Frank-Fabozzi

Frank Fabozzi, PhD

Professor of Practice
Academic AreaFinance

Prior to joining the faculty of the Carey Business School, Frank has taught at EDHEC Business School, Yale, MIT, Princeton, Carnegie Mellon, and NYU. He holds the CFA and CPA professional designations. He is  the editor of The Journal of Portfolio Management, co-founder and co-editor of The Journal of Financial Data ScienceFrank has authored more than 120 books and edited two popular industry reference books (The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities). He is recognized as one of the top 1.3% most cited scientists globally out of approximately 6.5 million researchers worldwide. He has coauthored works with four Nobel Laureates in Economics (Harry Markowitz, Franco Modigliani, Robert Shiller, and Robert Engle).

Education

  • PhD, Economics, Graduate Center of the City University of New York
  • MA,Economics,  City College of New York
  • BA, Economics, City College of New York

Research

Selected publications 

  • Abdolreza Nazemi and Frank J. Fabozzi, “Macroeconomic Variable Selection for Creditor Recovery Rates” Journal of Banking & Finance, Vol. 89, April 2018, pp. 14-25.
  • Jeroen Jansen, Sanjiv R. Das, and Frank J. Fabozzi, “Local Volatility and the Recovery Rate of Corporate Bonds,” Journal of Economic Dynamics and Control, 92 (July 2018), pp. 1-29.
  • Vygantas Paulauskas, Svetlozar Rachev, and Frank J. Fabozzi, “Comment on ‘Weak Convergence to a Matrix Stochastic Integral with Stable Processes’.”  Econometric Theory  27 (2011),  pp. 907-911.
  • John Mulvey, Koray Simsek, Zhoujuan Zhang, Frank J. Fabozzi, and Bill Pauling, “Assisting Underfunded U.S. Pension Plans.” Operations Research, Vol. 56 (September-October 2008), pp. 1066-1078.
  • Ren-Raw Chen, Xiaolin Cheng, Frank J. Fabozzi and Bo Liu, "An Explicit, Multi Factor Credit Default Swap Pricing Model with Correlated Factors.” Journal of Financial and Quantitative Analysis, Vol. 43, No. 1 (March 2008), pp. 123-160.

Working papers

  • Frank J. Fabozzi, Robert J. Shiller, and Radu Tunaru, “On The Discount Rate Linking Pre-Paid Forward Prices To Spot House Prices In The Real-Estate Market”
  • Marcos Lopez de Prado, Joseph Simonian, Francesco A. Fabozzi, and Frank J. Fabozzi, Enhancing Markowitz's Portfolio Selection Paradigm with Machine Learning”

Teaching

Current

  • Derivatives
  • Corporate Finance
  • Advanced Portfolio Management

Honors and distinctions

  • Recipient of the 2015 James R. Vertin Award given by the CFA Institute 
  • Recipient of the 2007 C. Stewart Sheppard Award given by the CFA Institute
  • Inducted into the Fixed Income Analysts Society Hall of Fame
  • Honorary Doctorate of Humane Letters, Nova Southeastern University 
  • Honorary Adjunct Professor in the Department of Mathematics and Statistics, Texas Tech University

Impact and engagement

  • Conversations with Frank Fabozzi, sponsored by the CFA Institute
  • Board of Directors/Trustees, BlackRock Fixed Income Complex
  • Board of Directors, BlackRock BCIA Funds Board
  • Conversations with Frank Fabozzi, sponsored by Portfolio Management Research, (https://www.pm-research.com/conversationswith)

In the media

Research cited in

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