Riccardo Rebonato speaking on factor investing fixed income at TrackInsight European Summit in Paris

Written on 30 Oct 2019.


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Riccardo Rebonato, Professor of Finance, EDHEC Business School, and Factor Investing Fixed Income Lead Expert, EDHEC-Risk Institute, has been invited to give a keynote speech on the theme of Indexation, Factor Investing & Smart Beta at the TrackInsight European Summit, organised by FinTech TrackInsight, in Paris on 21 November, 2019. 

 

TES2019 is a unique gathering, which aims to capture trends, challenges, innovative ideas and disruptive thinking, while bringing together the movers & shakers of the industry to address the challenges all investment firms are facing in this new era.

But as this sector has grown almost exponentially, the questions and critiques have started to multiply. How accurate (and useful) are the index screening methodologies? What’s the impact of the selected businesses in real world challenges? Is the whole movement one giant example of virtue signalling by a liberal financial elite?

Structured around 10 key-note speeches by C-level executive industry leaders, recognised experts in their fields, the conference aims to provide the right balance of stand-up presentations, networking and less formal moments to ensure fruitful dialogue, open discussion and exchange.

 

The session "Is Fixed Income the New El Dorado for Factor Investing?" will examine the following issues:

  • Why is fixed income fertile hunting ground for factor investing?
  • Can we believe in fixed-income factors?
  • How to avoid the three horsemen of the Apocalypse (over-fitting, data mining, and factor fishing)?

 

Programme available on November 4.

Further information on the conference can be found on the conference website. You can register here.

 

Riccardo Rebonato is Professor of Finance at EDHEC Business School. He was previously Global Head of Rates and FX Research at PIMCO. He also served as Head of Front Office Risk Management and Head of Clients Analytics, Global Head of Market Risk and Global Head of Quantitative Research at Royal Bank of Scotland (RBS). Prior joining RBS, he was Head of Complex IR Derivatives Trading and Head of Head of Derivatives Research at Barclays Capital. Riccardo Rebonato has served on the Board of ISDA (2002-2011), and has been on the Board of GARP since 2001. He was a visiting lecturer in Mathematical Finance at Oxford University (2001-2015). He is the author of several books, in particular having published extensively on interest rate modelling, risk management, and most notably books on SABR/LIBOR Market Model pricing of interest rate derivatives, as well as on the use of Bayesian nets for stress testing and asset allocation. He has published articles in international academic journals such as Quantitative Finance, the Journal of Derivatives and the Journal of Investment Management, and has made frequent presentations at academic and practitioner conferences. He holds a doctorate in Nuclear Engineering (Universita' di Milano) and a PhD in Science of Materials (Condensed Matter Physics, Stony Brook University, NY).