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, and since September 2010 I direct the Financial Econometrics group of the School.

My research is, broadly, in financial econometrics. On the applied side I am a specialist in quantitative risk management and financial market structures. On the theoretical side I am interested in estimation of fat-tailed distributions and volatility, both univariate and vast dimensional. I have published 18 articles on these topics in international peer-review journals, including top-field outlets, co-edited one book, and presented my research more than 120 times over four continents. I also write regularly opinion pieces in general public newspapers and I have been involved in the organization of 19 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), Duisenberg School of Finance (Amsterdam), 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 at the Volatility Institute- of New York University, and in the spring term of 2012 I will visit the research department of the Banco de España in Madrid.