One of the world’s most distinguished economic theorists, Eric Renault is widely known for his research in econometrics, with a particular focus on financial econometrics. His work includes more than 60 refereed publications in the leading journals of economics, finance, and statistics, including the Journal of Econometrics, the Journal of the Royal Statistical Society, Econometric Theory, Econometrica, and Mathematical Finance.
“In his long and distinguished vitae, Eric has proposed ways to improve the quality of estimation in econometric models, often complicated in this field due to many nonlinearities,” explained Roberto Serano, chair of Brown’s Department of Economics. “In a situation like the current one, in which the entire world is going through a major economic crisis, mostly created by problems in the financial sector, it is very important to understand the empirical regularities that emerge in financial data. This is what financial econometrics does, and Eric Renault is a leader in this field.”
While Renault’s work remains strictly within economics, he says part of the reason he’s interested in it has more to do with philosophy. “My work is tightly related to what we call ‘decision theory,’ that is, how does a human being optimize his welfare in the face of uncertainty?” he said. “You have to make a choice, but whatever choice you make, the outcome is not certain. Choosing in the face of uncertainty is a very deep issue and I very much like that.”
Renault received his masters in economics and statistics from ENSAE in Paris and a Ph.D. in applied mathematics for social sciences from Paris University, Dauphine. Most recently, he was the Henry A. Latane Distinguished Professor of Economics at the University of North Carolina–Chapel Hill. Renault serves as a fellow of the Econometric Society and has had extensive editorial responsibilities, including associate editor of Econometrica; associate editor of the Journal of Econometrics; and the founder and main editor of the Journal of Financial Econometrics, his field’s leading publication. He has also delivered a high number of prestigious named lectures and has organized and co-organized some of the most important conferences in the economics annual calendar. He is also particularly proud that he has advised nearly two dozen Ph.D. candidates in the last 18 years.
Of his decision to join the Brown faculty, Renault says he was impressed by Brown’s “lively” and “active” economics department and its specific strengths in econometrics, both on the faculty and in the Ph.D. students it produces. “If you look at the Ph.D. students that have come out of Brown in the last 10 years, they are among the best known in the field,” he said. He also noted the department’s simultaneous hiring of Susanne Schennach, another global leader in econometrics.