Ricerca

Interessi di ricerca / Research interests

Operational research, Optimization methods, Chaos theory, Risk management (liquidity, operational, credit, market, business risk), Stress testing and back testing, Performance measurement (GIPS compliance included) and analysis, Asset allocation optimization, Asset and Liability Management, Pricing, Stochastic processes, Monte Carlo simulation, Value-at-Risk, CVA, Portfolio Theory (CAPM, APT, etc.), Quantitative research (statistics, econometrics and mathematical modeling), Basel II, Solvency II, ICAAP.