Profilbild

Fabrizio Anfuso





Details Teaching

Education

Ph.D. in Theoretical Physics at Chalmers University of Technology (Gothenburg, Sweden)

Research Interest

Monte Carlo Simulations, Risk modelling, Counterparty Credit Risk, XVA

Teaching

  1. Counterparty Credit Risk Management (ETH/UZH, Zurich)
  2. Derivatives Credit Risk Management (L. Bocconi, Milano)

Selected publications

  1. A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements, F.A. et al, Risk, (May 2017)
  2. Capital flaws (The SA-CCR for Counterparty Credit Risk Exposure), F.A. and Dimitrios Karyampas, Risk (July 2015)
  3. A Sound Basel III compliant framework for backtesting Credit Exposure Models, F.A. et al, Risk (September 2014)

Additional publications

  1. (Finance): https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2049051
  2. (Physics): https://arxiv.org/find/all/1/au:+anfuso/0/1/0/all/0/1?skip=0&query_id=2da8310b332001b4

 
Other Professional Activities

Head of Exposure and Collateral Modelling in the IB division of Credit Suisse