Deutsche Bank Chair in Quantitative Finance and Asset Pricing

Chair Holder: Carlo Favero

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Full Professor of Economics and Head of the Department of Finance at Bocconi University from 2013 to 2019, Carlo Favero has been a Fellow at CEPR (the Centre for Economic Policy Research), a program in International Macroeconomics since 1997. At Bocconi University, he was also Director (from 2000 to 2004 and from 2008 to 2019) and then President (2011-2016) of IGIER Bocconi (Innocenzo Gasparini Institute for Economic Research) and Program Director of the PhD in Finance (from 2008 to 2010). In addition to his intense academic work, Carlo Favero has collaborated as a consultant with the European Central Bank and the World Bank, and since 2011 he has been a member of the Scientific Committee for research grants at the Foundation Banque de France and has been Consultant to the Council of Experts for the Ministry of Economics and Finance since 2016.

Joint Purpose

Based on the consolidated partnership between Deutsche Bank and Bocconi University, the Deutsche Bank Chair in Quantitative Finance and Asset Pricing was established in 2010. It was a fixed-term chair assigned to Carlo Favero, Full Professor in the Department of Finance. Then, in 2016 Deutsche Bank confirmed its commitment to the advancement of knowledge and supporting research, consolidating its support for Bocconi University and transforming the Chair established six years earlier into an endowed chair. The Chair’s research focuses on the interactions between demographic trends, asset prices and the effects of the growth in longevity. Deutsche Bank's commitment aims to support research in the financial field, as well at educate young talents through training activities. In addition to the pure research conducted by Professor Favero and the Research Assistants who work alongside him, the Chair also is also committed to teaching activities, aimed at training the new generations. Finally, outreach and dissemination activities include presentations, events and seminars to disseminate the research conducted.

Core Activities

Research 

The Chair’s research is focused on two main areas. In light of the Covid-19 pandemic and the changed global economic landscape, Professor Favero’s research focuses on the construction and simulation of Epidemiology and Economics models for the evaluation of the optimal policies for "Non-Pharmaceutical Intervention" to control the virus. A second area of research includes the construction of new factor models to explain the prices of financial assets, taking into account the possibility of short-term fluctuations caused by economic agents’ non-optimizing behavior.

Publications

 

Communication and Dissemination 

The Deutsche Bank Chair in Quantitative Finance and Asset Pricing’s activities have been enriched over the years by the dissemination of Professor Favero’s research results, thanks to his participation in seminars and conferences organized by prestigious academic and institutional entities. The General Symposium on Pensions is of particular importance and prestige. They are a series of events that started in 2013, held every two years and focused on interactions between demographic trends, asset prices and the effects of growth in longevity. These events are opportunities for debate between academics and professionals on theoretical and empirical developments relating to demographic trends, financial markets and welfare, involving big names from the world of finance, institutions and academia.

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