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The Deutsche Bank Chair in Quantitative Finance and Asset Pricing aims to support research dedicated to econometric modeling of asset prices.

The chair has been assigned to Carlo Favero, professor in the Department of Finance and President of IGIER, and is part of a three-year agreement which makes Deutsche Bank the first foreign corporation to become strategic partner of Bocconi.

“The view forming our research program”, Favero says, “is that financial returns are determined by a permanent information component and by a temporary noise component. The noise component dominates the data at high-frequency, while the information component emerges in long-horizon returns. As a consequence, over the short-run there is no predictability of returns and quantitative modeling concentrates on concepts like volatility, contagion, non-normality. In the long-run predictability emerges as a reflection of the role of fundamentals”.

The Deutsche Bank Chair has been formally announced and launched with the conference "Longevity Risk: Challenges and Opportunities", held at Bocconi University on October 4, 2011.

Longevity Risk: Challenges and Opportunities

- Welcome and Introduction -

Guido Tabellini
Rector, Università Bocconi

Flavio Valeri
Chief Country Officer, Deutsche Bank

- Measuring Longevity Risk -

Carlo Favero
Deutsche Bank Chair in Quantitative Finance and Asset Pricing, Università Bocconi

- Development of a Longevity Market: Hedging and Investment Opportunities -

Michael Amori
Managing Director, Head of Longevity Derivatives Group, Deutsche Bank

Maria Cannata - Director, Public Debt, Italian Treasury
Elsa Fornero - Università di Torino and Vice President, Advisory Board, Intesa Sanpaolo
Paolo Garonna - Director General, Ania
Mauro Marè - President, Mefop
Antonio Mastrapasqua - President, Inps

Francesco Giavazzi - Professor of Economics, Università Bocconi

The complete program can be downloaded here.


Last updated October 17, 2013