MENONCIN FRANCESCO

Address

Dipartimento di Scienze Economiche
Università degli Studi di Brescia
Via S. Faustino, 74/B
25122 Brescia
Tel: 030-2988806
Fax: 030-2988837
E-mail: menoncin@eco.unibs.it

Personal data

Date of birth: July 15th, 1974, Genoa (Italy)
Marital status: Unmarried
Nationality: Italian

Education

2003 - PhD in Economics, Université Catholique de Louvain, Louvain-le-Neuve, Belgium. Thesis: «Optimal Asset Allocation for Institutional Investors»
2002 - PhD in Economics, University of Pavia, Italy. Thesis: «Optimal Portfolio Rules for Investment Funds»
2000 - Master of Arts in Economics, Université Catholique de Louvain, Louvain-le-Neuve, Belgium. The thesis: «Optimal Portfolio Rules for an Integrated Stock-Bond Portfolio» was awarded the «Young Economists» prize by Bank AXA
1998 - Degree in Economics, Banking, and Finance, University of Genoa, Italy (mark 110/110 cum laude). The dissertation: «Money Demand: Extensions of Miller and Orr Stochastic Approach» was awarded the «publication mention» by the teaching board
1992 - Diploma in Accountancy, Genoa, Italy (mark 60/60)

Experience

March 2005 (current) - Associate Professor, University of Brescia, Italy
January 2004-March 2005 - Teaching Fellow, University of Brescia, Italy
September 2000-March 2001 - Reader, University of Pavia, Italy
September 1998-February 1999 - Banca di Genova e S. Giorgio, Retail Brokerage, Genoa, Italy

Teaching
2005--2012 - «Market Risk», Master's Degree in Money, Finance, and Risk Management, University of Brescia, Italy
2005--2012 - «Derivatives and Financial Hedging», Master's Degree in Money, Finance, and Risk Management, University of Brescia, Italy
2008-2009 - «Operational Risk», Master's Degree in Money, Finance, and Risk Management, University of Brescia, Italy
2008-2011 - «Risk Management for Pension Funds», Master of Arts in Finance, Ecole de Management (EM)-Lyon, France
2003-2009 - «Microeconomics for Finance and Market Micro-structure», Master of Arts in Money and Finance, University of Brescia, Italy
2004-2012 - «Microeconomics for Finance», Master of Arts in Law and Economics, University of Genoa, Italy
2005 - «International Economics», Master of Arts in Small and Medium Firms Internationalization, ISFOR2000& ICE, Brescia, Italy
2005 - «International Money and Finance», Bachelor's Degree in Economics, University of Brescia, Italy
2004-2005 - «International Economics», Bachelor's Degree in Economics, University of Brescia, Italy
2002 - Exercises on «Microeconomics and Mathematical Economics», Master of Arts in Applied Econometrics, University of Pavia, Italy
2001-2002 - «Market Structure», Bachelor's Degree in Economics, University of Pavia, Italy
1998 - «Informatics for Economics», Bachelor's Degree in Economics, University of Genoa, Italy

Languages

Mother Tongue: Italian
English: fluent (written and spoken)
French: fluent (written and spoken)

Computer skills

OS - Linux (Ubuntu/Gnome), Unix, Windows (Office)
Scientific - Matlab, Scilab, Freemat, Octave, Gretl, R, Maxima, LaTeX

