Fulvio Pegoraro

Research Adviser, Research and Risk Analysis Directorate, ACPR

Fulvio Pegoraro

Fulvio Pegoraro is Research Advisor at the Research and Risk Analysis Directorate of the ACPR (French supervisor of banks and insurance companies). He has been Principal Economist at the European Central Bank, Deputy Head of the Financial Economics Research Division at Banque de France, and IMF expert. Fulvio Pegoraro has a PhD in Economics at the University Ca’ Foscari of Venice and a PhD in Applied Mathematics at the University Paris Dauphine. Fulvio Pegoraro has been adjunct professor at HEC Lausanne, EPFL of Lausanne and at the ESSEC business school. He is member of the Finance and Insurance Lab of CREST and adjunct professor at the Institut Polytechnique de Paris (ENSAE). His research interests are yield curve and credit risk models, non-linear time series models and climate-risk-based scenarios, and interest rates pass-through models.

Diplomas

PhD in Economics, University Ca’ Foscari de Venise. PhD in Applied Mathematics, Paris Dauphine University.

Current Position

  • Cadre supérieur ACPR / Banque de France.

  • Research Advisor, Research and Risk Analysis Directorate, ACPR.

  • Researcher at the Laboratoire de Finance-Assurance of CREST and Adjunct Professor at the Institut Polytechnique de Paris (ENSAE

Previous Position

Research Advisor, Research and Risk Analysis Directorate, ACPR (from January 2020 to March 2021).
Principal Economist, Directorate General Monetary Policy of the ECB (from September 2017 to December 2019).
Deputy Head of the Financial Economics Research Division (DGEI – DEMFI - RECFIN) of Banque de France (from September 2014 to August 2017).
Research Economist at the Financial Economics Research Division (DGEI – DEMFI - RECFIN) of Banque de France (from November 2006 to August 2014).

Research Interest

Dynamic Term Structure Models, Credit Risk Models, Financial Econometrics, Climate change and climate Finance, Multivariate Non-Linear Time Series Models and Scenarios, Interest Rate Pass-Through Models.

Contact

Banque de France Publications

Academic publications

Articles
  • "The effects of climate change-related risks on banks: a literature review", avec de Bandt, O., Kuntz, L.-C., Pankratz, N., Solheim, H., Sutton, G., Takeyama, A., and D. Xia, 2024, The Journal of Economic Surveys.
  • "An Analytical Framework for Assessing Climate Transition Risks: An Application to France", avec Allen, T., Dees, S., Graciano Caicedo, C. M., Clerc, L., De Gaye, A., Lisack, N., and M. Rabaté, 2024, Review of World Economics.
  • "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion", with Alain Monfort, Jean-Paul Renne and Guillaume Roussellet; Management Science, 2021, Vol. 67(6), 3321-3984.
  • Méthodes de Prévision en Finance, 2020, Chapitre 7 (La prévision des taux d’intérêt à partir de moyennes d’estimateurs; with Alain Monfort and Caroline Jardet), chez Economica.
  • "Staying at Zero with Affine Processes: An Application to Term Structure Modeling”, with Alain Monfort, Jean-Paul Renne and Guillaume Roussellet; Journal of Econometrics, 2017, Vol. 201, 348-366.
  • "Regime Switching and Bond Pricing", avec Christian Gourieroux, Alain Monfort and Jean-Paul Renne; The Journal of Financial Econometrics, 2014, 11(2) (Invited Lecture, SoFiE, Oxford, June 20th, 2012).
  • “No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth", with Caroline Jardet and Alain Monfort; The Journal of Banking and Finance, 2013, Vol. 37, 389-402.
  • "Asset Pricing with Second-Order Esscher Transforms", with Alain Monfort; The Journal of Banking and Finance, 2012, Vol. 36, 1678-1687.
  • "Econometric Asset Pricing Modelling", with Henri Bertholon and Alain Monfort; The Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 407-458.
  • "Switching VARMA Term Structures Models", with Alain Monfort; Journal of Financial Econometrics, 2007, Vol. 5, No. 1, 105-153.
Working Papers

“The effects of climate-change related risks on banks: a literature review”, Basel Committee on Banking Supervision

Publications

Eco Notepad Financial stability
Climate transition scenarios and financial risk
25th of February 2022
Working paper Green finance
Climate-Related Scenarios for Financial Stability Assessment: An Application to France
16th of July 2020