Rodrigo S. Targino

Rodrigo S. Targino

Assistant Professor of Statistics

Getulio Vargas Foundation (FGV)

Biography

I am an Assistant Professor (Lecturer) 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).

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.

Interests

  • Bayesian Statistics
  • Financial and Actuarial Risk Management

Education

  • 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)

Experience

 
 
 
 
 

Assistant Professor

Getulio Vargas Foundation (FGV)

Jan 2017 – Present Rio de Janeiro, Brazil
 
 
 
 
 

Market Risk Analyst

Credit-Suisse Hedging-Griffo

Mar 2011 – Aug 2012 São Paulo, Brazil
 
 
 
 
 

Credit Risk Modelling Analyst

Itaú-Unibanco Bank

Mar 2010 – Mar 2011 São Paulo, Brazil

Recent & Upcoming Talks

Risk Budgeting Portfolios from Simulations
Avoiding zero probability events when computing Value at Risk allocations
Risk Budgeting Portfolios from Simulations

Publications

(2021). A gamma moving average process for modelling dependence across development years in run-off triangles. ASTIN Bulletin: The Journal of the IAA.

DOI

(2020). Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods. Statistics & Probability Letters.

DOI

(2017). Bayesian modelling, Monte Carlo sampling and capital allocation of insurance risks. Risks.

DOI

Preprints

(2022). Risk Budgeting Portfolios from Simulations.

PDF

(2021). Transform MCMC schemes for sampling intractable factor copula models.

PDF

(2021). Uma análise do risco de fundos de ações brasileiros em 2020.

PDF

(2018). The Impact of the Freedom of the Press on Risk.

PDF

Students

StartEndNameLevelInstitutionProjectPosition
2022André Lorenzo BittencourtMScIMPATBD
20212021Denner da Silva SantosBScFGVEstudo do filtro de Kalman para modelos dinâmicos lineares
20212021Vitoria Mesquita LeiteBScFGVEstudo da utilização de redes neurais recorrentes para geração de manchetes1STi
20202021Luiz Fernando G. N. MaiaMScFGVModelos in-play para partidas do Campeonato Brasileiro de Futebol
2019Marcus Gerardus Lavagnole NascimentoPhDUFRJCapital modelling for life insurance companies
2019Hugo BarretoMScFGVTBD
2019Christiano Lo Bianco ClementinoMScIMPATBD
20192020Pedro Medeiros TeixeiraMScFGVIdentification of causal effects: a methodological reviewCERI/FGV
20192020Marcelo OrglerMScFGVMultivariate loss reserving using factor copulasAI Consult
20182019Lucas Paiva de CarvalhoMScIMPAPricing interest rate derivatives under monetary changesB2W Digital
20182019João Marcos Amorim dos Santos*MScFGVPrevisões de Resultados em Partidas do Campeonato Brasileiro de Futebol
20182019Yuri Resende Fonseca*MScIMPATree Based Model for Estimating the Local Volatility SurfaceColumbia University (PhD)
20172018Renan Lima Novais*MScFGVEstudo de aplicações de Processos Gaussianos na predição de valor de oferta de venda de apartamentosFGV Projetos
20192020Matheus BorghiBScFGVImpacto da sensibilidade a variáveis Macroeconômicas no Risco de Crédito Corporativo Norte-americanoSPX Capital
20172017Paulo de Tarso Silva Santos*BScFGVModelos de previsão do resultado de atas do Copom baseados em processamento de linguagem natural e curvas de ativos financeirosBOCOM BBM Bank
20162016Helder Rezende*BScFGVO Cálculo do VaR usando Modelos de VolatilidadeBTG Pactual
(*) Second supervisor.

Teaching

StartEndLevelInstitutionCourse
20172018BScFGVProbability
20172018BScFGVStatistics
20172021*MScIMPAStatistics and Econometrics
20182019MScFGVStatistics
20192021*BScFGVMachine Learning
20192021MScFGVProbability
20202021MSc/PhDFGVMachine Learning
20202020BScFGVStatistics and Econometrics

Contact