guillaume , Christos Alexakis, and Michael Dowling, « Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean. » (in press)  (2017)

Refereed Proceedings

Basic or Discovery Scholarship

  • Bagnarosa, Guillaume , Matthew Ames, Gareth William Peters, and Ioannis Kosmidis, « Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence. » In Glau, Kathrin and Scherer, Matthias and Zagst, Rudi (Eds.) Innovations in Quantitative Risk Management 99. (2015): 163-181.
  • Bagnarosa, Guillaume , Emmanuel Jurczenko, and Bertrand Maillet, « An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Padé Approximants. » AFFI Paris Conference 2006 (2006):

Presentations of Refereed Papers

International

  • Bagnarosa, Guillaume, Emmanuel Jurczenko, and Bertrand Maillet. (2006). An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Padé Approximants. AFFI Paris Conference 2006, Paris, France.

National

  • Bagnarosa, Guillaume, Emmanuel Jurczenko, and Bertrand Maillet. (2007). An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Multipoint Padé Approximants. 24ème Journées de Microéconomie Appliquée, Fribourg, Switzerland.

Presentations of Non-Refereed Papers

International

  • Bagnarosa, Guillaume (2011). Risk Controls. HFT High Frequency Trading World 2011, London, United Kingdom.
  • Bagnarosa, Guillaume (2013). Errors in higher order risk neutral moments estimation. 7th International Conference on Computational and Financial Econometrics (CFE 2013), London, United Kingdom.
  • Bagnarosa, Guillaume, Matthew Ames, and Gareth Peters. (2014). Extreme dependence in commodity trading strategies. 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy.
  • Bagnarosa, Guillaume (2015). About Risk Neutral Uncertainty. 2015 International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives (STM2015), Tokyo, Japan.
  • Bagnarosa, Guillaume, Matthew Ames, Gareth W. Peters and Pavel V. Shevchenko. (2015). A speculative volume based covariance model for currency portfolios. 9th International Conference on Computational and Financial Economietrics, London, United Kingdom.
  • Bagnarosa, Guillaume (2016). From Local to Global Credit Risk exposure among Farmers. 2016 International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives (STM2016), Tokyo, Japan.
  • Bagnarosa, Guillaume, Matthew Ames, Gareth W. Peters, Pavel V. Shevchenko, and Tomoko Matsui (2016). Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term. 10th International Conference on Computational and Financial Econometrics (CFE 2016), London, United Kingdom.

National

  • Bagnarosa, Guillaume, Matthew Ames, Gareth W. Peters and Pavel Shevchenko. (2016). Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades. Rennes1 Applied Economics Weekly Seminar, Rennes, France.

Other Research

External funding for a sponsored research project

  • 2016: Bagnarosa, G., Visiting Researcher to the ISM (Tokyo Institute of Statistical Mathematics).
  • 2015: Bagnarosa, G., Visiting Researcher to the ISM (Tokyo Institute of Statistical Mathematics).