JEAN-PIERRE A.

ZIGRAND

May 19, 2014

PERSONAL INFORMATION
Date of Birth: 5.9.1968

Citizenship: Luxembourgish

Civil Status: Married, two sons

PHONE, FAX, EMAIL

O ce Address:
The London School of Economics
Department of Finance, and Financial Markets
Group Houghton Street
London WC2A 2AE
United Kingdom

Phone: (W) 020 79556201

Fax: (W) 020 78494647

Email: j.p.zigrand@lse.ac.uk

EDUCATION
The University of Chicago, Ph.D. in Economics, June 1998

The London School of Economics, European Doctoral Program in

Mathematical Economics, 1993

Universit Catholique de Louvain, Licence et Ma^trise (B.A.&M.A.) in

Economics, Summa Cum Laude, Ranked No.1, 1992

Summer School in Incomplete Markets, The Hebrew University of

Jerusalem, 1997

Summer School in Economic Theory, La Sorbonne, 1993

ACADEMIC POSITIONS
Director, Systemic Risk Centre, London School of Economics,
ESRC nanced, jointly with Dr. Jon Danielsson, 2012-

Associate Professor, London School of Economics, 1998-

Programme Director, Financial Markets Group, 2013-
Research Associate, Financial Markets Group, 1998-

Visiting Scholar, CORE, Universit Catholique de Louvain, Summer

of 1997
Class Teacher, The London School of Economics, 1992/93
Research Associate, Commission of the European Communities, 1991/92

REFEREEING AND OTHER PROFESSIONAL SERVICES

Econometrica
Journal of Finance

Review of Economic Studies

Review of Financial Studies

Journal of Political Economy

Mathematical Finance

Journal of Mathematical Economics

Journal of Economic Dynamics and

Control Economic Journal
British Actuarial Journal

Journal of Banking and

Finance Journal of Financial
Stability Annals of Operations
Research Quantitative Finance
Journal of Financial Intermediation
European Journal of Law and Economics
On editorial board of Luxembourg Economic Papers.
AWARDS AND GRANTS
Awarded ESRC Research Centre on Systemic Risk, Co-Director
with Jon Danielsson
Secured small number of private donations to SRC

Impact Case Study submitted for REF 2014 on \Smarter regulation

of nancial markets"

ESRC Co-Investment Pilot on \New Finance - High-frequency

Trading Risk Simulation"

EPSRC Research Grant entitled \Price Dynamics under Aggregated

Decision Making in Financial Markets with Uncertainty and Exter-
nal Constraints." Two year grant July 2004-2006. Joint with Jon
Danielsson, Amil Dasgupta and Hyun Shin. Laid the foundation for
our endogenous risk models.

ESRC 'Research Proposal for the ESRC World Economy and

Finance Programme,' title \Stability of the Global Financial System:
Regula-tion and Policy Response."

Involved in successful grant application from AXA to establish the

AXA/FMG Research Fund

Awarded Teaching Prize during Major Review, together with one

ad-ditional recurrent increment.

Consistently reach very high teaching marks and positive student

feed-back.

Elected "Teacher of the Year" in 2000/2001 by MSc Finance and

Eco-nomics students.

Research Grant, Ministry of Education and Research, Luxembourg,

1997-1998

University of Chicago Unendowed Fellowship of Two-Third Tuition,

1993-1994, extended to Full Tuition and Stipend, 1994-1997
Fellow of the Rotary Foundation, 1994

Commission for Educational Exchange Scholarship, Belgium, 1993-

1995

Postgraduate Grant, Ministry of Education and Research, Luxem-

bourg, 1992-1997
Erasmus Scholarship of the European Communities, 1992
PUBLISHED PAPERS
\Walrasian Foundations for Equilibria in Segmented Mar-kets," joint
with Rohit Rahi, forthcoming Mathematics and Financial Economics

\Endogenous Extreme Events and the Dual Role of Prices," joint

with Jon Danielsson and Hyun Song Shin, Annual Reviews in
Economics, Volume 4 on the Economics of Extreme Events, 2012,
pp. 111-129.

