Dr Guillaume BAGNAROSA

Assistant Professor

Department : Finance and Accounting

Nationalities :

Qualifications

  • Ph.D. in Economics, University Paris I Panthéon-Sorbonne, France, 2013
  • MPhil, (DEA) in Finance, University Paris I Panthéon-Sorbonne, France, 2002
  • MRes, (Magistère) in Finance, University Paris I Panthéon-Sorbonne, France, 2002

Research Interests

  • Asset Pricing
  • Risk Management
  • Financial Econometrics
  • Asset Allocation
  • Hedge Funds

Work experience

Academic

  • Director for Agribusiness Area of Expertise, Rennes School of Business (October 2018 – Present)
  • Assistant Professeur, Finance & Accounting Academic Area, Rennes School of Business (2014 – Present)
  • Honorary Research Associate, University College London (UCL) (2012 – Present), London, Great Britain.
  • Lecturer, University College London (UCL) (2012 – 2014), London, Great Britain.
  • Teacher Assistant, University of Paris 1, Panthéon-Sorbonne (2007 – 2008), Paris, France.

Non-Academic

  • Director of Research and Partner, Molinero Capital Management (December, 2009 – August, 2014), London, United Kingdom.
  • Portfolio Manager/Analyst, HDF FINANCE (January, 2004 – December, 2009), PARIS, France.
  • Option Trader, BNP Paribas Arbitrage (June, 2002 – January, 2004), PARIS, France.

Intellectual contributions

Refereed Articles

Basic or Discovery Scholarship

  • Marowka, M., Peters, G.W., Kantas, N., Bagnarosa, G. (2020) Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread. Journal of the Royal Statistical Society, Applied Statistics, Series C, Appl. Statist. (April 2020) 69, Part 2, pp. 483–500
  • Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth W. Peters, Pavel V. Shevchenko. (2020). Which risk factors drive oil futures price curves? Energy Economics, 87 (2020) 104676
  • Bagnarosa, Guillaume and Alexandre Gohin, “La diversité des instruments innovants à la disposition des agriculteurs.” Innovations Agronomiques 77. (2019): 61-74.
  • Bagnarosa, Guillaume , Matthew Ames, Gareth Peters, and Pavel Shevchenko, “Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades.” Journal of Forecasting 37. (2018): 805-831.
  • Bagnarosa, Guillaume , Matthew Ames, and Gareth Peters, “Violations of uncovered interest rate parity and international exchange rate dependences.” Journal of International Money and Finance 73. (2017): 162-187.
  • Alexakis, C., Bagnarosa, G., Dowling, M. (2017) Do cointegrated commodities bubble together? The case of hog, corn and soybean. Finance Research Letters, Vol. 23 (2017), pp. 96-102

Refereed Proceedings

Basic or Discovery Scholarship

  • Bagnarosa, Guillaume , Matthew Ames, Gareth Peters, Pavel Shevchenko, & Matsui Tomoko, “Forecasting covariance for optimal carry trade portfolio allocations.” 2017 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) (2017): 5910-5914.
  • Bagnarosa, Guillaume , Maciej Marowka, Gareth Peters, and Nikolas Kantas, “Some recent developments in Markov Chain Monte Carlo for cointegrated time series.” ESAIM: PROCEEDINGS AND SURVEYS 59. (2017): 76-103.
  • Bagnarosa, Guillaume , Matthew Ames, Gareth William Peters, and Ioannis Kosmidis, “Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence.” In Glau, Kathrin and Scherer, Matthias and Zagst, Rudi (Eds.) Innovations in Quantitative Risk Management 99. (2015): 163-181.
  • Bagnarosa, Guillaume , Emmanuel Jurczenko, and Bertrand Maillet, “An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Padé Approximants.” AFFI Paris Conference 2006 (2006):

