Gianluca De Nard
Financial Econometrician
-------
Gianluca De Nard
ZURICH
University of Zurich
Department of Economics
Zürichbergstrasse14
8032 Zürich
Switzerland
Office:
ZUH-G05
E-Mail:
NEW YORK
NYU Stern School of Business
Volatility Institute
44 West 4th Street
10025 NY
United States
Office:
Suite 9-66
E-Mail:
Gianluca De Nard
 | CV_Gianluca_De_Nard.pdf (4.59MB) |
| CV_Gianluca_De_Nard.pdf (4.59MB) |
Education
PhD in Finance*, University of Zurich (2017-2021)
Visiting PhD Scholar, New York University (Prof. Robert Engle) (2019-2020)
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
Academic Positions
Senior Research Associate, University of Zurich (2019-present)
Research Fellow, NYU Stern Volatility and Risk Institute (2019-present)
Postdoc, Yale University (Prof. Bryan Kelly) (2021-2023)
Research Associate and Teaching Assistant, Prof. Leippold UZH (2017-2023)
Research Associate and Teaching Coordinator, Prof. Wolf UZH (2017-2021)
Junior Researcher and Teaching Assistant, UZH (2014-2017)
Work Experience
Head of Quantitative Research, OLZ AG (2023-present)
Senior Quantitative Research Analyst, OLZ AG (2021-2023)
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 (beginner)
Research Interests
Sustainable Finance and Climate Risk, Empirical Finance, Financial Econometrics, Machine Learning for Asset Pricing, Asset and Risk Management
Awards / Grants
Innosuisse project funding (OLZ AG and HSLU) (2023-2025)
SNF Postdoc.Mobility (Yale University) (2021-2022)
FAN Fellowship / Hofstetter Stiftung (2021)
Nominee for Swiss Risk Award (2020 and 2021)
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
Journal of Finance, forthcoming (FinCAP project).
Improved Inference in Financial Factor Models, International Review of Economics and Finance, 2023
(with Elliot Beck and Michael Wolf)
Using, Taming or Avoiding the Factor Zoo? A Double-Shrinkage Estimator for Covariance Matrices,
Journal of Empirical Finance, 2023 (with Zhao Zhao).
Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data,
Journal of Banking and Finance, 2022
(with Robert F. Engle, Olivier Ledoit and Michael Wolf).
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage,
Journal of Financial Econometrics, 2022.
Subsampled Factor Models for Asset Pricing: The Rise of Vasa,
Journal of Forecasting, 2022 (with Simon Hediger and Markus Leippold).
A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited
International Review of Economics and Finance, 2022 (with Zhao Zhao).
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly, Journal of Financial Econometrics, 2021 (with Olivier Ledoit and Michael Wolf).