Dean Fantazzini

• Faculty of Economics | Department of Mathematical Economics and Econometrics: Professor

Education and degrees

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.

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)