Domenico Mignacca

Qatar Investment Authority

As of March 2020, Dr. Domenico Mignacca serves as the Head of Investment Risk for the Qatar Investment Authority. Prior to joining the QIA, he held the position of Head of Risk Management at Sanpaolo Asset Management SGR, now Eurizon Capital SGR, from 2001 to December 2016. From 1997 to 2001, he worked as a Senior Quantitative Analyst at BNL Gestioni SGR. Dr. Mignacca received his Ph.D. in Quantitative Economics from the University of Ancona, Italy in 1995, following completion of his MSc in Economics and Econometrics at the University of Southampton (U.K.) in 1990. In 1994, he was named an Honorary Associate Fellow of the Department of Economics at the University of Wisconsin-Madison (USA), where he studied the applications of Chaos Theory in Economics. In 1995, Dr. Mignacca joined the Deutsche Bank’s Risk Controlling Group in Milan, where he was responsible for calculating VaR.

Articles by Domenico Mignacca

Original research

Converting a covariance matrix from local currencies to a common currency

The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.

30 Sep 2024

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