Laurent-Emmanuel Calvet (born 28 February 1969) is a French economist and a professor of finance. He is Vice President of the

European Finance Association The European Finance Association (EFA) is a professional association of more than 2,500 professionals and financial economists involved in the high-level research, study, teaching, and practice of finance. The EFA organises an annual meeting in ...

. Calvet is a Professor of Finance at

SKEMA Business School SKEMA Business School ("School of Knowledge Economy and Management") is a leading French business school ("Grande Ecole") with campuses across Europe, the Americas, Asia, and Africa. It was established in 2009 through the merger of Ecole Supér ...

. He previously held faculty positions at

Harvard University Harvard University is a Private university, private Ivy League research university in Cambridge, Massachusetts, United States. Founded in 1636 and named for its first benefactor, the History of the Puritans in North America, Puritan clergyma ...

HEC Paris HEC Paris () is a business school and ''grande école'' located in Jouy-en-Josas, a southwestern outer suburb of Paris, France. It offers Bachelor, MiM, MSc in International Finance, MBA, EMBA, executive education, professional developm ...

, and

Imperial College London Imperial College London, also known as Imperial, is a Public university, public research university in London, England. Its history began with Prince Albert of Saxe-Coburg and Gotha, Prince Albert, husband of Queen Victoria, who envisioned a Al ...

, and

EDHEC Business School The École des Hautes Études Commerciales du Nord, commonly known as EDHEC Business School or simply EDHEC, is a French business school and ''grande école'' founded in 1906. It has campuses in Lille, Nice, and Paris, as well as in the United Ki ...

. Calvet is a founding member of the

Centre for Economic Policy Research The Centre for Economic Policy Research (CEPR) is an independent, non-partisan, pan-European non-profit organisation. It aims to enhance the quality of policy decisions through providing policy-relevant research, based soundly in economic schola ...

's Household Finance Research Network. He serves on the Advisory Scientific Committee of the

European Systemic Risk Board The European Systemic Risk Board (ESRB) is a group established on 16 December 2010 in response to the euro area crisis. It is tasked with the macro-prudential oversight of the financial system within the European Union in order to contribute to ...

Early years

Calvet was born on 28 February 1969. He attended

Lycée Janson de Sailly In France, secondary education is in two stages: * ''Collèges'' () cater for the first four years of secondary education from the ages of 11 to 14. * ''Lycées'' () provide a three-year course of further secondary education for students between ...

and

Lycée Louis-le-Grand The Lycée Louis-le-Grand (), also referred to simply as Louis-le-Grand or by its acronym LLG, is a public Lycée (French secondary school, also known as sixth form college) located on Rue Saint-Jacques (Paris), rue Saint-Jacques in central Par ...

in Paris. He obtained engineering degrees from

École Polytechnique (, ; also known as Polytechnique or l'X ) is a ''grande école'' located in Palaiseau, France. It specializes in science and engineering and is a founding member of the Polytechnic Institute of Paris. The school was founded in 1794 by mat ...

in 1991 and

École des ponts ParisTech École or Ecole may refer to: * an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée) * École (river), a tributary of the Seine flowing in région Île-de-France * Éco ...

in 1994. He went on to complete his

M.A. A Master of Arts ( or ''Artium Magister''; abbreviated MA or AM) is the holder of a master's degree awarded by universities in many countries. The degree is usually contrasted with that of Master of Science. Those admitted to the degree have ...

, M.Phil. and

Ph.D. A Doctor of Philosophy (PhD, DPhil; or ) is a terminal degree that usually denotes the highest level of academic achievement in a given discipline and is awarded following a course of graduate study and original research. The name of the deg ...

(1998) in economics from

Yale University Yale University is a Private university, private Ivy League research university in New Haven, Connecticut, United States. Founded in 1701, Yale is the List of Colonial Colleges, third-oldest institution of higher education in the United Stat ...

Academic career

Calvet served as an assistant professor and then as the John Loeb associate professor of the Social Sciences at

from 1998 to 2004. He taught finance at

from 2004 to 2016,

from 2007 to 2008, and

from 2016 to 2023. Specialist in

asset pricing In financial economics, asset pricing refers to a formal treatment and development of two interrelated Price, pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, ...

, household finance, and volatility modelling, Laurent Calvet joined

in 2023 as a professor of finance. In 2006, Calvet received the “Best Finance Researcher under the Age of 40” award from

Le Monde (; ) is a mass media in France, French daily afternoon list of newspapers in France, newspaper. It is the main publication of Le Monde Group and reported an average print circulation, circulation of 480,000 copies per issue in 2022, including ...

and the Europlace Institute of Finance. In 2025, Calvet serves as Program Chair of the annual conference of the

Contributions

Calvet is known for his research in

financial economics Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade".William F. Sharpe"Financial Economics", in Its co ...

, household finance, and

econometrics Econometrics is an application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics", '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8 ...

. He pioneered with Adlai Fisher the

Markov switching multifractal In financial econometrics (the application of statistical methods to economic data), the Markov-switching multifractal (MSM) is a model of asset returns developed by Laurent E. Calvet and Adlai J. Fisher that incorporates stochastic volatility co ...

model of financial volatility, which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. This approach is summarized in the book “Multifractal Volatility: Theory, Forecasting and Pricing” (2008). In a 2007 publication, Laurent E. Calvet,

John Y. Campbell John Young Campbell (born May 17, 1958) is a British-American economist who serves as the Morton L. and Carole S. Olshan Professor of Economics at Harvard University, where he has taught since 1994. Biography Early years Born in London, Campbell ...

and Paolo Sodini show that households hold well-diversified portfolios of financial assets, consistent with the predictions of portfolio theory. This result confirms a key assumption of the

Capital asset pricing model In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a Diversification (finance), well-diversified Portfolio (f ...

. Subsequent work confirms that household follow other important precepts of financial theory, such as portfolio rebalancing and habit formation. Calvet has also contributed to statistical filtering theory. He developed with Veronika Czellar and Elvezio Ronchetti robust filtering techniques that can withstand model misspecifications and outliers. The robust filter naturally solves the degeneracy problem that plagues the

particle filter Particle filters, also known as sequential Monte Carlo methods, are a set of Monte Carlo algorithms used to find approximate solutions for filtering problems for nonlinear state-space systems, such as signal processing and Bayesian statistical ...

of Gordon, Salmond, and Smith and its many extensions.

References

External links

Research homepage

CV
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Laurent E. Calvet on Google Scholar
{{DEFAULTSORT:Calvet, Laurent E. 1969 births Living people Financial economists French economists Harvard University faculty Yale Graduate School of Arts and Sciences alumni Place of birth missing (living people) Academic staff of HEC Paris

Early years

Academic career

Contributions

See also

References

External links