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Pierre Collin-Dufresne
SFI Senior Chair
Professor of Finance
Pierre Collin-Dufresne is Professor of Finance at the Ecole Polytechnique Fédérale de Lausanne and has been an SFI Senior Chair since 2011. Prior to his appointments in Switzerland, Prof. Collin-Dufresne held a chair in Business at the Graduate School of Business at Columbia University. He spent four years in the Quantitative Strategy Group of Goldman Sachs Asset Management where he was in charge of fixed income and credit trading strategies. He currently sits on the academic advisory boards of both Lombard Odier and Kepos Capital (a US asset management firm). He also provides expert advice for Cornerstone Research and serves on the editorial boards of various academic journals.
Research Interests:
His primary research interest lies in credit and fixed income markets.
Recent Research:
One of the recent topics Prof. Collin-Dufresne and his coauthors have been investigating is how parameter learning amplifies the impact of macroeconomic shocks. The researchers use a model that assumes that investors learn about parameters from data, such as the growth rate of the economy or the likelihood and severity of disasters, and revise their beliefs as new data arrives. Such revisions in parameter beliefs induce permanent shocks to investors’ expectations, such revisions are sources of subjective long-run risks and have strong asset pricing implications. When running simulations, the researchers find that parameter uncertainty can quantitatively dominate fundamental sources of risk and help explain the standard equity premium puzzle.