Riccardo Rebonato is Global Head of Rates and FX Analytics at PIMCO. Before that he has been Head of Front Office Risk Management, Global Head of Market Risk and Head of Client Research (RBS), Head of Trading for Complex IR Derivatives and Head of Derivatives Research (BarCap). Riccardo Rebonato has been on the Board of ISDA (2002-2011), and still serves on the Board of GARP (2001 to present). He holds a Doctorate in Nuclear Engineering (Universita' di Milano), a PhD in Science of Materials (Condensed Matter Physics, Stony Brook University, NY), and was a Research Fellow in Oxford in Physics (Corpus Christi College, 1987-1990). He is a visiting lecturer in Mathematical Finance at Oxford University (OCIAM), and Adjunct Professor at Imperial College, London.
He is the author of several books (Princeton, Wiley, Palgrave), and many articles in finance in refereed journals. In particular he has published extensively on interest-rate modelling, and risk management, most notably books on LMM-SABR pricing of interest rate derivatives, and on the use of Bayesian nets for stress testing and asset allocation.