EMILIO BARONE SanPaolo IMI January 2006 Office Address: viale dell Arte, 25 Office telephone: +39-06-5959 3629 00144 Rome, Italy. Office fax: +39-06-5959 2300 E-mail: Emilio.Barone@SanPaoloIMI.com Home Address: via di Villa Emiliani, 46 Home telephone: +39-06-807 8214 00197 Rome, Italy. Home fax: +39-06-6227 6107 E-mail: E.Barone@mclink.net Home Page: http://www.luiss.it/docenti/barone.php (Luiss - Guido Carli) Author Page: http://ssrn.com/author=59628 (Social Sciences Research Network) Birth date: August 6, 1952. Nationality: Italian. Field: Finance. Education: B.A./M.A., Università degli Studi di Roma La Sapienza (Faculty of Economics), 1975; Postgraduate (Ph.D. course), Yale University (Dpt. of Economics), 1977. Thesis: Statistical Analysis on the Share Prices Generative Process, Diego de Castro, Chairman. Fellowships, Honors and Awards: Highest Honors in Economics, magna cum laude and special mention, Università di Roma, 1975; Banca d Italia Mortara Fellowship, 1976; Dottore Commercialista, 1976; Who s Who in Finance and Industry, since 1996-7; Sovrano Militare Ordine di Malta - Croce dell Ordine al Merito Melitense, 2000. Current Positions: Bank Executive, SanPaolo IMI, from 1998; Professor of Financial Economics, LUISS, from 1985; Member of Scientific Committee, Centro Mario Arcelli di Studi Monetari, from 1990; Member of Scientific Committee, Associazione Nazionale per lo Studio dei Problemi del Credito, from 1993; Member of Risk Management Committee, Banca Opi, from 2000; Board Advisor, Fideuram Investimenti, from 2003.
Previous Positions: Assistant Auditor, Arthur Andersen, 1975; Senior Officer, Banca d Italia - Research Department, from 1977 to 1989; Board Advisor, Studi Finanziari, from 1990 to 1992; Head of Research Department, IMI, from 1989 to 1992; Member of Scientific Committee, Enciclopedia Moneta, Credito e Finanza, from 1993 to 1995; Board Advisor, Imigest, from 1990 to 1996; Board Advisor, Censis, from 1990 to 1996; Head of the Financial Risks Analysis Department, IMI, from 1992 to 1998; Professor of Monetary and Capital Markets Economics, Università degli Studi di Roma Tor Vergata, from 1996 to 1999; Board Advisor, Imi Fideuram Asset Management, from 1997 to 1999. Board Advisor, Fideuram Fondi, from 1999 to 2000. Board Advisor, Fondo Pensioni del Gruppo SanPaolo IMI, from 1998 to 2000; Board Advisor, Alternative Investments, 2001; Director, European Financial Management Association, 1999-2001; Associate Editor, Journal of Banking and Finance, from 1995 to 2002; Board Advisor, Fideuram Capital, from 1999 to 2003; Board Advisor, SanPaolo IMI Asset Management, from 2001 to 2004. Special Assignments: Expert, Arcelli Committee on Public Tariffs, appointed by the Minister of Budget (1995) - Report published in Consiglio Tecnico Scientifico per la Programmazione Economica, Pareri, V, pp. 111-139, 1996; Faculty, Master in Economics and Finance, Università degli Studi di Napoli Federico II, Academic Years 1997-8, 1998-9, 1999-2000. Faculty, Master in Finance, CORIPE - Piemonte, Academic Years 1997-8, 1998-9, 1999-2000. Faculty, Master in Economics and Institutions, Università degli Studi di Roma Tor Vergata, Academic Years 1997-8, 1998-9, 1999-2000, 2000-1. Refereeing Services: Journal of Banking and Finance, Journal of Finance, European Journal of Finance, Research in Economics, Economic Notes, International Review of Economics and Finance Member, Committee for Officials Recruitment, ISVAP, 1998-9. Member, Giovannini Group of financial experts offering advice to the European Union on capital market integration in EMU, from 2001. Member, Instructors Board for Research Doctorate in Economics of Institutions and Monetary & Capital Markets, Università di Tor Vergata, from 2003.