Conferences

June 14-17, 2011 - 15th IME Insurance Mathematics and Economics International Congress, University of Trieste, Italy
December 1, 2010 - Invited Seminar at «Collegio Carlo Alberto», Turin, Italy
July 11-14, 2010 - 24th European Conference on Operational Research, Lisbon, Portugal
July 5-7, 2009 - 23rd European Conference on Operational Research, Bonn, Germany
May 26-29, 2009 - 13th IME Insurance Mathematics and Economics Congress, Istanbul, Turkey
February 5-6, 2009 - Actuarial and Financial Mathematical Conference, Buxelles, Belgium
November 5, 2008 - European Pensions Investment Summit, Financial Times Global Events, Koeln, Germany
October 30, 2008 - Solvency II, Life & Pensions, Bruxelles Belgium
April 3-4, 2008 - 6th International Workshop on Pension and Saving: Consequences of Longevity Risks on Pension System and Labor Market, Université Paris Dauphine, Paris, France
April 10-14, 2007 - Workshop on Mathematical Control Theory and Finance, Lisbon University, Portugal
February 5, 2007 - Ente Einaudi, Rome, Italy
January 23-26, 2007 - Pension Workshop, Netspar, Amsterdam, Netherlands
July 17-20, 2006 - 10th IME Insurance Mathematics and Economics International Congress, Katholieke Universiteit Leuven, Belgium
July 2-5, 2006 - 21st European Conference on Operational Research, Reykjavik University, Iceland
March 10, 2006 - New Trends in Finance and Risk Management, EM Lyon Business School, France
January 11-12, 2006 - Campus for Finance WHU, Otto Beisheim School of Management, Koblenz, Germany
July 2-7, 2005 - 12th Annual MFS Conference, University of Athens, Greece
June 29-July 2, 2005 - 2005 Annual Meeting of the European Financial Management Association, European Financial Management Association (EFMA), Milan, Italy
June 27-28, 2005 - French Finance Association meeting AFFI - Association Française de Finance, Paris, France
May, 5-7, 2005 - 2005 XXXVI EWGFM Meeting, University of Brescia, Italy
October 8, 2004 - Séminaire Scientifique Retraite, Caisse des Dépôts et Consignations, Bordeaux, France
August 20-24, 2004 - 19th Annual Congress of the European Economic Association, Madrid, Spain
May 27-29, 2004 - 8th International Conference on Macroeconomic Analysis and International Finance, Rethymno (Crete), Greece
June 30-July 3, 2004 - 2004 Annual Meeting of the European Financial Management Association, Basel, Switzerland
June 2-4, 2004 - 11th International Conference «Forecasting Financial Markets», Paris, France
April 28, 2004 - IFID conference on «Asset allocation and mortality», Toronto, Canada
November 10-14, 2003 - Asset and Liability Management for Financial Institutions, Cyprus
December 18-19, 2003 - French Finance Association Meeting, Paris, France
December 11-13, 2003 - XXVIII Symposium of Economic Analysis, Seville, Spain
November 25, 2003 - Finance Seminar Series (Finanzwirtschaftliches Kolloquium), Frankfurt, Germany
September 26-27, 2003 - Workshop on Dynamic Strategies in Asset Allocation and Risk Management, Bruxelles, Belgium
September 25-26, 2003 - 3rd Annual Conference of the Europena Investment Review, Genève, Switzerland
August 20-24, 2003 - 18th Annual Congress of the European Economic Association, Stockholm, Sweden
June 25-28, 2003 - 2003 Annual Meeting of the European Financial Management Association, Helsinki, Finland
April 4, 2003 - 6th Conference of the Swiss Society for Financial Market Research, Zuerich, Switzerland
December, 4-6, 2002 - XI International «Tor Vergata» Conference on «Monetary Integration, Markets, and Regulation», Rome, Italy
October 18, 2002 - Workshop on Macroeconomic Dynamics: Theory and Applications, Milan, Italy
August 22-24, 2002 - 17th Annual Congress of the European Economic Association (EEA 2002), Venice, Italy
August 25-28, 2002 - 57th European Meeting of the Econometric Society (ESEM 2002), Venice, Italy
May 24-25, 2002 - 2002 NTU International Conference on Finance, Taipei, Taiwan, R.O.C
July 8, 2002 - 1st International Conference on Corporate Governance, Birmingham, U.K.
December 17-19, 2001 - 14th Annual Australasian Finance and Banking Conference, Sydney, Australia
October 25-27, 2001 - XLII Riunione Scientifica Annuale della Soceità Italiana degli Economisti, Rome, Italy
November 1-2, 2001 - 3rd International Conference on Money, Investment and Risk, Nottingham Trent University, U.K.
May 25, 2001 - Dynamic Portfolio Strategies, SIRIF -- Scottish Institute for Research in Investment and Finance, Edinburgh, U.K.
May 26-27, 2000 - Convegno Internazionale di Studi di Etica ed Economia sociale «La pari dignità e la comune umanità fra i popoli -- A partire dei soggetti marginali prodromi per una nuova economia», Subiaco (Rome), Italy

