Bruno Feunou

Senior Analyst

Bruno Feunou is a Senior Analyst at the Bank of Canada’s Financial Markets Department. Before this position at the Bank of Canada, he worked at Duke University as a post-doc associate. He completed his Ph.D-Degree at the University of Montreal. During his thesis, he was supported by several Grants including IFM2, Banque Laurentienne, CIREQ and CREST. He also studied Mathematics and Statistics at several universities in Africa including the University of Dschang, Yaoundé I, ISSEA of Yaoundé and ENSEA of Abidjan. In these studies, he was supported by a grant from the European Union to study Statistics and Econometrics.

Contact

Bruno Feunou

Senior Analyst
Financial Markets
Monetary Policy Analysis and Research

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

Time-Varying Crash Risk: The Role of Stock Market Liquidity

We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.

Tractable Term-Structure Models and the Zero Lower Bound

We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward.

Foreign Flows and Their Effects on Government of Canada Yields

Foreign investment flows into Government of Canada (GoC) bonds have surged since the financial crisis. Our empirical analysis suggests that foreign flows of $150 billion lowered the 10-year GoC bond yield by 100 basis points between 2009 and 2012.

Option Valuation with Observable Volatility and Jump Dynamics

Staff Working Paper 2015-39 Peter Christoffersen, Bruno Feunou, Yoontae Jeon
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing JEL Code(s): G, G1, G12

Downside Variance Risk Premium

Staff Working Paper 2015-36 Bruno Feunou, Mohammad R. Jahan-Parvar, Cédric Okou
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing JEL Code(s): G, G1, G12

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Other

Refereed Journals

  • Fourier Inversion Formulas for Multiple-Asset Option Pricing,”
    (with Ernest Tafalong), Studies in Nonlinear Dynamics & Econometrics, December 2015, Volume 19, Issue 5, Pages 531-559
  • “Option Valuation with Observable Volatility and Jump Dynamics,”
    (with Peter Christoffersen and Jeon Yoontae), Journal of Banking & Finance (Forthcoming).
  • “Bond Risk Premia and Gaussian Term Structure Models,”
    (with Jean-Sébastien Fontaine), Management Science (Forthcoming).
  • Which Parametric Model for Conditional Skewness?,”
    (with Mohammad R. Jahan-Parvar, Roméo Tedongap), European Journal of Finance, 2014. Vol. 22, Issue: 13, 1237-1271
  • “A Stochastic Volatility Model with Conditional Skewness,”
    (with Romeo Tedongap), Journal of Business and Economic Statistics (2012) 30(4), 576-591.
  • “Option Valuation with Conditional Heteroskedasticity and Non-Normality,” 2010,
    (with Peter Christoffersen, Redouane Elkamhi, Kris Jacobs). Review of Financial Studies. 23: 2139-2183.
  • “A No-Arbitrage VARMA Term Structure Model with Macroeconomic Variables,” June 2009. Revise and resubmit at the Journal of Econometrics.
  • “Modeling Market Downside Volatility,”
    (with Jahan-Parvar Mohammad and Romeo Tedongap), Review of Finance, Forthcoming.

Other Publications

Working Papers

  • Generalized Affine Models, June 2009,
    (with Nour Meddahi).
  • Equity Premium and the Maturity Structure of Uncertainty, July 2010,
    (with Romeo Tedongap, Jean-Sebastien Fontaine and Abderahim Taamouti).
  • The Economic Value of Realized Volatility, November 2009,
    (with Peter Christoffersen, Kris Jacobs and Nour Meddahi). Presented at the ESWC 2010.
  • Discrete Choice Term Structure Models: Theory and Applications, August 2010,
    (with Jean-Sebastien Fontaine). Presented at the 2010 NBER-NSF Time Series conference.
  • Pricing multiple conditions contingent claim, August 2010,
    (with Ernest Tafolon).

Education

  • PhD, Economics, University of Montreal, Canada
  • ISE, Statistics and Econometrics, ENSEA ABIDJAN, Cote d’Ivoire
  • BA, Mathematics, University of Yaounde, Cameroon.

Research Interests

  • Conditional Higher moments
  • Conditional characteristic function modeling and application in derivatives evaluation
  • Term structure of interest rates
  • Cross-sectional asset pricing

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