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Gianluca De Nard


New York

NYU Stern School of Business

Volatility Institute

44 West 4th Street

10025 NY

United States


Office:

Suite 9-66


Phone:

 +1 (212) 998-0081


E-Mail:

denard@stern.nyu.edu



ZURICH

University of Zurich

Department of Economics

Zürichbergstrasse14

8032 Zürich

Switzerland


Office:

ZUH-G05

 

Phone:

 +41 (0)44 634 56 95


E-Mail:

gianluca.denard@bf.uzh.ch


 

 

 
 
 


Gianluca De Nard
Quant / Econometrician*

 

Education

Visiting PhD Scholar, New York University (Prof. Robert Engle)                    (2019-present)

PhD in Finance, University of Zurich                                                              (2017-present)

MSc in Quantitative Finance**, ETH and University of Zurich                            (2015-2017)

BA in Management and Economics**, University of Zurich                                (2011-2014)


Academic Positions

Visiting Research Fellow, NYU Stern Volatility Institute                                  (2019-present)

Research Associate and Teaching Assistant, Prof. Leippold UZH                 (2017-present)

Research Associate and Teaching Coordinator, Prof. Wolf UZH                    (2017-present)

Junior Researcher and Teaching Assistant, UZH                                              (2014-2017) 


Work Experience

Data Scientist, Data2Conclusion                                                                   (2018-present)

Econometrician, KOF ETH Swiss Economic Institute                                       (2018-2018) 

Quantitative Analyst (Intern), UBS                                                                    (2015-2015)

Insurance Broker, AXA Winterthur                                                                    (2012-2014)

Intern, Zurich Insurance Group                                                                         (2010-2011)

          

Languages

German (first language), Italian (mother tongue), English (advanced C1/C2), French (intermediate)


Programming

R, Matlab, Python, Jupyter, MySQL, VBA, Stata, Latex...


Research Interests

Estimation of Large-Dimensional Covariance Matrices, Risk and Asset Management, Financial Econometrics, Applied Statistics and Portfolio Selection


Awards / Grants

Nominee for Swiss Risk Award                                                                                   (2020)

UZH Candoc Grant                                                                                            (2020-2021)

SNF Fellowship for NYU Stern Volatility Institute, Prof. Robert Engle               (2019-2020)

Semester Prize: Award for one of the best Master Thesis                                          (2018)


Published Papers

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the UglyJournal of Financial Econometrics, 2020, forthcoming (with Olivier Ledoit and Michael Wolf).

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets ShrinkageJournal of Financial Econometrics, 2020, forthcoming.


Job Market Paper

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

(with Robert F. Engle, Olivier Ledoit and Michael Wolf)


*   for a detailed CV see DOCUMENTS

** with summa cum laude distinction