Erick W. Rengifo

Ph.D., Universite Catholique de Louvain (Belgium)

• Financial Economics
• Microfinance
• Econometrics

Dr. Erick Rengifo is the Founder and Director of the Center for International Policy Studies (CIPS) and Associate Professor in the Economics Department at Fordham University. He is an active scholar with interests in econometric forecasts, risk management, insurance, microfinance and micro-insurance. Dr Erick Rengifo has also extensive private sector experience as an economic consultant, an independent investment and project counselor, and as a corporation controller. He has also been a university professor in Pontificia Universidad Católica del Perú and Universidad Nacional de San Marcos (Perú). Dr. Erick Rengifo holds a Ph.D. in economics with concentration in Finance and Econometrics from Catholic University of Louvain-Belgium. His academic background includes an MA in Economics from the Catholic University of Louvain-Belgium, a Master in Finance from the Universidad del Pacífico and a Master in Economics with concentration in “Quantitative Methods in Economics” from the Universidad Nacional Mayor de San Marcos (Perú).

Journal Articles
Trade Finance as a Financial Asset: Risks and Mitigants for Non-Bank Investors, with Robert Kowit and William May. Journal of Risk Management in Financial Institutions, 2016, Vol. 9, 1 59–70.

Foreign Currency Lending and Banking System Stability New Evidence from Turkey, with Ali M. Kutan and Emre Oszos. Central Bank Review, vol. 15, No 2, May 2015. 1-29

Options and Central Bank Currency Market Intervention: The Case of Colombia, with Helena Keefe. Emerging Markets Review 23 (2015) 1–25

Bank Regulation in Dollarized Economies: The Case of Turkey, with Eduardo Court, Emre Ozsos and Mustapha A. Akinkunmi. International Journal of Financial Studies. 2013, 1(4), 137-153.

Deposit Dollarization as an Investment Signal in Transition Economies: The Cases of Croatia, Czech Republic and Slovak Republic, with Emre Ozsos and Dominick Salvatore. The Journal of Emerging Markets Finance and Trade, 2010, vol 46, number 4, 5-22

Intra-daily FX Optimal Dynamic Portfolio Allocation, with Luc Bauwens and Walid Ben Omrane. Journal of Computational Statistics and Data Analysis, 2010, vol 54, issue 11, 2400-2418.

Multivariate Reduced Rank Regression in non-Gaussian Contexts, Using Copulas, with Andreas Heinen, Journal of Computational Statistics and Data Analysis, 2008, vol. 52, issue 6, 2931-2944.

Multivariate Autoregressive Modeling of Time Series Count Data Using Copulas, with Andreas Heinen, Journal of Empirical Finance, 2007, vol 14, issue 4, 564-583.

Aspectos Económicos de la Minería y la Legislación Minera en Chile, Colombia, Ecuador y Perú. Thompson Reuters Peru. Fall 2016

Deposit Dollarization and Its Impact on Financial Deepening in the Developing World, with Eduardo Court and Emre Ozsoz. The Journal of Emerging Markets Finance and Trade, November–December 2012, Vol. 48, No. 6, pp. 27–40.

Cross-sectional determinants of bank performance under deposit dollarization in emerging markets, with Ali Kutan and Emre Ozsoz, Emerging Markets Review, Volume 13, Issue 4, December 2012, pp 478-492.

Government Intervention and the CDS Market: A look at the Market’s Response to Policy Announcements during the 2007-2009 Financial Crisis, with Caitlin Greatrex. The Journal of Applied Finance 2012, vol 22 No 1, 44-56.

A Model to Improve The Estimation of Retail Baseline Sales, The Journal of Centrum Cathedra, 2011, Vol 4, Issue 1, pp 10-26.

How Investors Face Financial Risk: Loss Aversion and Wealth Allocation, with Emanuela Trifan. The Journal of Centrum Cathedra 2010, vol 3 issue 1.

Books and Book Chapters
Chapter 21 Behavioral Portfolio Theory and Investment Management, with Emanuela Trifan and Rossen Trendafilov. In Investor Behavior - The Psychology and Financial Planning and Investing, Ken baker and Victor Riccardi, forthcoming summer 2013.

Portfolio Selection with Time Varying Value-at-Risk, with Jeroen Rombouts, In Financial Econometrics handbook, Greg N. Gregoriou, editor, Palgrave. Forthcoming, March 2011.

Stochastic Volatility Model with Jumps in Returns and Volatility: A R-Package Implementation. In Advances in Social Science Research Using R. Vinod H.D., Editor, Springer, New York.

How Investors Face Financial Risk Loss Aversion and Wealth Allocation with Two-Dimensional Individual Utility: A VaR Application, with Emanuela Trifan, Greg N. Gregoriou, editor, McGraw Hill. March 2009.