I am an Assistant Professor in Statistics at the School of Applied Mathematics (EMAp), at the Getulio Vargas Foundation (FGV). Since 2021, I am an Associate Editor of the Brazilian Review of Finance (RBFin). For the academic year 2022/23 I was on a sabbatical from FGV EMAp, working as a Visiting Associate Professor at the Department of Statistics and Applied Probability (PSTAT) at the University of California, Santa Barbara (UCSB).
From 2012 to 2016, I was a PhD candidate at the Department of Statistical Science, at the University College London (UCL). In 2014 I was also a recipient of the Australia Award Endeavour Research Fellowship.
After a completing a BSc in Applied Mathematics and a MSc in Statistics (both from Federal University of Rio de Janeiro, Brazil) I spent 2.5 years working at the financial industry in Brazil, first as a Credit Risk Modelling Analyst at Itaú-Unibanco Bank and then as a Market Risk Analyst at Credit-Suisse Hedging-Griffo. During the Masters I also collaborated on a IMPA / Petrobras research project, mainly focused on Real Options problems.
PhD in Statistics, 2017
University College London
MSc in Statistics, 2010
Federal University of Rio de Janeiro (UFRJ)
BSc in Applied Mathematics, 2007
Federal University of Rio de Janeiro (UFRJ)
Start | End | Name | Level | Institution | Project | Position |
2023 | 2023 | Victor Bombarda | BSc | FGV | Inferência Bayesiana em Processos Gaussianos | BIX Tecnologia |
2023 | Leandro Guilheiro | MSc | IMPA | TBD | ||
2022 | 2023 | Rener de Souza Oliveira | BSc | FGV | A Survey On Fully Homomorphic Encryption With Statistical Applications | BOCOM BBM Bank |
2022 | 2023 | André Lorenzo Bittencourt | MSc | IMPA | Optimal Investment-Consumption Decision Using Reinforcement Learning | University of Warwick (MSc) |
2021 | 2021 | Denner da Silva Santos | BSc | FGV | Estudo do filtro de Kalman para modelos dinâmicos lineares | |
2021 | 2021 | Vitoria Mesquita Leite | BSc | FGV | Estudo da utilização de redes neurais recorrentes para geração de manchetes | 1STi |
2020 | 2021 | Luiz Fernando G. N. Maia | MSc | FGV | Modelos in-play para partidas do Campeonato Brasileiro de Futebol | EBAPE/FGV |
2019 | 2023 | Hugo Barreto | MSc | FGV | Estimating Risk Measures of multiple Portfolio Optimization Strategies | |
2019 | Christiano Lo Bianco Clementino | MSc | IMPA | TBD | ||
2019 | 2020 | Pedro Medeiros Teixeira | MSc | FGV | Identification of causal effects: a methodological review | CERI/FGV |
2019 | 2020 | Marcelo Orgler | MSc | FGV | Multivariate loss reserving using factor copulas | AI Consult |
2018 | 2019 | Lucas Paiva de Carvalho | MSc | IMPA | Pricing interest rate derivatives under monetary changes | B2W Digital |
2018 | 2019 | João Marcos Amorim dos Santos | MSc | FGV | Previsões de Resultados em Partidas do Campeonato Brasileiro de Futebol | Brazilian Navy |
2018 | 2019 | Yuri Resende Fonseca* | MSc | IMPA | Tree Based Model for Estimating the Local Volatility Surface | Columbia University (PhD) |
2017 | 2018 | Renan Lima Novais* | MSc | FGV | Estudo de aplicações de Processos Gaussianos na predição de valor de oferta de venda de apartamentos | FGV Projetos |
2019 | 2020 | Matheus Borghi | BSc | FGV | Impacto da sensibilidade a variáveis Macroeconômicas no Risco de Crédito Corporativo Norte-americano | SPX Capital |
2017 | 2017 | Paulo de Tarso Silva Santos* | BSc | FGV | Modelos de previsão do resultado de atas do Copom baseados em processamento de linguagem natural e curvas de ativos financeiros | BOCOM BBM Bank |
2016 | 2016 | Helder Rezende* | BSc | FGV | O Cálculo do VaR usando Modelos de Volatilidade | BTG Pactual |
Start | End | Level | Institution | Course |
2023 | 2023 | BSc | UCSB | Regression Analysis |
2022 | 2023 | BSc | UCSB | Introduction to Bayesian Data Analysis |
2017 | 2018 | BSc | FGV | Probability |
2017 | 2018 | BSc | FGV | Statistics |
2017 | 2021* | MSc | IMPA | Statistics and Econometrics |
2018 | 2019 | MSc | FGV | Statistics |
2019 | 2022* | BSc | FGV | Machine Learning |
2019 | 2022 | MSc | FGV | Probability |
2020 | 2022 | MSc/PhD | FGV | Machine Learning |
2020 | 2020 | BSc | FGV | Statistics and Econometrics |