DCUBS

Biographical Details:

In the first part of my career, I worked as an option trader and was a market maker on the Milan equity option market. I subsequently became the head of a relatively large financial engineering desk structuring financial products for retails customers and captive institutional investors. In the second part of my career, after gaining a PhD in Finance and while keeping in touch with the financial industry in a consulting role, I moved to academia. I am now Head of Economics, Finance and Entrepreneurship and the Director of the M.Sc. in Finance program at Dublin City University, where I teach financial engineering and risk management, and I have taught courses in derivatives and financial engineering to industry professionals in post-experience executive programs in a number of other Universities. My research expertise includes models of financial volatility (e.g. multivariate GARCH), pricing and valuation, mutual and hedge funds performance attribution, equity and FX trading strategies and I am best known for my work on asset pricing in a non mean-variance world. My consulting activities include advising banks on risk and capital management and on value creation policies that link incentives to performance.

Research Interests:

Financial markets Volatility and correlation time series Performance Attribution and Portfolio Management Asset pricing

Selected Peer Reviewed Journals

• Poti V. and A. Siddique. 2013. What drives currency predictability?. Journal Of International Money And Finance, Forthcoming,
• Poti V., Pattitoni P., Petracci B. and M. Spisni. 2013. Cost of Entrepreneurial Capital and Under-diversification: A Euro-Mediterranean Perspective. Research In International Business And Finance, 27, 1, pp12-27.
• Fahy D., O'Brian M. and V. Potì. 2010. Combative Critics or Captured Collaborators? Irish Financial Journalism and the End of the Celtic Tiger. Irish Communications Review, 12, 1, pp5-20.
• Potì V. Wang D.L. 2010. The coskewness puzzle. Journal Of Banking And Finance, 34, 8, pp1827-1838.
• Potì V. Kearney C. 2008. Have European stocks become more volatile? An empirical investigation of idiosyncratic and market risk in the Euro Area. European Financial Management, 14, 5, pp419-444.
• Potì V. Lucey B. Tully E. 2006. International portfolio formation, skewness and the role of gold. Frontiers In Finance And Economics, 3, 1, pp10-19.
• Potì V. Kearney C. 2006. Correlation dynamics in European equity markets. Research In International Business And Finance, 20, 3
• Potì V. 2005. Discount factor and conditional return volatility. Applied Financial Economics Letters, 1, 1, pp369-372.

Selected Books

• Levich, R., Potì, V. Predictability and 'Good Deals' in Currency Markets (NBER Paper 14597), National Bureau of Economic Research (NBER), 2008.

Selected Chapters

• Potì V. 2009. A DCC-VARMA Model of Portfolio Risk: A Simple Approach to the Estimation of the Variance-Covariance Matrix of Large Stock Portfolios. Stock Market Volatility, pp133-143.
• Potì V. 2008. Credit Risk Capital Allocation and Performance Measurement in Banking Institutions. The Handbook of Credit Portfolio Management, pp79-95.
• Potì V. Duffy E. 2006. Performance Persistence of Unit Funds: Evidence from a Small, Integrated Market. Performance of Mutual Funds: An International Perspective, pp168-182.

• Levich, R. Potì, V., Predictability and Good Deals in Currency Markets, European Finance Association Annual Meeting, 27-AUG-08 - 29-AUG-08, Athens
• Potì V., The Coskewness Puzzle, European Finance Association (EFA) Doctoral Colloquium, 24-AUG-05 - 27-AUG-05, Moscow
• Potì V. and C. Kearney, Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets, European Finance Association (EFA) 2003 Conference, 20-AUG-03 - 23-AUG-03, Glasgow