We are proud to announce that Riccardo Rebonato, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC-Risk Climate Impact Institute, has been awarded the prestigious “Legends in Quantitative Finance” prize. This rare recognition was presented during the opening session of the 20th Quantitative Finance Conference, held from 25 to 27 September 2024 in Cannes, France.
The “Legends in Quantitative Finance” award is bestowed upon individuals who have made significant and lasting contributions to the field. Since its inception, the award has previously only been presented twice. The first occasion was in 2012 to Oldrich Vasicek, mathematician and quantitative analyst, best known for his pioneering work on interest rate modelling (The Vasicek Model ). In 2023, it was awarded to Helyette Geman, Research Professor in Mathematical Finance at Johns Hopkins University and the first woman to be named “Financial Engineer of the Year” by the International Association of Financial Engineers. Riccardo Rebonato was nominated by Andrei Lyashenko, a leading figure in quantitative finance and the recipient of Risk Magazine’s Quant of the Year award in 2020.
In addition to receiving this prestigious award, Professor Rebonato presented his latest research on the impact of physical climate risks on equity valuations during the conference. His research, titled “How Does Climate Risk Affect Global Equity Valuations? A Novel Approach,” introduces a new framework that combines asset pricing techniques with Integrated Assessment Models. The study explores how physical climate risks, such as extreme weather events, impact global equity markets, and offers a probabilistic treatment of climate and economic uncertainties, emphasising the importance of transition costs and state-dependent discounting.
Commenting on the award, Riccardo Rebonato said, “To be recognised with the “Legends in Quantitative Finance” award is an exceptional honour, especially following in the footsteps of pioneers like Oldrich Vasicek and Helyette Geman. Throughout my career, I have been fortunate to work with brilliant minds, both in academia and industry, who have shaped my thinking and inspired my research. This award reflects the spirit of quantitative finance—an area where theory meets practice in the most profound way. When I was a physicist, I was an uncommon specimen of and experimenter and theoretician. My work at EDHEC, particularly with the Climate Institute, continues to focus on this vital intersection of theory and practice.”
Riccardo Rebonato is renowned for his influential work in quantitative finance, particularly in interest-rate modelling, asset pricing, and—more recently—climate finance.
Riccardo Rebonato’s pioneering work continues to reshape how climate-related financial risks are understood and managed. His recent research goes beyond traditional methods, offering innovative climate scenarios that better align with the needs of investors. By enhancing the established IPCC framework with probabilistic data and creating a full distribution of possible outcomes, his approach enables financial decision-makers to assess both the most likely and extreme climate scenarios. This groundbreaking work equips investors with valuable insights into the economic consequences of climate change, allowing them to better navigate the risks associated with different climate outcomes.
More academic research from Riccardo Rebonato:
- Riccardo Rebonato, Dherminder Kainth, Lionel Melin, and Dominic O’Kane, Optimal Climate Policy with Negative Emissions, International Journal of Theoretical and Applied Finance, Special Issue on the Impacts of Climate Change on Economics, Finance, and Insurance, July 2024
- Riccardo Rebonato, Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk, The Journal of Portfolio Management Novel Risks and Sources of Volatility Special Issue December 2023.
- Riccardo Rebonato, Riccardo Ronzani, and Lionel Melin, Robust Management of Climate Risk Damages, Risk Management, May 2023
- Riccardo Rebonato, Dherminder Kainth and Lionel Melin, Climate Output at Risk, The Journal of Portfolio Management, Novel Risks Special Issue 2022.
- Riccardo Rebonato and Taku Hatano, Why Does the Cieslak–Povala Model Predict Treasury Returns? A Reinterpretation, The Journal of Fixed Income, Spring 2022.
- Lionel Martellini, Riccardo Rebonato and Jean-Michel Maeso, Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market, The Journal of Fixed Income, Winter 2022.
- Riccardo Rebonato and Amir El Aouadi, How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited, The Journal of Fixed Income, Spring 2021.
- Riccardo Rebonato and Hong Sherwin, Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity, The Journal of Fixed Income, Winter 2021.
More industry-orientated research from Riccardo Rebonato:
- How Does Climate Risk Affect Global Equity Valuations? A Novel Approach, EDHEC-Risk Climate Impact Institute, 2024.
- The Problems with Climate Scenarios, and How to Fix Them, EDHEC Vox, EDHEC-Risk Climate Impact Institute, 2024.
- Climate Scenario Analysis and Stress Testing for Investors: A Probabilistic Approach, EDHEC-Risk Climate Impact Institute, 2024.
- Portfolio Losses from Climate Damages: A Guide for Long-Term Investors, EDHEC-Risk Climate Impact Institute, 2024.
- To Halt Global Warming, Forget Net-Zero: Aim For Net-Negative, EDHEC Vox, EDHEC-Risk Climate Impact Institute, 2022.
- From Climate Change to Asset Prices, EDHEC-Risk Institute, 2021.
- Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets, EDHEC-Risk Institute, 2019.
- Factor Investing in Fixed-Income – Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets, EDHEC-Risk Institute, 2019.
- Factor Investing in Sovereign Bond Markets – A Time-Series Perspective, EDHEC-Risk Institute, 2019.
