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Giovanni Barone-Adesi
SFI Faculty Member
Professor of Economics
  +41 58 666 4753
Giovanni Barone-Adesi is Full Professor of Economics at the Università della Svizzera italiana. He held an SFI Distinguished Service Chair from 2006 to 2011. Since 2011, he has held an SFI Senior Chair. He acts as Head of the SFI Center at the Università della Svizzera italiana. Prof. Barone-Adesi is a founding partner at OpenCapital, an asset management firm based in Lugano. His recent research has focused on developing specialized investment funds to support international trade.
Research Interests:
His research interests lie in derivative pricing, studies of market volatility, and the relationship between capital levels and risk-taking in banks.
Recent Research:
In recent research, Prof. Barone-Adesi and his co-authors investigate the use of filtered historical simulation in quantifying potential losses central counterparties could face in the case of multiple defaults. Their methodology provides an estimate of the joint expected shortfall, calculated on the basis of tail risk and tail dependency, and an estimate of the financial resources needed to absorb multiple defaults. Theoretical results reveal that joint risk estimates at the extreme of tails are blurry and that simulation trials, in large numbers, are needed to increase estimate precision. Further research will focus on contagion risk.