Frank J. Fabozzi is an American
economist
An economist is a professional and practitioner in the social sciences, social science discipline of economics.
The individual may also study, develop, and apply theories and concepts from economics and write about economic policy. Within this ...
, educator, writer, and investor, currently Professor of Practice at The
Johns Hopkins University
Johns Hopkins University (Johns Hopkins, Hopkins, or JHU) is a private university, private research university in Baltimore, Maryland. Founded in 1876, Johns Hopkins is the oldest research university in the United States and in the western hem ...
Carey Business School
The Johns Hopkins Carey Business School (also Carey Business School or simply Carey) is the graduate business school of Johns Hopkins University, a private research university in Baltimore, Maryland. It was established in 2007 and offers full-t ...
and a Member of Edhec Risk Institute. He was previously a Professor of Finance at
EDHEC Business School
EDHEC Business School (french: Ecole des Hautes Etudes Commerciales du Nord) is a French grandes écoles business school with campus locations in: Lille, France; Nice, France; Paris, France; London, UK; and Singapore. EDHEC offers its flagship Mas ...
, Professor in the Practice of Finance and Becton Fellow in the
Yale School of Management
The Yale School of Management (also known as Yale SOM) is the graduate business school of Yale University, a private research university in New Haven, Connecticut. The school awards the Master of Business Administration (MBA), MBA for Executives ...
, and a Visiting Professor of Finance at the
Sloan School of Management at the Massachusetts Institute of Technology. He has authored and edited many books, three of which were coauthored with
Nobel laureates
The Nobel Prizes ( sv, Nobelpriset, no, Nobelprisen) are awarded annually by the Royal Swedish Academy of Sciences, the Swedish Academy, the Karolinska Institutet, and the Norwegian Nobel Committee to individuals and organizations who make ou ...
,
Franco Modigliani
Franco Modigliani (18 June 1918 – 25 September 2003) was an Italian-American economist and the recipient of the 1985 Nobel Memorial Prize in Economics. He was a professor at University of Illinois at Urbana–Champaign, Carnegie Mellon Un ...
and
Harry Markowitz
Harry Max Markowitz (born August 24, 1927) is an American economist who received the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.
Markowitz is a professor of finance at the Rady School of Management ...
. He has been the editor of the ''
Journal of Portfolio Management'' since 1986 and is on the
board of directors
A board of directors (commonly referred simply as the board) is an executive committee that jointly supervises the activities of an organization, which can be either a for-profit or a nonprofit organization such as a business, nonprofit organiz ...
of the
BlackRock
BlackRock, Inc. is an American multi-national investment company based in New York City. Founded in 1988, initially as a risk management and fixed income institutional asset manager, BlackRock is the world's largest asset manager, with trill ...
complex of
closed-end fund
A closed-end fund (CEF) is a fund that raises capital by issuing a fixed number of shares which are not redeemable, and then invest that capital in financial assets such as stocks and bonds. Unlike open-end funds, new shares in a closed-end fund ...
s.
Early life and education
He earned a BA (
magna cum laude
Latin honors are a system of Latin phrases used in some colleges and universities to indicate the level of distinction with which an academic degree has been earned. The system is primarily used in the United States. It is also used in some So ...
) and an
MA in economics from the
City College of New York
The City College of the City University of New York (also known as the City College of New York, or simply City College or CCNY) is a public university within the City University of New York (CUNY) system in New York City. Founded in 1847, Cit ...
, both in 1970. He also earned a doctorate in economics from the
City University of New York
The City University of New York ( CUNY; , ) is the Public university, public university system of Education in New York City, New York City. It is the largest urban university system in the United States, comprising 25 campuses: eleven Upper divis ...
in 1972 . He is a
Certified Public Accountant
Certified Public Accountant (CPA) is the title of qualified accountants in numerous countries in the English-speaking world. It is generally equivalent to the title of chartered accountant in other English-speaking countries. In the United Sta ...
and holds the
Chartered Financial Analyst
The Chartered Financial Analyst (CFA) program is a postgraduate professional certification offered internationally by the American-based CFA Institute (formerly the Association for Investment Management and Research, or AIMR) to investment and fina ...
designation.
Career
Fabozzi has written and edited books and numerous research papers covering topics in
investment management
Investment management is the professional asset management of various securities, including shareholdings, bonds, and other assets, such as real estate, to meet specified investment goals for the benefit of investors. Investors may be institut ...
and
financial econometrics
Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corpo ...
