Curriculum Vitae
CURRENT APPOINTMENTS
Associate Professor with tenure in Finance 2018 -
ITAM, Business School
Assistant Professor in Finance 2010 - 2018
ITAM, Business School
EDUCATION
Ph.D. in Finance 2005 – 2010
McGill University, Desautels Faculty of Management
Master in Mathematical Finance 1999 – 2000
University of Toronto
B.Sc. in Industrial Engineering 1992 - 1997
Universidad de Los Andes, Colombia
RESEARCH AND TEACHING INTERESTS
Empirical Asset Pricing, Derivatives, Investments, Risk Management and Fixed Income
PUBLISHED PAPERS
Does Realized Skewness Predict the Cross-Section of Equity Returns? with Diego Amaya, Peter Christoffersen, and Kris Jacobs
Journal of Financial Economics, 2015, Volume 118, Issue 1, Pages 135-167.
Featured in: Video (in Spanish), The BAM Alliance, ETF.com, VERTR Croudsource stock ratings, CXO Advisory Group
Journal of Financial and Quantitative Analysis, 2017, Volume 52, Issue 6, Pages 2727-2754.
Featured in: CXO Advisory Group, Alpha Architect
Anomalies in Emerging Markets: The Case of Mexico, with Renata Herrerias and Polux Diaz-Ruiz
The North American Journal of Economics and Finance, 2020, Volume 53, Pages 101188.
Management Science, 2023, 70(4):2144-2167.
Anticipating Jumps: Decomposition of Straddle Price with Bei Chen and Quan Gan
Journal of Banking and Finance, 2023, Volume 149, Pages 106755.
Non-Standard Errors with 342 co-authors from 34 countries and 207 institutions (mostly universities).
Journal of Finance, 2024, Volume 79, Issue 3, Pages 2339-2390.
Why Does Volatility Uncertainty Predict Equity Option Returns? with Jay Cao, Xiao Xiao, and Xintong Zhan
Quarterly Journal of Finance, 2023, Volume 13 Number 1, 2350005.
Realized Semibetas and International Stock Return Predictability with Diego Amaya, Renata Herrerias, and Fernando Perez
Finance Research Letters, 58, December 2023, 104641.
Does the option market underreact to firm´s left tail risk? with Bei Chen and Quan Gan
Journal of Financial and Quantitative Analysis. Accepted.
Review of Financial Studies. Accepted.
Working papers:
0DTE Index Options and Market Volatility: How Large is Their Impact? with Diego Amaya, Pedro Garcia-Ares and Neil Pearson
ACADEMIC TEACHING EXPERIENCE
Course taught
Finance 1 Winter 2011
Fixed Income Analysis 2010-2025
Market Risk Models, undergraduate 2009-2025
Empirical Finance, graduate 2016-2019
Market Risk Models, graduate Summer 2009
Empirical Asset Pricing 2015-2025
AWARDS AND ACCOMPLISHMENTS
IFSID Research Grant 2019-2020
IFSID Research Grant 2018-2019
Fundef Research award 2006-2009
IFM2 doctoral fellowship award 2006-2009
Colfuturo Scholarship Loan Program 2007-2009
McGill doctoral entrance fellowship 2005-2006
University of Toronto graduate fellowship 1999-2000
PROFESSIONAL EXPERIENCE
MANAGER, Valuation Product Control 2004 – 2005
Bank of Montreal, Toronto
Developed synthetic pricing of variance swaps using option prices
Researched and developed volatility surface to price OTC options
Computed close-out reserves and liquidity reserves for warrants, CDS and convertible securities based on limited market data, bid-ask spreads and model limitations
Monitored credit and equity derivative pricing models and risk sensitivities
Performed model stress tests to determine model's performance and accuracy
SENIOR ANALYST, Value-at-Risk Projects 2000 – 2004
Bank of Montreal, Toronto
Developed research to recommend “best” estimate for volatilities and correlations among Riskmetrics, GARCH(1,1) and historical volatility
Performed research using principal component analysis (PCA) to explain the structural changes in correlations among interest rate yield curves post September 11
Developed covariance matrix for interest rate (IR), foreign exchange (FX), equities and implied volatilities (IV) for value-at-risk (VaR) calculation
Developed a desktop application to compute credit risk and market risk (Delta-Gamma VaR) using Cornish-Fisher expansion
Supported, modified and enhanced the equity, IR, FX and commodity VaR daily processes and methodologies
ANALYST, Trading Division Jan - Apr 2000
Redpath Sugars, Toronto
Developed internal VaR model for sugar options and futures trading portfolio
PCA calculation and analysis of the term structure of sugar futures
Proposed methodology to price long-dated OTC sugar options
BUDGET ASSISTANT, Financial Division 1998 - 1999
Bell Canada International, Colombia
Developed annual budget model for the company
Analyzed profitability among different cell-phone plans
Research on the impact of devaluation on financial statements
COMPUTER SKILLS AND ADDITIONAL INFORMATION
Computer software: SAS, C/C++, Matlab, SQL, Perl, Visual Basic, Bloomberg, Unix, Microsoft Access, and Microsoft Excel
Languages: Fluent in French, Spanish and English
Sports and recreational activities: certified Kundalini yoga teacher. Soccer, basketball and biking
IMMIGRATION STATUS
Canadian Citizen
REFERENCES
Professor of Finance
C.T. Bauer College of Business
University of Houston
Tel: 1 713 743 2826
Associate Professor of Finance
Department of Finance
HEC Montreal
Tel: 1 514 340 6671