Rodrigo S. Targino

I am an Assistant Professor (Lecturer) in Statistics at the School of Applied Mathematics (EMAp), at the Getulio Vargas Foundation (FGV).

From 2012 to 2016, I was a PhD candidate at the Department of Statistical Science, at the University College London (UCL). In 2014 I was also a recepient of the Australia Award Endeavour Research Fellowship.

After a completing a BSc in Applied Mathematics and a MSc in Statistics (both from Federal University of Rio de Janeiro, Brazil) I spent 2.5 years working at the financial industry in Brazil, first as a Credit Risk Modelling Analyst at Itaú-Unibanco Bank and then as a Market Risk Analyst at Credit-Suisse Hedging-Griffo. During the Masters I also collaborated on a IMPA / Petrobras research project, mainly focused on Real Options problems.

Research Interests

My main research interest is Financial and Actuarial Mathematics, specifically on Monte Carlo methods for Risk Management (for more details see my list of academic publications).


10/Jan/2020 - Prof. Wenceslao González Manteiga (USC - Spain) will be visiting the School of Applied Mathematics (EMAp/FGV) from 17/Apr/2020 to 16/May/2020.

10/Jan/2020 - I'll be visiting Prof. Emmanuel Gobet at École Polytechnique from 20/May/2020 to 29/May/2020.

10/Jan/2020 - Prof. Silvana Pesenti (Univ. of Toronto) will be teaching a short (3hrs) course on "Risk management using risk measures" at EMAp FGV on the 21st and 22nd of January 2020 (11-13hrs). For more information on EMAp's 2020 summer program, click here.

02/Dec/2019 - New preprint online (with L.E. Nieto-Barajas): Modelling dependence within and across run-off triangles for claims reserving link.

29/Sep/2019 - I'll be visiting Prof. Emmanuel Gobet at École Polytechnique from 14/Oct/2019 to 25/Oct/2019. Then I head to UCL to visit Dr. Sam Livingstone from the 28/Oct/2019 to 07/Nov/2019.

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rodrigo.targino 'AT' fgv 'dot' br

Room 527, School of Applied Mathematics (EMAp), Getulio Vargas Foundation (FGV), Praia de Botafogo 190, Rio de Janeiro, RJ, Brazil