Lorenzo Naranjo

University of Miami 5250 University Drive Phone: 305-284-9491 School of Business Administration 514N Jenkins Building Cellphone: 786-554-4405 Department of Finance Coral Gables, FL 33146 Email: [email protected]

EDUCATION New York University Ph.D., M.Phil. in Finance, 2004–2009 Pontiﬁcia Universidad Católica de Chile M.Sc. in Industrial Engineering, 2000–2002 B.Sc. in Industrial and Electrical Engineering, 1994–1999

ACADEMIC APPOINTMENTS Faculty Director of MSF Programs, University of Miami, 2018–Present Assistant Professor of Professional Practice, University of Miami, 2015–Present Assistant Professor of Finance, ESSEC Business School, 2009–2015

RESEARCH AREAS Theoretical and Empirical Asset Pricing, Derivatives, Fixed-Income, Commodities

HONORS AND AWARDS Dean’s Appreciation Award, Miami Business School, 2019 Lawrence G. Goldberg Prize for Best Dissertation in Financial Intermediation, NYU Stern, 2009 Jules I. Bogen Fellowship, NYU Stern, 2008–2009 Commendation for Teaching Excellence, NYU Stern, 2007 NYU Stern Fellowship, 2004–2008 Department of Industrial Engineering Award, Pontiﬁcia Universidad Católica de Chile, 2002 Best Academic Performance Award, Pontiﬁcia Universidad Católica de Chile, 1994 and 1995

ACADEMIC PUBLICATIONS “A Multifactor Stochastic Volatility Model of Commodity Prices,” with Gonzalo Cortazar and Matias Lopez, Energy Economics, 2017, 67, 182–201. “Term-Structure Estimation in Markets with Infrequent Trading,” with Gonzalo Cortazar and Eduardo Schwartz, International Journal of Finance & Economics, 2007, 12(4), 353–369. “An N-Factor Gaussian Model of Oil Futures Prices,” with Gonzalo Cortazar, Journal of Futures Markets, 2006, 26(3), 243–268.

WORKING PAPERS “The Impact of Institutional Investors and Lenders on Financial Distress,” with Timothy Fisher and Jocelyn Martel. “Optimal Decision Policy for Real Options under General Markovian,” with Gonzalo Cortazar and Felipe Sainz. Dynamics

PRESENTATIONS 2014 Universidad de Chile (CEA), AFFI Meetings (Aix-Marseille), NFA Meetings (Ottawa), University of Miami

1 2013 AFFI Meetings (EMLYON) 2011 SMU-ESSEC Symposium 2010 IESEG Asset Pricing Workshop, ESSEC-HEC-INSEAD-PSE Workshop 2009 London School of Economics, University of Oxford, ESSEC Business School, University of Illinois at Urbana-Champaign, Cornell University, NFA Meetings (Niagara-on-the-Lake), SFA Meetings (Captiva Island) 2008 New York University 2007 New York University

INDUSTRY EXPERIENCE Consultant – The Brewer Group (2017); TPCG Financial Services (2013); AZERRISK Advantage (2012); AC Finance (2011, 2012); Merrill Lynch (2006); MIR Investment Management (2004, 2005); Cortazar & Schwartz Financial Research and Consulting (2000, 2001) Euromoney Country Risk – Expert, 2011–Present RiskAmerica.com – Deputy CEO, 2001–2004

INDUSTRY PUBLICATIONS “Current Account Reversals,” with Carmen Stefanescu, Investments and Pensions Europe, April 2014. “Currency Management: Below the Volatility Surface,” with Carmen Stefanescu, Investments and Pensions Europe, November 2013. “Mixed Evidence on Financialisation,” with Carmen Stefanescu, Investments and Pensions Europe, October 2013. “Understanding Sovereign Spreads,” with Carmen Stefanescu, Investments and Pensions Europe, June 2013. “The Peculiar Chilean Bond Market,” Funds Global Latin America, Autumn 2012. “Emerging Market Debt: Why Liquidity Matters,” Investments and Pensions Europe, September 2012.

