I am Professor of Quantitative Finance at the Solvay Brussels School of Economics and Management of the Université libre de Bruxelles (Free University of Brussels or ULB). In 2004 I became ECARES fellow, in 2007 I was a founding member of the Society for Financial Econometrics (SoFiE), since September 2010 I direct the Financial Econometrics group of the School, in 2012 I have been appointed Honorary Visiting Professor at Cass Business School (London), and the same year I became co-director of the ECARES Doctoral School.

My research is, broadly, in financial econometrics. On the empirical side I am a specialist on quantitative risk management and financial market structures. On the theoretical side I am interested in estimation of heavy-tailed distributions and volatility, both univariate and vast dimensional. The financial applications of the theory are, among others, tail and systemic risk.

I have published 19 articles in international peer-review journals, including top-field outlets, co-edited one book, and presented my research more than 130 times over four continents. I also write regularly opinion pieces in general public newspapers, and I have been involved in the organization of 20 conferences.

Training wise, I teach four courses of econometrics and quantitative finance at the ULB, and I teach (or I have taught) quantitative risk management and financial econometrics in, among others, the University of Paris IX Dauphine (Paris), Cass Business School (London), the Duisenberg School of Finance (Amsterdam), the Swiss Banking Institute (Zurich), and the New Economic School (Moscow). Moreover I have trained 9 PhD students and 3 post-docs so far.

I hold a BA in Economics and a BA in Statistics from University Carlos III de Madrid, and a MA and a PhD in Economics from the Université catholique de Louvain (CORE). Prior to joining ECARES and the Solvay Brussels School of Economics and Management, I was a post-doctoral fellow at CIRANO, Montreal, and a Marie Curie post-doctoral fellow at CentER, Tilburg. In the spring term of 2010 I visited Stern School of Business -hosted by the Volatility Institute- of New York University, and in the spring term of 2012 I visit the research department of the Banco de España in Madrid.

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