Books: Financial Markets (Economia del Mercato Mobiliare), in two volumes (I Stocks and Bonds, II Derivatives and Risk Management), Luiss University Press, March 2005. Articles and Working Papers: Share Prices and Expected Dividends: an Empirical Analysis on a Sample of Italian Corporations, Banca d Italia, Contributi alla Ricerca Economica, Vol. 10, December 1981, with G. Cristini. Expected Yields on Bonds: Indexation, Convertibility, Covenants in Favour of Issuers and Bearers, Banca d Italia, Contributi alla Ricerca Economica, Vol. 11, December 1983. Risk and Return of Fixed and Floating Rate Bonds in an Univariate Stochastic Model, Banca d Italia, Temi di Discussione n. 73, September 1986, with R. Cesari. International Interest Rate Linkages and Monetary Policy Implications in Italy, Bank for International Settlements, March 1989, with G. Majnoni and G. Marchese. The Valuation of Puttable Bonds: an Application of the Cox, Ingersoll and Ross Model to Italian Treasury Option Certificates, Banca d Italia, Temi di Discussione n. 118, June 1989, with D. Cuoco. The Italian Market for Premium Contracts. An Application of Option Pricing Theory, Journal of Banking and Finance, Vol. 13, Nos. 4/5, September 1989, with D. Cuoco. The Italian version has been published in Contributi all analisi economica, Banca d Italia, no. 4, December 1988, pp. 7-57. The Securities Market, in F. Cotula, Monetary Policy in Italy, chapter 9, Il Mulino, 1989, with D. Cuoco. The Italian Stock Market: Efficiency and Calendar Anomalies, Journal of Banking and Finance, Vol. 14, 1990, pp. 483-510. The Valuation of Multiple Options: an Application to the Lira Exchange Rate Market, Finanza, Imprese e Mercati, Vol. III, no. 2, 1991, pp. 113-142, with A. Bucci. Lending of Money and Shares through the Riporti Market at the Milan Stock Exchange, Rivista Internazionale di Scienze Sociali, vol. 99, n. 4, 1991, with J. C. Williams. Implied Volatilities and Arbitrage Opportunities in the Italian Options Market:, in A. Penati Share Risk and Stock Exchange, chapter IV, no. 1, pp. 435-477, 1991, with D. Cuoco. Italian Treasury Bills: Optimal Diversification of Auction Bids: The Case of Italian Treasury Bills, Mondo Bancario, May-June, 1991, pp. 9-31. Abstract in Inquire Europe, Summary of Proceedings, 1995. The Valuation of Bonds and Bond Options: Some Empirical Tests, in M. Bertocchi and L. Stefanini, Large-Scale Economic and Financial Applications: New Tools and Methodologies, Franco Angeli, 1991, with D. Cuoco.
Term Structure Estimation Using the Cox, Ingersoll and Ross Model: the Case of Italian Treasury Bonds, Journal of Fixed Income, December 1991, with D. Cuoco and E. Zautzik. The Volatility of Stock Indexes, Quaderni OIFI, no. 1, Università degli Studi di Roma Tor Vergata, 1992. The Valuation of Italian Floating-Rate Treasuries, in Bond Markets, Treasury and Debt Management, Eds. V. Conti, R. Hamaui and H. M. Scobie, Chapman & Hall, 1994, with F. Folonari. The Valuation of Derivatives: A Survey, in R. S. Masera and M. Mentini, Eds., Strumenti Finanziari Innovativi e Profili di Rischio, Il Sole 24 Ore Libri, June 1993. Introductory Notes to Financial Mathematics, I.M.I., Centro di Formazione, March 1993. The Term Structure of Interest Rates, I.M.I., Centro di Formazione, April 1993. Forecastability of Returns with Neural Networks: An Application to Spot and Futures Italian Bond Markets, Proceedings of the Second International Conference on Artificial Intelligence Applications on Wall Street, Ed. R.S. Freedman, Software Engineering Press, April 19-22, 1993, New York City, with A. Beltratti and S. Margarita. Valuation of Floaters and Options on Floaters under Special Repo Rates, Working Paper, I.M.I., October 1995, with S. Risa. Index-Linked Bonds from an Academic, Market and Policy Making Standpoint, Ricerche Economiche, Vol. 50, n. 1, 1996, with R. S. Masera. Also in F. Parrillo, Ed., Contributo al Progetto di Costruzione dell Unione Economica Monetaria, Proceedings, ISCONA, November 1995 and in De Cecco, M., Piga, G., and L. Pecchi (Eds.), Managing Public Debt: Index-Linked Bonds in Theory and Practice, Edward Elgar, May 1997. An Integrated System for Interest-Rate Risk Management, Bancaria, Vol. 51, no. 11, pp. 18-31, November 1995, with A. Braghò. Futures-Style Options on Euro-Deposit Futures, European Financial Management, vol. 3, no. 1, 1997 and Quaderni di Ricerca, no. 62, O.C.S.M., December 1995, with L. Mengoni. Public Debt Management and Interest Rates, Rivista AIAF, n. 18, April 1996 and Quaderni di Ricerca, no. 69, O.C.S.M., May 1996. A Model for Measuring Financial Risks, Rivista di Politica Economica, vol. 86, no. 11-12, November-December 1996. Also in Quaderni di Ricerca, no. 78, O.C.S.M., January 1997, and in M. Baldassarri, M. Bagella e L. Paganetto (Eds.), Financial Markets: Imperfect Information and Risk Management, Palgrave, 2001, with A. Braghò. The Privatization of Italian Securities Markets, Banca, Impresa e Società, XVI, 1997, no. 2 and Quaderni di Ricerca, no. 82, O.C.S.M., May 1997, with R. Masera.