Publications

Books

2011 - Analisi e gestione dei rischi di mercato, di credito e operativo, Academia Universa Press
2010 - (With M. Raudaschl) Matematica applicata con Maxima, Academia Universa Press
2009 - Negli ingranaggi della finanza, Academia Universa Press
2009 - Misurare il rischio operativo, Academia Universa Press
2009 - Misurare e gestire il rischio finanziario, Springer
2009 - Manuale di matematica finanziaria, Petrini
2007 - Matematica per l'economia, ISEDI
2006 - Mercati finanziari e gestione del rischio: esercizi, ISEDI
2006 - Economia internazionale: esercizi, UTET
2006 - Mercati finanziari e gestione del rischio, ISEDI
2006 - Economia internazionale, UTET
2004 - Risk management for pension funds, Gruppo Editoriale Delfo, Brescia
2003 - (with A. Amato) Modalità di gestione del portafoglio per un investitore istituzionale, Giuffrè, Milano

Articles on Reviews

2011 - (with P. Panteghini) The Johansson-Samuelson Theorem in General Equilibrium: A Rebuttal, FinanzArchiv, in press
2010 - (with P. Panteghini) Retrospective Capital Gains Taxation in a Dynamic Stochastic World, FinanzArchiv, 3, 236-242
2008 - (with R. Levaggi) Merit Goods Provision and Optimal Tax Evasion, Economics Bulletin, 8, 1-3
2008 - (with R. Levaggi) Fiscal Federalism, Patient Mobility and Soft Budget Constraint in Italy, Politica Economica, 3, 367-388
2008 - The role of longevity bonds in optimal portfolios, Insurance: Mathematics and Economics, 42, 343-358
2007 - (with M. Tronzano) Optimal Real Exchange Rate Targeting: A Stochastic Analysis, Revue Economique, 58, 807-840
2007 - (with P. Battocchio and O. Scaillet) Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, Annals of Operations Research, 152, 141-165
2006 - Understanding longevity bonds, Life&Pensions, November, 36-40
2006 - Optimal asset management for pension funds, Managerial Finance, 32, 347-374
2005 - Modelli deterministici e aleatori per la valutazione di progetti, Economia e Diritto del Terziario, 1
2005 - Cyclical risk exposure of pension funds: A theoretical framework, Insurance: Mathematics and Economics, 36, 469-484 2005 - Risk Management for an Internationally Diversified Portfolio, Economia Internazionale, 58, 9-41
2005 - Risk Management and Asset Allocation with Jump-Diffusion Exogenous Risks: Some Algebraic Approximated Solutions, The European Journal of Finance, 11, 223-246
2005 - (with M. Tronzano) Is a Monetary Union a Never-Ending Story? Revue Economique, 56, 25-49
2004 - (with P. Battocchio) Optimal Pension Management in a Stochastic Framework, Insurance: Mathematics and Economics, 34, 79-95
2003 - Optimal Asset Allocation for HARA Consumers with Labour Income, Economia Internazionale, 3, 357-381
2002 - Optimal Portfolio and Background Risk: An Exact and an Approximated Solution, Insurance: Mathematics and Economics, 31, 249-265
2001 - (with A. Amato) Trading on line e volatilità dei mercati azionari, Economia e Diritto del Terziario, 1, 11-20
2000 - (with A. Amato) Modalità di gestione del portafoglio per le fondazioni, Economia e Diritto del Terziario, 3, 797-816
1999 - (with S. Ricci) Il livello ottimo di indebitamento delle imprese dopo l'introduzione della dual income tax. Prospettive dell'economia, 1, gennaio -- marzo, 49-69
1999 - Il problema della elevata differenza tra rendimenti degli investimenti azionari e degli investimenti obbligazionari, Prospettive dell'economia, 1, gennaio -- marzo, 70-83
1998 - Il problema della durata ottima delle concessioni: un tentativo di soluzione, Economia e Diritto del Terziario, 3, 841-855
1998 - Domanda di moneta: estensioni del modello stocastico di Miller e Orr, Prospettive dell'economia, 3, luglio -- settembre, 61-75
1998 - Alcune ipotesi sulle cause della crisi asiatica, Prospettive dell'economia, 2, aprile -- giugno, 65-83

