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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:
ZURICH
University of Zurich
Department of Economics
Zürichbergstrasse14
8032 Zürich
Switzerland
Office:
ZUH-G05
Phone:
+41 (0)44 634 56 95
E-Mail:
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 Ugly, Journal of Financial Econometrics, 2020, forthcoming (with Olivier Ledoit and Michael Wolf).
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage, Journal 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