Alan De Genaro

University of São Paulo

Alan De Genaro teaches finance and econometric at graduate level at University of Sao Paulo, Brazil. He is also managing partner at Riscométrica, a boutique consulting firm specialized in developing models for the financial industry. Previously he spent 2 years with CETIP as head of Risk and Collateral Management and 13 years with BM&FBOVESPA where he held different roles, such as head of asset pricing and statistical risk modeling. His expertise is in developing and implementing risk, asset pricing and collateral management models for Financial Market Infrastructures. He has a post-doc in applied mathematics from Courant Institute – NYU and a PhD in statistic from University of Sao Paulo. He has papers published at Journal of Financial Economics, Journal of Banking and Finance, Journal of International Money and Finance among other.

Articles by Alan De Genaro

Original research

Estimating “hedge and auction” liquidation costs in central counterparties: a closeout risk approach

This paper shows how the closeout risk framework can be extended to realistically represent and simulate the potential outcomes of “hedge and auction” default management policies currently implemented by several major central counterparties.

02 Oct 2017

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