Dean Fantazzini
- Visiting Lecturer:International College of Economics and Finance
- Dean Fantazzini has been at HSE University since 2024.
Education and Degrees
- 2020
Doctor of Sciences*
HSE University - 2003
Master's
University of Bologna
* Doctor of Sciences
A post-doctoral degree called Doctor of Sciences is given to reflect second advanced research qualifications or higher doctorates in ISCED 2011.
A post-doctoral degree called Doctor of Sciences is given to reflect second advanced research qualifications or higher doctorates in ISCED 2011.
Courses (2023/2024)
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 1 year, 1-4 module)Eng
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 2 year, 1-3 module)Eng
- R Programming and Applications to Finance (Mago-Lego; 3 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 2 year, 3 module)Eng
- Past Courses
Courses (2022/2023)
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 2 year, 1-3 module)Eng
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 1 year, 3 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 2 year, 3 module)Eng
- R Programming and Applications to Finance (Mago-Lego; 3 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 1 year, 3 module)Eng
Courses (2021/2022)
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 2 year, 1-3 module)Eng
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 1 year, 1-4 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 1 year, 3 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 2 year, 3 module)Eng
Courses (2020/2021)
- Research Project Seminar (Optional course (faculty); Faculty of Economic Sciences; 1-3 module)Rus
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 2 year, 1-3 module)Eng
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 1 year, 1-4 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 1 year, 3 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 2 year, 3 module)Eng
Courses (2019/2020)
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 1 year, 3 module)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 2 year, 2 semester)Eng
Courses (2018/2019)
- Research Seminar in Financial Economics (Master’s programme; International College of Economics and Finance; 1 year, 1, 2 semester)Eng
- R Programming and Applications to Finance (Master’s programme; International College of Economics and Finance; 1 year, 2 semester)Eng
Publications14
- Article Fantazzini D. Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death // Journal of Risk and Financial Management. 2022. Vol. 15. No. 7. Article 304. doi
- Article Kolesnikova A., Fantazzini D. Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports // Energy Policy. 2021. Vol. 157. Article 112466. doi
- Article Dean Fantazzini, Calabrese R. Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure // Journal of Risk and Financial Management. 2021. Vol. 14. No. 11. Article 516. doi
- Article Dean Fantazzini, Julia Pushchelenko, Mironenkov A., Kurbatskii A. Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg // Forecasting. 2021. Vol. 3. No. 4. P. 774-803. doi
- Article Fantazzini D., Toktamysova Z. Forecasting German car sales using Google data and multivariate models // International Journal of Production Economics. 2015. Vol. Volume 170, Part A. No. December . P. 97-135.
- Article Фролова Э. А., Фантаццини Д. Кредитные свопы и базис между кредитными свопами и облигациями для российских компаний: обзор и анализ влияния запрета на короткие продажи // Прикладная эконометрика. 2012. № 1. С. 3-24.
- Article Fantazzini D., Гераськин П. Б. Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask // European Journal of Finance. 2011. Vol. Spesial (in press)
- Article Maggi M., Fantazzini D., DeGiuli M., Bianchi C. Small Sample Properties of Copula - GARCH Modelling: a Monte Carlo Study // Applied Financial Economics. 2011. No. 21 (21). P. 1587-1597.
- Article Фантаццини Д. Моделирование Многомерных Распределений С Использованием Копула-Функций. Часть 1 // Прикладная эконометрика. 2011. № 22 (2). С. 98-134.
- Article Фантаццини Д. Моделирование Многомерных Распределений С Использованием Копула-Функций. Часть 2 // Прикладная эконометрика. 2011. № 23 (3). С. 98-132.
- Article Maggi M., Fantazzini D., DeGiuli M., Carta A., Bianchi C. A Copula-VAR-X approach for Industrial Production Modelling and Forecasting // Applied Economics. 2010. No. 42 (25). P. 3267-3277.
- Article Figini S., Fantazzini D. Random Survival Forest models for SME Credit Risk Measurement // Methodology and Computing in Applied Probability. 2009. Vol. 11. No. 1. P. 29-45.
- Article Фантаццини Д. Управление кредитным риском (окончание) // Прикладная эконометрика. 2009. Т. 14. № 2. С. 100-127.
- Article Захаров А. В., Фантаццини Д. Экономические факторы в модели голосования: пример Нидерландов, Великобритании и Израиля // Прикладная эконометрика. 2009. Т. 14. № 2. С. 57-76.
Publications
- Journal of Financial Transformation, 25(1), 31-39, (2009)"Enhanced Credit Default Models for Heterogeneous SME Segments" (withM.E. DeGiuli, S. Figini, P. Giudici, – University of Pavia).
- Stock market volatility, Chapman & Hall / CRC, 527-548,(2009)"Forecasting Default Probability without Accounting Data: Evidence from Russia"
- International Journal of Risk Assessment and Management, 11(1/2), 138-163,(2009) "Default forecasting for small-medium enterprises: does heterogeneity matter?"(with S. Figini– University of Pavia).