. Much of his earlier writing focused on
fixed income securities
Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest at a fixed rate once a year and repay the pri ...
and
portfolio management with emphasis on
mortgage- and
asset-backed securities
An asset-backed security (ABS) is a security whose income payments, and hence value, are derived from and collateralized (or "backed") by a specified pool of underlying assets.
The pool of assets is typically a group of small and illiquid asset ...
and
structured product
A structured product, also known as a market-linked investment, is a pre-packaged structured finance investment strategy based on a single Security (finance), security, a basket of securities, Option (finance), options, Index (economics), indices, ...
s. He is a co-developer of the
Kalotay–Williams–Fabozzi model
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,.
The short rate
Under a sho ...
of the
short rate, used in the valuation of
interest rate derivative
In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of diff ...
s.
He is on the Advisory Council for the Department of
Operations Research
Operations research ( en-GB, operational research) (U.S. Air Force Specialty Code: Operations Analysis), often shortened to the initialism OR, is a discipline that deals with the development and application of analytical methods to improve deci ...
and
Financial Engineering
Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathema ...
at
Princeton University
Princeton University is a private university, private research university in Princeton, New Jersey. Founded in 1746 in Elizabeth, New Jersey, Elizabeth as the College of New Jersey, Princeton is the List of Colonial Colleges, fourth-oldest ins ...
and an affiliated professor at the Institute of Statistics and Economics at the
University of Karlsruhe
The Karlsruhe Institute of Technology (KIT; german: Karlsruher Institut für Technologie) is a public research university in Karlsruhe, Germany. The institute is a national research center of the Helmholtz Association.
KIT was created in 2009 w ...
(
Germany
Germany,, officially the Federal Republic of Germany, is a country in Central Europe. It is the second most populous country in Europe after Russia, and the most populous member state of the European Union. Germany is situated betwe ...
). He has been the editor of the ''
Journal of Portfolio Management'' since 1986 and is on the
board of directors
A board of directors (commonly referred simply as the board) is an executive committee that jointly supervises the activities of an organization, which can be either a for-profit or a nonprofit organization such as a business, nonprofit organiz ...
of the
BlackRock
BlackRock, Inc. is an American multi-national investment company based in New York City. Founded in 1988, initially as a risk management and fixed income institutional asset manager, BlackRock is the world's largest asset manager, with trill ...
complex of
closed-end fund
A closed-end fund (CEF) is a fund that raises capital by issuing a fixed number of shares which are not redeemable, and then invest that capital in financial assets such as stocks and bonds. Unlike open-end funds, new shares in a closed-end fund ...
s. Before joining
EDHEC Business School
EDHEC Business School (french: Ecole des Hautes Etudes Commerciales du Nord) is a French grandes écoles business school with campus locations in: Lille, France; Nice, France; Paris, France; London, UK; and Singapore. EDHEC offers its flagship Mas ...
, Fabozzi was a finance professor at
Yale School of Management
The Yale School of Management (also known as Yale SOM) is the graduate business school of Yale University, a private research university in New Haven, Connecticut. The school awards the Master of Business Administration (MBA), MBA for Executives ...
, and a visiting finance professor at the
MIT Sloan School of Management
The MIT Sloan School of Management (MIT Sloan or Sloan) is the business school of the Massachusetts Institute of Technology, a private university in Cambridge, Massachusetts.
MIT Sloan offers bachelor's, master's, and doctoral degree programs, ...
.
Recognition
Fabozzi was elected to the
Phi Beta Kappa Society
The Phi Beta Kappa Society () is the oldest academic honor society in the United States, and the most prestigious, due in part to its long history and academic selectivity. Phi Beta Kappa aims to promote and advocate excellence in the liberal ar ...
in 1969. He was inducted into the Fixed Income Analysts Society's Hall of Fame in 2002 and was the 2007 recipient of the C. Stewart Sheppard Award given by The
CFA Institute
The CFA Institute is a global, not-for-profit professional organization that provides investment professionals with finance education. The institute aims to promote standards in ethics, education, and professional excellence in the global investme ...
.