\Endogenous and Systemic Risk," joint with Jon Danielsson and

Hyun Song Shin, chapter in NBER book Quantifying Systemic Risk
(2013), edited by Joseph G. Haubrich and Andrew W. Lo (p. 73 -
94), University of Chicago Press

\Fundamental Liquidity," Revue de Stabilite Financiere de la Banque

Centrale du Luxembourg, 2011, 106-114.

\What do Network Theory and Endogenous Risk Theory have to

say about the e ects of CCPs on Systemic Stabil-ity?", Banque de
France Financial Stability Review 14, 2010.

\Modelling Financial Turmoil through Endogenous Risk and Risk

Appetite," Revue de Stabilite Financiere de la Banque Centrale du
Luxembourg, 2010.

\Strategic Financial Innovation in Segmented Markets," joint with

Rohit Rahi, Review of Financial Studies 22(8), 2009, 2941-2971.

\Equilibrium Asset Pricing with Systemic Risk," joint with Jon

Danielsson. Published Economic Theory, 35/2, May 2008.

\Regulating Hedge Funds," joint with Jon Danielsson. Published,

Banque de France Financial Stability Review{ Special Issue on
Hedge Funds, No. 10, April 2007.

\On Time-Scaling of Risk and the Square-Root-of-Time Rule," joint

with Jon Danielsson. Published Journal of Banking and Finance, 30,
2006, 2701-2713.

\Endogenous Market Integration, Manipulation and Limits to

Arbitrage." Published, Journal of Mathematical Economics, 42,
2006, 301-314.

\Rational Asset Pricing Implications from Realistic Trading

Frictions." Published, Journal of Business, 78-3, 2005, 871-892.

\Highwaymen or Heroes? Should Hedge Funds be Regu-lated? A

Survey," joint with Jon Danielsson and Ashley Taylor. Published,
Journal of Financial Stability, 1, 2005, 522-543.
 \The Impact of Risk-Regulation on Price Dynamics," joint with Jon
Danielsson and Hyun Shin. Published, Journal of Banking and
Finance, 28, 2004, 1069{1087.

\A General Equilibrium Analysis of Strategic Arbitrage." Published,

Journal of Mathematical Economics, 40, 2004, 923{952.

\Physics of Finance" presented at the Rencontres de Physique de

la Vallee d'Aoste, Results and Perspectives in Particle Physics,
orga-nized by the Istituto Nazionale di Fisica Nucleare, March 2000.
Now published in Frascati Physics Series, 17 Issue, 2000.

WORK IN PROGRESS
\Procyclical and Endogenous Risk," joint with Jon Danielsson and
Hyun Shin. JFE revise and resubmit.

\Endogenous liquidity and contagion in a world with multiple trading

venues," joint with Rohit Rahi. Submitted to Financial Markets.

\Market Resilience," joint with Jon Danielsson, Efstathios Panayi

and Gareth Peters.

\Information Aggregation in a Competitive Economy," joint with

Rohit Rahi.

\Feedback E ects and Changes in the Diversity of Trading

Strategies," joint with Hyun Shin and Daniel Beunza

\Arbitrage Networks," joint with Rohit Rahi. To be resubmitted.

\Systems and Systemic Risk", SRC Special Paper 1, got o er to

extend and convert to book form by Imperial College Press.

\Central Counterparties and Endogenous Risk," joint with Jon

Danielsson and Hyun Shin.

\Consistent Measures of Risk," joint with Jon Danielsson et al.

\Common Knowledge, Coordination and Rational Limits to

Arbitrage."

\Financial Innovation in Arbitrage Networks," joint with Rohit Rahi.

\Arbitrage Networks: The Three Exchange Case,", joint with Rohit

Rahi.
 \On the Mechanics of Endogenous Risk," joint with Jon Daniels-
son.

\Elevators, Escalators and Flipping: Asset Pricing with Strate-gic

Complementarities," joint with Jon Danielsson and Amil Das-gupta.
Formed the basis of our EPSRC grant application.

\A Reexamination of the E ects of Derivatives on the Un-derlying

Securities."