- Computational Statistics and Data Analysis, 53(6), 2168-2188, (2009)"The Effects of Misspecified Marginals and Copulas on Computing the Value at Risk: A Monte Carlo Study"
- Operationalrisk toward BaselIII: best practices and issues in modeling, management, and regulation, Wiley, 197-216, (2009). "Multivariate Models for Operational Risk: A Copula Approach using Extreme Value Theory and Poisson Shock Models", (with O. Rachedi, University of Leuven, Belgium)
- Methodology and Computing in Applied Probability 11(1), 29-45 (2009)"Random Survival Forest models for SME Credit Risk Measurement" (with S.Figini– University of Pavia).
- Computational Economics 31(2), 161-180, (2008) “A New Approach for Firm Value and Default Probability Estimation beyond Merton Models”
- Frontiers in Finance and Economics 5(2), 72-108, (2008) “Dynamic Copulas for Value at Risk"
- Оperational risk: a guide toBasel II capital requirements, models, and analysis, Wiley, p. 274-277, (2007)"Empirical Studies with Operational Loss Data: DallaValle, Fantazzini and Giudici Study",
- International Journal of Risk Assessment and Management, 9(3), 238-257,(2008)“Copulae and Operational Risks”, (with L. Dalla Valle and P. Giudici – University of Pavia).
- European Review of Agricultural Economics, 34 (1), 129-131, (2007) “Leaves and Cigarettes: Modelling the Tobacco Industry (With applications to Italy and Greece)", (with F. Arfini – University of Parma, F. Ferretti – Univesity of Reggio Emilia, K. Mattas – University of Thessaloniki), Book Review by Kenneth J. Thomson
- Agribusiness, Landscape and Environmental Management, 10(2), 1-13, (2007)“Evidence from a Time-Changing Regulated Agricultural Market: The Italian Tobacco Industry” (with F. Ferretti - University of Modena and Reggio Emilia)
Work Experience
- Oct. 2008 to present Associate Professor in Econometrics and Finance - Moscow School of Economics, Moscow State University, Moscow (Russia)
- 28/04/2009: Award for fruitful scientific research and teaching activities given to me by the former USSR president and Nobel Peace Prize winner Mikhail S. Gorbachev and by the MSU rector prof. Viktor A.Sadovnichy
- Oct. 2009 to present Visiting Professor - Faculty of Economics, Higher School of Economics - Moscow (Russia)
- March 08 - March 2010 Ernst & Young - Academy of Business, Moscow (Russia)
- Oct. 2007 - Sept. 2008 Lecturer in Econometrics and Finance - Moscow School of Economics, Moscow State University, Moscow (Russia)
- Nov. 2006 - Oct. 2007 Research Fellow in Statistics - Department of Statistics and Applied Economics, University of Pavia (Italy).
- Dec. 2005 - Nov. 2006 Research Fellow in Economics and Econometrics - Department of Economics and Quantitative Methods, University of Pavia (Italy).
- March 2005 - July 2005 Fixed-term job commissioned by the University of Bologna (Italy), the European Commission and the Italian Ministry of Agriculture, to develop an econometric model for the European and Italian tobacco industry.
- Aug. 2003 - Aug. 2004 Research Fellow at the Chair for Economics and Econometrics, University of Konstanz (Germany).
- June 2000 - Dec. 2000 Research Department of Banca Intesa, as a part of the Master in Financial and Insurance Investments.
Education
Sept. 2002 - Jan. 2006
- Ph.D. in Economics, Department of Political Economy and Quantitative Methods, University of Pavia (Italy).
- Ph.D. dissertation: "Theory and Applications of Copulas in Finance", Supervisors: prof. L. Bauwens, prof. E. Rossi.
Aug. 2003 - Aug. 2004
- Pre-Doc Research position at the Chair for Economics and Econometrics, University of Konstanz (Germany)
Sept.2000 - Nov 2002
- Degree in Political Economics, Department of Economics, University of Bologna (Italy). Final Grade 110/110 cum laude.
Jan. 2000 - Dec. 2000
- Master in Financial and Insurance Investments, Department of Statistics University of Bologna (Italy). Studentship awarded for best Master thesis.
Sept.1995 - Nov 1999
- Degree in Business and Economics, Department of Economics, University of Bologna, Final Grade 110/110 cum laude
“My Experience at ICEF Has Made Me a More Competitive Candidate for Jobs in Academia”
Francesca Macchia studies Finance at LUISS (Rome) and is in her second year of double-degree track with ICEF’s Master of Financial Economics. This year, Francesca’s paper won the third prize from HSE Student Research Paper Competition. In this interview, Francesca tells about why she chose to study in Russia, how she learned Russian, and what inspired her to choose Econometrics as a field for future PhD research.
Defending a Doctor of Science Thesis at HSE University under New Procedure
Dean Fantazzini, Deputy Head of the Department of Econometrics and Mathematical Methods in Economics at Moscow School of Economics in Moscow State University and Visiting Scholar at the HSE ICEF, was the first foreigner to defend his DSc thesis at HSE University. We spoke with Dean Fantazzini about his research and cooperation with HSE.
Ranking of HSE Authors in SSRN: July 2012
As of July 1st 2012, over 8000 authors have published their papers in the Social Science Research Network (SSRN). This number includes 150 members of the HSE staff.
HSE’s Ranking in SSRN: May 2012
The Social Science Research Network has published its university rankings for May.