Grigory Vilkov

Grigory Vilkov is a Professor of Finance at the Frankfurt School of Finance & Management. His research focuses on climate finance, derivatives markets, asset pricing, and portfolio selection. He has contributed to understanding climate change exposure at the firm level, volatility risk, and the dynamics of correlation risk in financial markets. Vilkov's work bridges theoretical finance with empirical methodologies, addressing topics such as option-implied correlations, nonstandard errors in data analysis, and the pricing mechanisms of climate-related financial risks. His recent studies explore 0DTE trading strategies and the implications of media narratives on market price informativeness.

His scholarly output spans over 35 papers in top journals like the Review of Financial Studies and Journal of Finance. Notable contributions include analyzing carbon tail risk, the performance of equal-weighted portfolios, and the role of option-implied volatility in portfolio selection. Vilkov collaborates with institutions globally, including the University of Zurich and the Hong Kong University of Science and Technology, and maintains a data repository at OSF.io.

Vilkov’s research themes emphasize practical applications for investors and policymakers, particularly in navigating climate-related financial risks and optimizing portfolio strategies using advanced derivatives analytics. His work often employs innovative empirical techniques to uncover market inefficiencies and quantify risk premiums in dynamic financial environments.