TEACHING EXPERIENCE University of Miami – Fundamentals of Finance (Undergraduate) – Investments and Security Markets (Undergraduate) – Quantitative Finance and Microstructure (Graduate) – Speculative Markets and Derivatives (Undergraduate) – Trading and Markets (Undergraduate) ESSEC Business School – Asset Pricing I (Graduate) – Finance (MBA) – Financial Markets in Europe (MBA) – International Finance (Graduate) – Options (Graduate) – Portfolio Management (Graduate) – Principles of Finance (Graduate)

2 ESSEC Singapore – International Finance (Graduate) NYU Stern – Financial Management (Undergraduate) – Advanced Futures and Options (MBA, Teaching Assistant) PUC Chile – Topics in Applied Finance (Undergraduate) – Finance and Advanced Topics in Finance (Teaching Assistant)

PROFESSIONAL SERVICE Conference Organizer 2015 AFFI (ESSEC), 2013 Journées de Finance (ESSEC) Discussant 2018 AREUEA National Conference (Washington, DC), 2015 Florida Finance Conference (SFU), 2014 Journées de Finance (Grenoble EM), 2011 SMU-ESSEC Symposium, 2011 ESSEC-HEC- INSEAD-PSE Workshop, 2011 Journées de Finance (Rouen Business School), 2010 Journées de Finance (EMLYON), 2009 SFA Meetings (Captiva Island) Program Committee Member Paris December Finance Meeting EUROFIDAI – ESSEC 2019, 2018, 2010 (Paris), AFFI 2015 (ESSEC), FMA Meetings 2011 (Denver) Refereeing Annals of Operations Research; National Commission for Science and Technology (Chile); Energy Economics; Energy Journal; Journal of Banking and Finance; Finance Research Letters; Journal of Commodity Markets; Journal of Derivatives; Journal of Empirical Finance; Journal of Financial and Quantitative Analysis; Journal of Futures Markets; North American Journal of Economics and Finance; Quantitative Finance; Resources Policy; Review of Financial Economics; Swiss National Science Foundation; Transportation Research Part A: Policy and Practice Session Chair 2013 AFFI (EMLYON), 2011 SMU-ESSEC Symposium

RECENT MEDIA INTERVIEWS –“¿Cuál es el futuro de JCPenney?,” CNN Dinero, 8/15/2019. –“Google enfrenta investigación de antimonopolio en EE.UU.: ¿efectos?,” CNN Dinero, 6/4/2019. –“Blue Origin ¿qué tan realista es el proyecto espacial de Bezos?,” CNN Dinero, 5/10/2019. –“Uber y Lyft: trabajadores reclaman mejores salarios,” CNN Dinero, 5/8/2019. –“¿Qué le espera ahora a Tesla ante la peor venta de su historia?,” CNN Dinero, 4/5/2019. –“El 737 Max 8 y el futuro de Boeing: ¿panorama turbulento?,” CNN Dinero, 3/9/2019. –“¿Vuelve a estar en problemas Tesla?,” CNN Dinero, 1/30/2019. –“Chile on course for a higher credit rating,” Euromoney Country Risk, 11/22/2018. – “Como rescatar a PG&E de la castastrofe que se le avecina?,” CNN Dinero, 11/19/2018. –“10 years after Wall Street meltdown, U.S. economy may be no better protected,” UPI, 9/28/2018. – “Cuál es el efecto económico y ﬁnanciero del abuso de poder dentro de las empresas que enfrentan los trabajadores?,” CNN Dinero, 1/29/2018. –“Debt ceiling debate casts spotlight on US risk proﬁle,” Euromoney Country Risk, 9/7/2017. –“Snap en la bolsa: ¿éxito garantizado?,” CNN Dinero, 3/2/2017.

3 COMPUTING PROFICIENCY Bloomberg, C/C++, CUDA, Datastream, Eviews, Fortran, LATEX, Linux, Matlab, Python, R, SAS, Stata, VBA, WRDS

LANGUAGES Fluent in English, French and Spanish (Native)

August 19, 2019