He is the 2004 recipient of an
Honorary Doctorate
An honorary degree is an academic degree for which a university (or other degree-awarding institution) has waived all of the usual requirements. It is also known by the Latin phrases ''honoris causa'' ("for the sake of the honour") or ''ad hon ...
of Humane Letters from
Nova Southeastern University
Nova Southeastern University (NSU or, informally, Nova) is a private nonprofit research university with its main campus in Davie, Florida. The university consists of 14 total colleges, centers, and schools offering over 150 programs of study ...
.. In 2015, Fabozzi received th
James R. Vertin Awardfrom the CFA Institute Research Foundation, which recognizes individuals whose research is "notable for its relevance and enduring value to investment professionals".
Selected bibliography
* Frank J. Fabozzi and Francesco A. Fabozzi (2021)
Bond Markets, Analysis, and Strategies, tenth edition The MIT Press, Cambridge, MA. ISBN 978-0-262-04627-5
* Fabozzi, Frank J.;
Modigliani, Franco (2009). ''Capital Markets: Institutions and Instruments'': 4th edition. Upper Saddle River, NJ:
Prentice Hall
Prentice Hall was an American major educational publisher owned by Savvas Learning Company. Prentice Hall publishes print and digital content for the 6–12 and higher-education market, and distributes its technical titles through the Safari B ...
.
* Fabozzi, Frank J.; Franco Modigliani; Frank J. Jones (2009). ''Foundations of Financial Markets and Institutions'': 4th edition. Upper Saddle River, NJ: Prentice Hall.
* Fabozzi, Frank J. (2009). ''Bond Markets, Analysis and Strategies'': 7th edition. Upper Saddle River, NJ: Prentice Hall.
*
Rachev, Svetlozar T; John S.J. Hsu; Biliana Bagasheva; Frank J. Fabozzi (2008). ''Bayesian Methods in Finance''. Hoboken, NJ:
John Wiley & Sons
John Wiley & Sons, Inc., commonly known as Wiley (), is an American multinational publishing company founded in 1807 that focuses on academic publishing and instructional materials. The company produces books, journals, and encyclopedias, in p ...
.
* Fabozzi, Frank J.; Vinod Kothari (2008). ''Introduction to Securitization''. Hoboken, NJ: John Wiley & Sons.
*
Rachev, Svetlozar T;
Stefan Mittnik; Frank J. Fabozzi; Sergio M. Focardi; Teo Jasic (2007). Financial ''Econometrics: From Basics to Advanced Modeling Techniques''. Hoboken, NJ: John Wiley & Sons.
* Fabozzi, Frank J.; Petter N. Kolm; Dessislava Pachamanova; Sergio M. Focardi (2007)
''Robust Portfolio Optimization and Management'' Hoboken, NJ: John Wiley & Sons.
* Fabozzi, Frank J. (2006). ''Fixed Income Mathematics: Analytical and Statistical Techniques'': 4th edition. New York: NY:
McGraw Hill
McGraw Hill is an American educational publishing company and one of the "big three" educational publishers that publishes educational content, software, and services for pre-K through postgraduate education. The company also publishes referenc ...
Publishing.
* Fabozzi, Frank J.; Sergio M. Focardi; Petter N. Kolm (2006). ''Financial Modeling of the Equity Market'': From CAPM to Cointegration. Hoboken, NJ: John Wiley & Sons.
* Fabozzi, Frank J.; Henry Davis;
Moorad Choudhry (2006). ''Introduction to Structured Finance''. Hoboken, NJ: John Wiley & Sons.
* Fabozzi, Frank J.;
Harry M. Markowitz
Harry Max Markowitz (born August 24, 1927) is an American economist who received the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.
Markowitz is a professor of finance at the Rady School of Management ...
, Editors (2002). ''The Theory and Practice of Investment Management''. Hoboken, NJ: Wiley.
* Fabozzi, Frank J.;
Leibowitz, Martin L., Editors (2007). ''Fixed Income Analysis''. John Wiley & Sons.
See also
*
Kalotay–Williams–Fabozzi model
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,.
The short rate
Under a sho ...
References
External links
*
The Frank J. Fabozzi Series at Wiley.com
{{DEFAULTSORT:Fabozzi, Frank J.
Year of birth missing (living people)
Living people
Financial economists
MIT Sloan School of Management faculty
American people of Italian descent
CFA charterholders
Yale School of Management faculty
Academic staff of the Karlsruhe Institute of Technology
City College of New York alumni
City University of New York alumni
American financial writers
20th-century American economists
21st-century American economists