The Italian Securities Markets: Problems and Perspectives, Diritto ed Economia, 1997, no. 1-2-3, with R. Masera. The Information Content of Tips, IMI, October 1997, with A. Castagna. Pricing Bonds and Bond Options with Default Risk, European Financial Management, vol. 4, no. 3, 1998, with G. Barone-Adesi and A. Castagna. A Unified VaR Approach in Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, December 1998. Also in Quaderni CEIS, n. 49, 1998. Securities Markets: Functions and Pathologies, Istituto Mobiliare Italiano, April 1998. Underwriting Fees and Power Derivatives, SanPaolo IMI, March 1999, with A. Castagna. Capital Charges, Capital Adequacy and Risk Management, Mondo Bancario, January-February 2000, with R.S. Masera. Some preliminary analyses at SanPaolo IMI, in Credit Risk Models - Internal Ratings, Banca d Italia, April 2000. Complex Derivatives as Portfolios of Elementary Assets, Quaderni di Ricerca, no. 1 (new series), O.C.S.M., March 2004. Also in G. Di Giorgio and C. Di Noia (Eds.), Intermediari e mercati finanziari, Il Mulino, October 2004. Prediction Markets, SanPaolo IMI, August 2005, with F. Carli. Newspaper Articles: Options on BTP futures, Il Sole 24 Ore, 20 May 1994, p. 29. Options on Eurolira Futures, Milano Finanza, 20 May 1995, pp. 26-27, with L. Mengoni. Internet Q&A: Professor s Answers (www.sanpaoloimi.com - Section Education ). Published in Sanpaoloimi.com: strumenti e mercati, May 2002. Short Notes: Interest, Indexation, Enciclopedia Italiana Treccani, V Appendice, 1991. Translations: John C. Hull, Fundamentals of Futures and Options Markets, I edition (April 1994), II edition (January 1996), III edition (February 1999), IV edition (September 2002), V edition (May 2005). John C. Hull, Options, Futures and Other Derivatives, III edition (December 1997), IV edition (October 2000), V edition (April 2003), Il Sole-24 Ore. Conferences Organized: First International Conference, Center for Research in Finance (IMI Group), September 1990.
Second International Conference, Center for Research in Finance (IMI Group), September 1991. Conferences and Seminars (Participation): Northern Finance Association, I Annual Meeting, Ottawa, Canada, 23-24 September 1989. Comitato Giorgio Rota, Formazione e impiego della ricchezza delle famiglie. Confronti internazionali e analisi della situazione italiana, Turin, November 18, 1989. European Finance Association, XVII Annual Meeting, Athens, August 1990. Northern Finance Association, II Annual Meeting, Banff, Canada, 22-23 September 1990. Bocconi University, Quantitative Methods and the Italian Stock Market, Milan, 22-23 November 1990. International Workshop on Large-Scale Economic and Financial Applications: New Tools and Methodologies, Urbino, 10 May 1991. European Finance Association, XVIII Annual Meeting, Rotterdam, August 1991. INQUIRE Europe, Quantitative Concepts: Applications within European Markets, 27-29 October 1991. IBM-SEMEA, Modelli Statistici per l Analisi dei Mercati Finanziari, Pisa, 12-13 December 1991. Banca Commerciale Italiana, Il mercato dei titoli di Stato in Italia, Milano, 4-5 June 1992. ISCONA, Contributo al Progetto di Costruzione dell Unione Economica e Monetaria _ Realtà e Prospettive: la Posizione dell Italia, ABI, Roma, 19 October, 1994. III Tor Vergata Financial Conference, Finance and Innovation: Theoretical Models and Empirical Analysis, Università degli Studi di Roma Tor Vergata, Roma, 25-26 November, 1994. Ricerche Economiche, The Economics of Saving and Retirement, Cà Foscari, Venezia, 12-14 January, 1995. Istituto di Economia Politica, Seminar on Index-Linked Bonds from an Academic, Market and Policy Making Standpoint, Università Commerciale Luigi Bocconi, Milano, 13 March, 1995. Paradigma, Il Monitoraggio del Rischio Derivati: Informazione, Trasparenza e Autoregolamentazione, Hotel Principe di Savoia, Milano, 8-9 June 1995. European Finance Association, XXII Annual Meeting, Università degli Studi di Milano, Facoltà di Scienze Politiche, 24-26 August 1995. C.I.D.E.I. - Università degli Studi di Roma - Banque Indosuez Italia, Index-linked bonds in theory and practice, Centro Congressi Università di Roma La Sapienza, October 19, 1995. IV Tor Vergata Financial Conference, Asymmetric Information, Risk Management, Financial and Banking Innovation, Università degli Studi di Roma Tor Vergata, 30 November - 2 December 1995. AIAF, Debito Pubblico e Titoli di Stato in Italia: che fare?, Palazzo ai Giureconsulti, Milano, 13 December 1995. Università di Firenze, DIMADEFAS, Comitato di Basilea: Metodi per la Gestione del Rischio Finanziario, Palazzo Incontri, Firenze, 12 April 1996. LSE/FMG-LTCM, The World of Fischer Black: Contingent Claims, Corporate Finance, Banks and the Macroeconomy, Alghero, 26-28 September 1996.