\Optimal Taxation in Economies with Incomplete Markets."

OTHER PUBLICATIONS

\The Regulatory Challenge of High-Frequency Markets" (2013), joint

with Oliver Linton, and Maureen O'Hara, in High-Frequency Trading,
O'Hara, Maureen and Marcos Lopez de Prado and David Easley
(editors), Risk Books.
IMPACT and CONSULTING WORK FOR REGULATORS,
SUPERVISORS AND PUBLIC BODIES
Wrote a successful Impact Case Study for REF 2014.

Active consultant to Sir Mark Walport, the UK Chief Scientist, in-

cluding

{ We have been involved by Sir Mark Walport in the exploratory

scoping of how a Turing Centre with the aim of providing world
leading research in algorithm theory and applications can be
funded and be successful. We also are exploring related
avenues with the FS-KTN on one hand, and with Andy
Haldane on the other one.
{ The workshop organised by Sir Mark Walport on 7 March 2014
was the exploratory scoping workshop for the GCSA's First
Themed Annual Report: \Innovation - Managing Risk not
Avoiding It." The SRC will probably play a key role in the writing
of the chap-ter on Financial Risk.
{ Conference on Science, Big Data, Analytics & the City -
Creating a New Alignment, 31 Oct 2013, convened by Sir Mark
Walport and Haldane on how a coherent approach can be
found to col-lect nancial data in a consistent and mutually bene
cial manner that can lea to pre-competitive collaboration, as
happens in other sciences.

Active within ESRC-FSKTN. I participated on August 2 at an ESRC-

FSKTN organised event on Supporting Innovative Research
through Access to Business Data exploring ways to explore the
funding avail-able to ERSRC for the Datasafe project. I also
participated in the ESRC-FSKTN organised workshop on ?Financial
Stability? on 27th February 2014. The purpose of the workshop was
to establish any research gaps in the ESRC o ering.

Lead Expert in the UK Treasury-BIS project on \The Future of Com-

puter Trading," 2010-2012, together with Charles Goodhart, Oliver
Linton, Dave Cli , Philip Bond, Kevin Houstoun, and Andy Haldane,
chaired by Dame Clara Furse and Sir John Beddington.

Consulted regulators and supervisors on Mi d II. Invited to inform

the European Commission by Mr. Bassi (September 2011,
September 2012), and by Mr. Buenaventura to inform ESMA
(December 2011). Presented the ndings to the European
Parliament's ECON commit-tee the day before the Mi d II vote (25
October 2012). Invited by Commissioner Barnier and JRC Director-
General Dominique Ristori to present at the high-level roundtable
on `Scienti c support to nan-cial analysis: How can science
contribute to nancial stability?' (12 November 2012).
 Presented the ndings of the Foresight report at the Senate Banking
Committee and House Committee on Financial Services,
Washington DC, March 2013.

Jean-Pierre Zigrand participated and presented a paper on

computer-based trading, together with Prof. Philip Bond, at the
FSKTN or-ganised conference in Oxford on 20-30 May 2013. The
conference was called the ?Future of Finance Conference.?

Testi ed to the UK Parliamentary Commission on Banking

Standards, chaired by the Lord Bishop of Durham, Justin Welby (26
November 2012).

Consultant to the Luxembourgish Central Bank.

Consultant to HM Treasury on their Consultation \A new approach to

nancial regulation: judgement, focus and stability," November 2010.

Invited to present at the \Macroprudential Conference" of the Bank

of England, November 2010.

Invited to attend the \Foresight Networked Governance Project"

work-shop on the Future of Finance, organised by the UK
Government O ce for Science, July 2010.

Invited by the Governor of the Banque de France to present at the

of-cial launching of the \Banque de France Financial Stability
Review," Paris, July 2010.

Invited by Governor Mersch to present at the o cial launching of

the \Revue de Stabilite Financiere" of the Banque Centrale du
Luxem-bourg, Luxembourg, 2010, 2011 and 2012.