Book Chapters

2009 - Demographic Assets and the Asset Allocation Problem for Pension Funds, in Cruz «The Solvency II Handbook», Riskbooks
2009 - Using CVaR to Optimize and Hedge Portfolios, in Gregoriou «The VaR Modeling Handbook», McGraw-Hill
2009 - An Asset Allocation Problem with Credit Derivatives, in Gregoriou G. N. and Ali P. «The Credit Derivatives Handbook», McGraw-Hill
2009 - seven entries for «The Encyclopedia of Alternative Investments» (Hedge Ratio, Interest Rate Swap, Credit Default Swap, Commodity Swap, Basis Swap, Synthetic Future, Double Hedging) edited by Gregoriou, Chapman-Hall CRC/Taylor and Frencis Group
2008 - An Approximate Solution for Optimal Portfolio in Incomplete Markets, in Sarychev, A., Shiryaev, A., Guerra, M., Grossinho, M.R. (eds) «Mathematical Control theory and Finance», Springer-Verlag
2008 - An Asset Allocation Problem with Credit Derivatives, in Gregoriou G. N. et Alii «The Handbook of Credit Derivatives», McGraw-Hill
2006 - Gestione di un fondo pensione nelle fasi di accumulazione e distribuzione: il caso con forza di mortalità stocastica, in Cavalletti and Fossati: «Temi di finanza pubblica. Analisi di politiche per lo sviluppo dell'economia», Franco Angeli
2005 - (with S. Sberro) Dólar-Euro, hacia un nuevo orden monetario mundial in Sberro e Soriano: «La Unión Europea su evolución y relaciones con América Latina y el mundo» Porrúa

Reviews

1998 - Quadrio Curzio, A., Noi, l'economia e l'Europa, Economia Internazionale, 3
1998 - Ciocca, P., L'economia mondiale nel Novecento - Una sintesi, un dibattito, Economia Internazionale, 4
1998 - Basile e Garosci, Commercio e grande distribuzione: la sfida del 2000, Economia e Diritto del Terziario, 2
1998 - Frey, L., Lavoro nei servizi verso il secolo XXI, Economia e Diritto del Terziario, 2

