Laurent E. Calvet

Laurent E. Calvet is a Professor of Finance at SKEMA Business School. An engineering graduate from Ecole Polytechnique and Ecole des Ponts ParisTech (France), he holds a Ph.D. in Economics from Yale University. Prior to joining EDHEC, he served as the John Loeb Associate Professor of the Social Sciences at Harvard University (1998-2004), a Professor and Chair in Finance at Imperial College London (2007-8), an HEC Foundation Chaired Professor at HEC Paris (2004-16), and a Chaired Professor of Finance at EDHEC Business School (2016-23). Calvet is a founding member of the CEPR Network in Household Finance and an affiliate of the Center for European Policy Research (London) and the Center for Financial Studies (Frankfurt). Since Sept 2020, Calvet has co-organized with Kim Peijnenburg and Raman Uppal the CEPR Advanced Forum for Financial Economics (CAFFE) online seminar series. Calvet's research focuses on asset pricing, household finance, and financial econometrics. He co-developed with Adlai Fisher the Markov-Switching Multifractal model of financial volatility, which is increasingly used by practitioners to forecast value-at-risk and price derivatives.