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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


CV_Gianluca_De_Nard.pdf (4.56MB)
CV_Gianluca_De_Nard.pdf (4.56MB)


 

Education

Visiting PhD Scholar, New York University (Prof. Robert Engle)                        (2019-2020)

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)


* with summa cum laude distinction

** with summa cum laude expectation


Academic Positions

Research Fellow, NYU Stern Volatility and Risk 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                                                                       (2018-2020)

Econometrician (Intern), 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)


Research Interests

Empirical Finance, Machine Learning for Asset Pricing, Climate Finance, Financial Econometrics, (Quantitative) Asset and Risk Management


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, 2021, forthcoming (with Olivier Ledoit and Michael Wolf).

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage, Journal of Financial Econometrics, 2021, forthcoming.


Job Market Paper

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

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