Hello, and welcome to my personal website!

My name is Ioannis and I live in London. I am currently a Manager / Technical Modelling Specialist at the Financial Risk Management Division of the Bank of England.


My role in the Quantitative Risk Analytics team involves providing technical expertise and developing statistical models for supporting the risk-management function of the Bank. Specifically, I’m working on designing simulation-based tools or macro-financial time-series forecasting models for measuring risks to the Bank’s balance sheet under stress-scenarios. I’m also leading on the implementation of a portfolio back-testing methodology for evaluating the statistical performance of the fixed-income asset-allocation strategies of the Bank.

Prior to that, I worked as a Senior Quant at the Risk Methodology team of the Financial Risk & Resilience Division, where I was primarily focused on building Expected Shortfall and Exposure-at-Default models for assessing risk across different asset-types and liquidity operations.

Outside of work, I enjoy sharing a bottle of wine with good friends, I like hiking and cycling, I love travelling and exploring new places, I am addicted to music and passionate about photography!

Scholar | EconPapers | RePeC | LinkedIn


I hold a PhD in Economics from Athens University of Economics and Business (supervised by professor Elias Tzavalis), a MSc in Finance from Warwick Business School and a BSc in Economics from Aristotle University of Thessaloniki. My research interests revolve mainly around issues on financial economics and econometrics; including volatility modelling, asset-pricing, portfolio theory and risk-management. You can download my full CV here.


PhD in Economics

Oct 2015 – May 2022

Athens University of Economics and Business (AUEB), Greece

Essays on Modelling and Forecasting Stock Market Volatility

PhD in Finance

Sep 2011 – Sep 2015

Aristotle University of Thessaloniki (AUTH), Greece

Skewness & Jumps in Asset Pricing [transferred to AUEB]

MSc in Finance

Sep 2009 – Sep 2010

Warwick Business School (WBS), United Kingdom

Thesis: Cointegration-Based Trading Strategies

BSc in Economics

Sep 2004 – Jan 2009

Aristotle University of Thessaloniki (AUTH), Greece

GPA: 9.4/10 – Graduated 1st with Honors

Professional Experience

Manager | Technical Modelling Specialist

Bank of England, London
Jul 2022 – Present

Financial Risk Management Division | Quantitative Risk Analytics

My role as a Technical Modelling Specialist/Manager at the Quantitative Risk Analytics team of the Financial Risk Management Division of the Bank of England has been mainly twofold: first, I have been providing technical expertise for the development of statistical models supporting the first-line risk-management function of the Bank. Second, I’ve been leading on the development of a back-testing methodology for the asset-allocation strategy that the Bank has implemented in managing the EEA portfolio on behalf of HMT.

Senior Quantitative Analyst

Bank of England, London
May 2019 – Jul 2022

Financial Risk & Resilience Division | Risk Methodology Team

Designing and developing risk methodologies for evaluating and managing financial risks to the Bank of England’s balance sheet, across all asset classes and liquidity operations. My role included the implementation and back-testing of Exposure at Default and Expected Shortfall models for Sovereign Bonds, Equities and Derivatives, as well as the challenge and validation of risk and asset-allocation models developed in other areas of the Bank.

Quantitative Risk Analyst

Bank of England, London
Apr 2016 – May 2019

Financial Risk & Resilience Division | Risk Methodology Team


Published Papers

Working Papers

  • 2023:

    “Financial Leverage, Volatility Feedback and the impact of jumps”, with Elias Tzavalis, Leonidas Rompolis and Orestis Agapitos. (Revise & Resubmit)

  • 2022:

    “Decomposing the Realized-EGARCH: long-run and short-run volatility dynamics for realized variance and VIX forecasting”, with Elias Tzavalis and Leonidas Rompolis.

Conference Proceedings

  • 2019:

    “The Impact of Signed-Jump Variation on Forecasting Realized Variance”, with E. Tzavalis and L. Rompolis. Proceedings of the International Conference on Time-Series and Forecasting.

  • 2015:

    “GARCH option-valuation models under non-monotonic pricing kernels: Evidence from Joint Likelihood Estimations”. Proceedings of the 22nd Multinational Finance Society Meeting.

  • 2013:

    “On the joint estimation of information betas”. Proceedings of the 26th Conference in Statistics, Greek Statistical Institute.



Threadneedle St, London EC2R 8AH, UK