Loriano Mancini

Professor of Finance

Swiss Finance Institute

USI Lugano, Institute of Finance

Curriculum Vitae

 

Working papers

• How Do Firms Choose Between Growth and Efficiency?, with Laurent Fresard, Enrique Schroth and Davide Sinno

• (In)efficient Repo Markets, with Tobias Dieler and Norman Schuerhoff

 

Publications

• An L-Moment Approach for Portfolio Choice under Non-Expected Utility, Journal of Financial Econometrics, forthcoming, with Hasan Fallahgoul and Stoyan Stoyanov

• Risk Premia and Levy Jumps: Theory and Evidence, Journal of Financial Econometrics, 2023, Vol. 21, 810-851, with Hasan Fallahgoul and Julien Hugonnier

• Understanding Cash Flow Risk, Review of Financial Studies, 2022, Vol. 35, 3922-3972, with Sebastian Gryglewicz, Erwan Morellec, Enrique Schroth and Philip Valta

• The Term Structure of Variance Swaps and Risk Premia, Journal of Econometrics, 2020, Vol. 219, 204-230, with Yacine Ait-Sahalia and Mustafa Karaman
  Post on Systemic Risk and Systemic Value website, non-profit project from and for senior investment managers and researchers

• The Euro Interbank Repo Market, Review of Financial Studies, 2016, Vol. 29, 1747-1779, with Angelo Ranaldo and Jan Wrampelmeyer

• Quadratic Variance Swap Models, Journal of Financial Economics, 2016, Vol. 119, 44-68, with Damir Filipovic and Elise Gourier

• Scientific Research Measures, Journal of the Association for Information Science and Technology, 2016, Vol. 67, 3051-3063, with Marco Frittelli and Ilaria Peri

• Detecting Abnormal Trading Activities in Option Markets, Journal of Empirical Finance, 2015, Vol. 33, 263-275, with Marc Chesney and Remo Crameri

• Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Journal of Finance, 2013, Vol. 68, 1805-1841, with Angelo Ranaldo and Jan Wrampelmeyer
  Outstanding Paper in International Finance award at the 2010 Eastern Finance Association Annual Meeting, Miami
  Featured in the Financial Times

• Systemic Risk and Sentiment, Handbook on Systemic Risk, edited by J.-P. Fouque and J. Langsam, 2013, 714-742, with Giovanni Barone-Adesi and Hersh Shefrin

• Robust Value at Risk Prediction, Journal of Financial Econometrics, 2011, Vol. 9, 281-313, with Fabio Trojani

• Option Pricing with Model-Guided Nonparametric Methods, Journal of the American Statistical Association, 2009, Vol. 104, 1351-1372, with Jianqing Fan

• Out of Sample Forecasts of Quadratic Variation, Journal of Econometrics, 2008, Vol. 147, 17-33, with Yacine Ait-Sahalia

• A GARCH Option Pricing Model with Filtered Historical Simulation, Review of Financial Studies, 2008, Vol. 21, 1223-1258, with Giovanni Barone-Adesi and Robert Engle
  Best Paper in Quantitative Finance award at the Quantitative Methods in Finance Conference 2005, Sydney

• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models, Journal of the American Statistical Association, 2005, Vol. 100, 628-641, with Elvezio Ronchetti and Fabio Trojani

 

Biography

Loriano Mancini received his PhD from the Universita` della Svizzera italiana, Faculty of Economics, in 2004. In 2004-2005 he was research fellow at the Operations Research and Financial Engineering department at Princeton University. In 2005-2007 and 2007-2009 he was, respectively, senior researcher and assistant professor at the institute of finance at the University of Zurich. From 2009 to 2017 he had been assistant professor at the Swiss Finance Institute at EPFL. In 2017 he joined USI as associate professor of finance. Since 2022 he is full professor. His recent research focuses on volatility and liquidity risks, stability of interbank markets, financial aspects of insurance companies, and statistical analyses of corporate data. His research has appeared in international journals such as Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of the American Statistical Association, and Journal of Econometrics. He is associate editor of various academic journals such as the Journal of Financial Econometrics and Journal of Business and Economic Statistics. At USI he teaches courses at bachelor and master level.

 

Mail address

Universita` della Svizzera italiana

Institute of Finance

Via Giuseppe Buffi 13

CH-6900 Lugano, Switzerland

 

Office

Institute of Finance

Office EL 3/004 (blue building, third floor)

Via Giuseppe Buffi 6, CH-6900 Lugano, Switzerland

 

Last update: 21.06.2023