Invited by Governor Reinesch to present at the o cial launching of

the \Revue de Stabilite Financiere" of the Banque Centrale du Lux-
embourg, Luxembourg, 2013.

Invited by Commissioner McCreevy to present at the Conference on

\Derivatives in crisis: safeguarding nancial stability," organised by the
European Commission's DG Internal Markets and Services. Panel
member with Gary Gensler and Mario Nava, September 2009.

Invited by Jean-Pierre Landau, Deputy Governor of the Banque de

France, to contribute to the Special Issue on Hedge Funds, Banque
de France Financial Stability Review.

Regular contributor to the CCBS at the Bank of England on

regulatory topics.

Occasional consultant to the FSA, and Dr. Thomas Huertas,

Banking Sector Director, on questions of hedge fund regulation.
 Consultant to the Luxembourgish Ministry of Culture, Higher Educa-
tion and Research, 1998-present.

OTHER PUBLICATIONS AND INVITED PRESENTATIONS

Vulgarisation articles online (e.g. VOX, Markit Magazine) and in
newspaper articles (e.g. Financial Times, Wort, Paperjam).

Member of the Panel on \Information Systems and the Financial

Cri-sis: Is technology to blame?" at The 11th Social Study of ICT
work-shop at LSE, Monday 28 March 2011.

Invited to present at \The 2nd Annual UECE - LISBON MEETINGS

- GAME THEORY AND APPLICATIONS," November 2010.

Invited to give the keynote speech at the ALFI-NICSA organised

\Eu-ropean Alternative Investment Funds Conference," November
2010, Luxembourg.

Invited by Lord John Eatwell, Dr Ana Babus and Dr Vanessa Smith

to present at the Cambridge conference on \Interconnections in
Financial Markets: Theoretical and Empirical Perspectives," 26-27
March 2010, Cambridge Judge Business School.

Invited by Joseph Haubrich, vice president at the Federal Reserve

Bank of Cleveland, and Andy Lo, Professor at MIT, to present at the
NBER Research Conference on \Quantifying System Risk,"
November 6 2009, Boston, MA.

Currently working with Antonio Mele on a textbook on the

mathemat-ical and probabilistic foundations of nancial economics,
based upon our lecture notes for the course \Quantitative Methods
for Finance." On hold.

Invited by the LSE Finance Society and by the LSE Private Equity
Society to chair their high pro le annual conferences.

Invited discussant of Pearson, Poteshman and White, \Does Option

Trading Have a Pervasive E ect on Underlying Stock Prices?" Adam Smith
Asset Pricing Conference, London Business School, March 2007.

Invited Discussant of Nicolae Garleanu, \Portfolio Choice and

Pricing in Iliquid Markets," SIFR conference on Institutions,
Liquidity, and Asset Prices, August 2006.

Discussant of Christensen, Flor, Lando and Miltersen, \Dynamic Cap-

ital Structure with Callable Debt and Debt Renegotiation," CEPR/
CeRP/ ESF/ FEEM/Fondazione Courmayeur-CNPDS Conference on
\The Firm and Its Stakeholders: The Evolving Role of Corporate Fi-
nance," 23/03/01 to 25/03/01.

Discussant at the Joint FMG/CEP Conference on \The Current

Basel Capital Adequacy Proposals," Wednesday 16th May 2001.

Discussant of Chau and Vayanos, \Positive Pro ts with Strongly E -

cient Markets," European Finance Association meetings, August 2001.

Discussant of Chacko, Cohen and Coval, \Rational Exuberance:

The E ects of Anticipation Utility," FMG/LSE Conference on \Recent
De-velopments in Securities Valuation and Risk Management," May
30, 2002.

Discussant of Chauveau and Nalpas, \A Theory of Disappointment

Weighted Utility," European Finance Association Meetings, August
2002.

Discussant of Decamps and Lovo, \Market Informational Ine ciency,

Risk Aversion and Quantity Grid," European Finance Association
Meetings, August 2003.

Chaired session on "Evaluating Fund Manager Performance\ at 3rd

FMG Workshop - Advances in Empirical Finance, Thursday 17 and
Friday 18 May 2001.

