Massimiliano De Santis
Welcome to my Webpage!
I am a financial economist with over ten years of experience in a broad range of financial matters. I am currently a Vice President of Research at Dimensional Fund Advisors. I hold a Ph.D. in economics from the University of California, Davis and started my post Ph.D. career as an Assistant Professor at Dartmouth College, where I taught finance classes and conducted research at the frontier of finance and business cycles.
I have written a number of papers on business cycle risk, the discounting of risky cash flows, the high volatility of stock prices, the risk of financial derivatives, and irreversible investments. This research has direct implications in portfolio management, valuation, and risk measurement, and has been published in journals like The American Economic Review, The BE Journal of Macroeconomics, and Studies in Nonlinear Dynamics and Econometrics. I have also written a number of unique algorithms and programs for the estimation of non-linear time series models and for the valuation of financial securities.
Prior to joining Dimensional, I was a senior consultant in the securities and finance practice of NERA Economic Consulting. Consulting projects include risk and performance analysis of a variety of asset classes, from private investments to equity portfolios to structured products and exotic derivatives; risk measurement and analysis in asset management and banking; business cycle analysis and economic forecasting; analysis of ultra-high-frequency trading data; valuation of damages in class actions and other lawsuits involving financial institutions and financial investments.
I have lectured and presented research at a number of universities, central banks, and private companies, and successfully testified as an expert witness before the American Arbitration Association.
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