Presentations of Refereed Papers

International

  • Bagnarosa, Guillaume (2019). Credit risk management for agri-business under weather uncertainty. Invited presentation at SFRA Colloquium 2019, Edinburgh, Scotland. February 2019
  • Bagnarosa, Guillaume, Gao, S. Spatio-temporal modeling of Yield-weather dependence. In: The 11th International Conference on Computational and Financial Econometrics (CFE 2017), London, United Kingdom, December 2017
  • Bagnarosa, Guillaume, Matthew Ames, Gareth W. Peters, Pavel V. Shevchenko, and Tomoko Matsui (2016). Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term. 10th International Conference on Computational and Financial Econometrics (CFE 2016), London, United Kingdom.
  • Bagnarosa, Guillaume (2016). From Local to Global Credit Risk exposure among Farmers. 2016 International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives (STM2016), Tokyo, Japan.
  • Bagnarosa, Guillaume, Gareth Peters, Matthew Ames, Pavel Shevchenko, Tomoko Matsui. On Risk Factors which Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term. In: 10th International Conference on Computational and Financial Econometrics (CFE 2016), Sevilla, Spain, December 2016
  • Ames, M., Bagnarosa, Guillaume, Peters, G. Violations of the Uncovered Interest Rates Parity and International Exchange rates tails dependencies. In: 22nd international conference Forecasting Financial Market 2015, Rennes, France, May 2015
  • Bagnarosa, Guillaume, Peters, G., Ames, M. Systemic crisis timeline using tails dependencies. In: International Conference on computational and financial econometrics, London, United Kingdom, December 2015
  • Bagnarosa, Guillaume, Matthew Ames, Gareth W. Peters and Pavel V. Shevchenko. A speculative volume based covariance model for currency portfolios. In: 9th International Conference on Computational and Financial Economietrics, London, December 2015
  • Bagnarosa, Guillaume. About Risk Neutral Uncertainty. In: 2015 International Workshop on Spatial and Temporal Modeling from Statistical, Machine Learning and Engineering perspectives (STM2015), Tokyo, Japan, July 2015
  • Bagnarosa, Guillaume, Emmanuel Jurczenko, and Bertrand Maillet. (2006). An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Padé Approximants. AFFI Paris Conference 2006, Paris, France.
  • Bagnarosa, Guillaume, Matthew Ames, and Gareth Peters. (2014). Extreme dependence in commodity trading strategies. 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy.
  • Bagnarosa, Guillaume (2013). Errors in higher order risk neutral moments estimation. 7th International Conference on Computational and Financial Econometrics (CFE 2013), London, United Kingdom.
  • Bagnarosa, Guillaume (2011). Risk Controls. HFT High Frequency Trading World 2011, London, United Kingdom.

National

  • Bagnarosa, Guillaume, Emmanuel Jurczenko, and Bertrand Maillet. (2007). An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Multipoint Padé Approximants. 24ème Journées de Microéconomie Appliquée, Fribourg, Switzerland.

Presentations of Non-Refereed Papers

International

  • Bagnarosa, Guillaume, Matthew Ames, Gareth W. Peters and Pavel Shevchenko. (2016). Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades. University of Rennes 1 Applied Economics Weekly Seminar, Rennes, France, 28 April 2016
  • Bagnarosa, Guillaume, Matthew Ames, and Gareth Peters. (2014). Extreme dependence in commodity trading strategies. 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy.
  • Bagnarosa, Guillaume (2013). Errors in higher order risk neutral moments estimation. 7th International Conference on Computational and Financial Econometrics (CFE 2013), London, United Kingdom.
  • Bagnarosa, Guillaume (2011). Risk Controls. HFT High Frequency Trading World 2011, London, United Kingdom.

National

  • Bagnarosa, Guillaume, Assurance récolte et calamités agricoles. Audience au Sénat Français, Groupe de travail de la Commission des Affaires Economiques, 28 Janvier 2020
  • Bagnarosa, Guillaume. Crop Insurance Pricing and Farmers Credit Risk Modelling under Climate Uncertainty. SMART-LERECO Research Laboratory seminars. Rennes, France, September 2019
  • Bagnarosa, Guillaume (2018). Credit risk management for agri-business under weather uncertainty. Invited presentation at Spatiotempmeteo : Modèles Spatio-Temporels en Météorologie et Océanographie (IRMAR – INRIA), Rennes, France. December 2018

Other Research

Other Research Activities

  • 2017: Bagnarosa, G., PhD Supervision Matthew Ames (UCL) 2012 – 2017.

External funding for a sponsored research project

  • 2018: Bagnarosa, G., Visiting Researcher to ISBA (Université Catholique de Louvain).
  • 2016: Bagnarosa, G., Visiting Researcher to the ISM (Tokyo Institute of Statistical Mathematics).
  • 2015: Bagnarosa, G., Visiting Researcher to the ISM (Tokyo Institute of Statistical Mathematics).

Chapters, Cases, Readings, Supplements

Chapter

Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa, Ioannis Kosmidis. Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence. In : Glau, K., Sherer, M., Sagst, R. (eds.), Innovations in Quantitative Risk Management. Springer Proceedings in Mathematics & Statistics Volume 99, TU Munchen Sept 2013, 2015. 438 p. pp. 163-184. ISBN 978-3-319-09113-6