V Tor Vergata Financial Conference, Financial Markets: Imperfect Information and Risk Management, Università degli Studi di Roma Tor Vergata, 28-30 November 1996. Convegno Le Monnier, Mercato, Operatori e Strumenti Finanziari dopo il Decreto Eurosim, Banca di Roma, 11 March 1997. A.B.I., Modelli di Controllo di Gestione per l Area Finanza, Roma, 16 June 1997. European Financial Management Association, 6th Annual Meeting, Istanbul, Turkey, 26-28 June 1997. ISDA, XIII Annual General Meeting, Rome, March 25-27 1998. RUI, Incontri di Finanza Globale, Rome, March 28, 1998. Sisde, Centro di Addrestramento, Rome, April 21, 1998. Banca d Italia, Mercati dei Derivati, Controllo Monetario e Stabilità Finanziaria, Rome, 17-18 December 1998. Luiss-Guido Carli (Scuola di Management Divisione Master), Mercati mobiliari e prodotti derivati: un approccio Lego, Rome, 12 January 1999. Università degli Studi di Roma La Sapienza Facoltà di Scienze Statistiche, Il controllo istituzionale del rischio finanziario, Rome, 18 March 1999. European Finance Association, XXVI Annual Meeting, Helsinki, 26-28 August 1999. Banca d Italia S.A.DI.B.A., Modelli per la gestione del rischio di credito i ratings interni, Perugia, 11 October 1999. Centro di Economia Monetaria e Finanziaria Paolo Baffi, Seminar on Credit spreads: Merton Model and KMV Approach, Università Commerciale Luigi Bocconi, Milan, 17 April, 2000. Free University of Bozen-Bolzano, Seminar on Credit Risk: Revision of Basel Capital Accord - KMV Approach, 14 May, 2001. Banca d Italia, Guest Speaker Seminar on Interest rates and credit spreads, in Steve Schaefer Course on Modern Fixed Income Markets: Relative Value, Arbitrage, Portfolio and Risk Management, 17 October, 2002. Luiss - Guido Carli, Seminar on The Valuation of Executive Stock Options, in Advanced Compensation Systems for Top Management and Corporate Governance, 15 November, 2002. Residenza Universitaria Lamaro-Pozzani, Seminar on Derivatives,17 February, 2003. Terza Università degli Studi di Roma Facoltà di Giurisprudenza, Seminars on Derivatives contracts, Rome, 29-31 March 2004. Consorzio Venezia Nuova, II Venice Colloquium, Venice, 23 April 2004. Discussions: I.M.I., Rischi d Insolvenza e Credit Derivatives: Un Nuovo Approccio Metodologico, 14 June 1996, Roma. Banca d Italia, Modelli Interni di Valutazione del Rischio di Mercato: Esperienze, Problemi e Prospettive, 21 June 1996, Roma. Monte dei Paschi di Siena, Risks Involving Derivatives and Other New Financial Instruments, 16-17 December 1996, Siena, in Economic Notes, no. 2, 1997.
Consob, II Seminario di Presentazione su «Ricerche sull Industria dei Servizi Mobiliari in Italia», 22-23 January 1997, Milan Cnr, Seminario su «Rientro e gestione del debito pubblico», 21 February 1997, Rome. Centro di Economia Monetaria e Finanziaria Paolo Baffi, Seminario su «Il Premio al Rischio nel Mercato Azionario Italiano», 10 April 1997, Milan. Scuola Superiore della Pubblica Amministrazione, Verso un mercato europeo dell energia elettrica, 24-25 June 2002, Rome.