Invited to present at HEC Economics Workshop in Honour of

Andreu Mas-Colell, November 2005.

Invited to present at NSF/NBER Decentralization Conference in

Spring 2006.
BOOK REVIEWS etc

Endorsement for William Ziemba and Raymond Vickson's book

\Stochas-tic Optimization: Models in Finance," published by World
Scienti c, 2006.

William C. Hunter, George G. Kaufman, and Michael

Pomerleano, \Asset Price Bubbles. The Implications for Monetary,
Regulatory, and International Policies," MIT Press, 2003, \The
Economic Journal," Volume 114, 2004.

Peter D. Spencer, \The Structure and Regulation of Financial Mar-

kets," Oxford University Press, 2000. Appeared in \The Economic
Journal," Volume 112, February 2002.

TEACHING

Financial Economics (FM436), 1998-2013. Lectures and classes on

continuous time nance in the MSc Finance and Economics pro-
gram.

Financial Engineering (FM408), 2007 - Course leader. MSc Fi-

nance elective.

Advanced Asset Pricing Theory (FM438), 2013 - Course leader.

MSc Finance and Economics elective.

Quantitative Methods for Finance (FM458), 2002-2008. Lec-tures

and classes on probability theory, stochastic integration and the
theory of stochastic processes.

Derivatives (FM441), 2000-2008. Course leader. MSc lectures on

derivatives, in particular their pricing in continuous time.

Options, Futures & Other Financial Derivatives (AF360), 1998-

present. Summer School lectures and classes on derivatives in
continuous time.

Topics in Financial Markets (FM502), 2000-2005. Lectures and

classes on recent models of systemic risk and of crashes (2000,
2001), on recent models of non-expected utility and its applications
to nan-cial economics (2002), and on the in nite dimensional
mathematical foundations of the Fundamental Theorem of Asset
Pricing (2003, 2004) in our PhD program.

Practical Derivatives, ELSE, 2007-present.

 ESRC Advanced Postgraduate Training Programme in Asset
Pricing at the X Centre for Finance and Investment at University of
Exeter. December 2004, December 2006, September 2010.

Quantitative Methods in Accounting and Finance (AC550), 2000-

2001. Introductory calculus and real analysis lectures to stu-dents in
the MSc Accounting and Finance degree.

Principles of Finance (FM212), 1998-2001. Class teacher for this

second-year comprehensive introduction to nancial markets and
corporate nance. The lectures are taught by Professors John Board
and David Webb.

Microeconomics, 1999-2000. Basic microeconomics for new Arthur

Andersen recruits as part of their compulsory training.

Macroeconomic Principles (EC210), 1992-1993. Class teacher for

Professors Chris Pissarides and Charlie Bean.

ADMINISTRATION
Co-Director, Systemic Risk Centre

Programme director MSc Finance Part Time, 2010-present.

Programme director MSc Finance and Economics, Lent 2009, Lent

2010, Lent 2011, Lent 2012.

Undergraduate exam subboard chair for Accounting and Finance,

2005-2008.

In charge of corporate liaisons for the Department 1998-2008 of Ac-

counting and Finance. Set up a new forum, the \External Speaker
Series."

Active in School wide Fund Raising, successful among others with

the Hillary Till and John Phelan gifts to the School.

Involved in FMG and Department research focused corporate fund

and institutional fund raising (Lehman, IAM, ESRC and more).

Organised the FMG Lunchtime Seminar Series, 2002-2005.

Developed, with Jon Danielsson, the Department of Accounting and

Finance's placement web site.

Undergraduate selector for the Accounting and Finance

department, 1998-2004.
 Postgraduate selector for the MSc Finance and Economics and
MSc Finance, 2004-present.

Occasional PhD selector.

Internal examiner for PhD students (Spyros Pagratis, Piotr

Zurawski) Organised many workshops for FMG and the SRC.

MISCELLANEOUS
Consultant to private sector banks and private wealth management
companies.

Executive educator.

Feature in Raymond Reuter's picture book \100 Letzebuerger Ron-

derem d'Welt."