Riccardo Rebonato (EDHEC) honoured with the “Legends in Quantitative Finance” Award at the 20th QF Conference
Riccardo Rebonato, Professor at EDHEC and Scientific Director of the EDHEC-Risk Climate Impact Institute, has been awarded the prestigious “Legends in Quantitative Finance” prize. This rare recognition was presented during the opening session of the 20th Quantitative Finance Conference, held from 25 to 27 September 2024 in Cannes, France.
The “Legends in Quantitative Finance” award is bestowed upon individuals who have made significant and lasting contributions to the field.
Since its inception, the award has previously only been presented twice.
The first occasion was in 2012 to Oldrich Vasicek, mathematician and quantitative analyst, best known for his pioneering work on interest rate modelling (The Vasicek Model). In 2023, it was awarded to Helyette Geman, Research Professor in Mathematical Finance at Johns Hopkins University and the first woman to be named “Financial Engineer of the Year” by the International Association of Financial Engineers.
Riccardo Rebonato was nominated by Andrei Lyashenko, a leading figure in quantitative finance and the recipient of Risk Magazine’s Quant of the Year award in 2020.
In addition to receiving this prestigious award, Professor Rebonato presented his latest research on the impact of physical climate risks on equity valuations during the conference. His work, titled “How Does Climate Risk Affect Global Equity Valuations? A Novel Approach,” (2024) introduces a new framework that combines asset pricing techniques with Integrated Assessment Models.
The study explores how physical climate risks, such as extreme weather events, impact global equity markets, and offers a probabilistic treatment of climate and economic uncertainties, emphasising the importance of transition costs and state-dependent discounting.
Commenting on the award, Riccardo Rebonato said, “To be recognised with the “Legends in Quantitative Finance” award is an exceptional honour, especially following in the footsteps of pioneers like Oldrich Vasicek and Helyette Geman. Throughout my career, I have been fortunate to work with brilliant minds, both in academia and industry, who have shaped my thinking and inspired my research. This award reflects the spirit of quantitative finance—an area where theory meets practice in the most profound way. When I was a physicist, I was an uncommon specimen of and experimenter and theoretician. My work at EDHEC, particularly with the Climate Institute, continues to focus on this vital intersection of theory and practice.”
Riccardo Rebonato is renowned for his influential work in quantitative finance, particularly in interest-rate modelling, asset pricing, and—more recently—climate finance.
His pioneering work continues to reshape how climate-related financial risks are understood and managed. His recent research goes beyond traditional methods, offering innovative climate scenarios that better align with the needs of investors. By enhancing the established IPCC framework with probabilistic data and creating a full distribution of possible outcomes, his approach enables financial decision-makers to assess both the most likely and extreme climate scenarios.
This groundbreaking work equips investors with valuable insights into the economic consequences of climate change, allowing them to better navigate the risks associated with different climate outcomes.
To know more about R. Rebonato:
- Go to his Google Scholar webpage
- Visit his EDHEC's profile
- Read his latest articles published in EDHEC Vox :
- The problems with climate scenarios, and how to fix them (July 2024)
- A Conversation with Robert Litterman (Kepos) and Riccardo Rebonato (EDHEC): Fighting Climate Change Through Financial Innovation (May 2024)
- How to think about climate change? (April 2024)
- Meet Riccardo Rebonato, a fusion of science and finance (January 2024)
This article has been initially published in the news section of the EDHEC-Risk Climate Impact Institute
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