Working Papers

2009 - (with P. Panteghini) Retrospective Capital Gains Taxation in the Real World, CESifo Working Paper Series, N. 2674
2008 - (with P. Panteghini) The Johansson-Samuelson Theorem in General Equilibrium: A Rebuttal, CESifo Working Paper Series, N. 2352
2007 - (with R. Levaggi) A note on optimal tax evasion in the presence of merit goods, Dipartimento di Scienze Economiche, Università di Brescia, Discussion Paper, N. 0702
2006 - The role of longevity bonds in optimal portfolios, Dipartimento di Scienze Economiche, Università di Brescia, Discussion Paper, N. 0601 (http://www.unibs.it/on-line/dse/Home/Inevidenza/PaperdelDipartimento/documento4690.html)
2005 - Cyclical risk exposure of pension funds: a theoretical framework, Dipartimento di Scienze Economiche, Università di Brescia, Discussion Paper, N. 0502 (http://www.unibs.it/on-line/dse/Home/Inevidenza/ PaperdelDipartimento/documento4570.html)
2005 - (with R. Nicolini) The optimal behaviour of firms facing stochastic costs, Unitat de Fonaments de l'Analisi Economica (UAB) and Institut d'Analisi Economica (CSIC), UFAE and IAE Working Papers, pp. 26
2004 - Risk management for an internationally diversified portfolio, Dipartimento di Scienze Economiche, Università di Brescia, Discussion Paper, N. 0404 (http://fausto.eco.unibs.it/segdse/paper_pdf/pdf0404.pdf)
2004 - Risk management for pension funds, Dipartimento di Scienze Economiche, Università di Brescia, Discussion Paper, N. 0403 (http://fausto.eco.unibs.it/segdse/paper_pdf/pdf0403.pdf)
2004 - (with M. Tronzano) Optimal Real Exchange Rate Targeting: A Stochastic Analysis, Dipartimento di Scienze Economiche, Università di Brescia, Discussion Paper, N. 0401 (http://fausto.eco.unibs.it/segdse/paper_pdf/pdf0401.pdf)
2003 - (with O. Scaillet) Mortality Risk and Real Optimal Asset Allocation for Pension Funds, FAME, Université de Genève, Discussion Paper, N. 101 (http://www.fame.ch/index.cfm?page=/fame/faculty_research/ research_paper_series/complete_list/paper_101)
2003 - Optimal Real Consumption and Asset Allocation for a HARA Investor with Labor Income, IRES, Université catholique de Louvain, Discussion Paper, N. 15/03 (www.ires.ucl.ac.be/DP/IRES_DP/2003-15.pdf)
2003 - (with P. Battocchio and O. Scaillet) Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases, FAME, Université de Genève, Discussion Paper, N. 66 (http://www.fame.ch/index.cfm?page=/fame/faculty_research/ research_paper_series/complete_list/paper_66)
2002 - Investment Strategies for HARA Utility Function: A General Approximated Solution, IRES, Université catholique de Louvain, Discussion Paper, N. 34/02 (http://www.ires.ucl.ac.be/DP/IRES_DP/2002-34.pdf)
2002 - Investment Strategies in Incomplete Markets: Sufficient Conditions for a Closed Form Solution, IRES, Université catholique de Louvain, Discussion Paper, N. 33/02 (http://www.ires.ucl.ac.be/DP/IRES_DP/2002-33.pdf)
2002 - How the Financial Managers' Remuneration Can Affect the Optimal Portfolio Composition, IRES, Université catholique de Louvain, Discussion Paper, N. 22/02 (http://www.ires.ucl.ac.be/DP/IRES_DP/2002-22.pdf)
2002 - (with P. Battocchio) Optimal Pension Management under Stochastic Interst Rates, Wages, and Inflation, IRES, Université catholique de Louvain, Discussion Paper, N. 21/02 (http://www.ires.ucl.ac.be/DP/IRES_DP/2002-21.pdf)
2002 - (with P. Battocchio) Optimal Portfolio Strategies with Stochastic Wage Income and Inflation: the Case of a Defined Contribution Pension Plan, CeRP Working Paper, N. 19/02 (http://cerp.unito.it/working_paper/archivio/WP_19.pdf)
2002 - Optimal Portfolio with Benchmark for Fund Managers, Università degli Studi di Pavia, Quaderni di Dipartimento N. 140 (02-02) (http://economia.unipv.it/eco-pol/abs/abs140.html)
2001 - How to Manage Inflation Risk in An Asset Allocation Problem: An Algebraic Approximated Solution, IRES, Université catholique de Louvain, Discussion Paper, N. 35 (http://www.ires.ucl.ac.be/DP/IRES_DP/2001-35.pdf)
2001 - Optimal Portfolio Rules for an Integrated Stock Bond Portfolio, IRES, Université catholique de Louvain, Discussion Paper , N. 14 (http://www.ires.ucl.ac.be/DP/IRES_DP/2001-14.pdf)