Risk management for sovereign financing within a debt sustainability framework

Marialena Athanasopoulou

European Stability Mechanism

Marialena Athanasopoulou is currently a principal economist at the European Stability Mechanism. She previously worked as an economist at the International Monetary Fund. She was also a visiting professor at the Department of Economics at the Athens University of Economic and Business. Marialena holds a PhD in Economics from University of Southern California (Los Angeles), and Masters’ degrees in Economics and Business Mathematics from University of Southern California (Los Angeles) and the Athens University of Economic and Business. Marialena’s research field is international macroeconomics, with a focus on debt sustainability analysis and sovereign debt restructuring.

Andrea Consiglio

Università degli Studi di Palermo

Andrea Consiglio is professor of mathematical finance at the University of Palermo, Italy. He held positions at the University of Calabria and at the University of Cyprus. He has participated in consultancy projects with the Banca della Svizzera Italiana (CH), Prometeia (IT) and the European Stability Mechanism (LU). He has co-authored one book and numerous articles for various leading academic journals including Mathematical Programming, Operations Research, Quantitative Finance, Journal of Economics Dynamics and Control. In 2006 he was awarded the EURO Excellence in Practice Award, jointly with Stavros A. Zenios and Flavio Cocco. His research interests encompass many areas in the field of financial modelling and computational finance. He holds a Ph.D in applied mathematics to finance and economics.

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Fraud detection through a network analysis of the Anti-Fraud database

Fabio Farabullini

Istituto per la Vigilanza sulle Assicurazioni

Fabio Farabullini worked in the Research Department of Bank of Italy between 1989 and 2011, dealing with monetary and banking statistics and banking activity analysis. Between 2008 and 2009 he was at the ECB, DG Statistics as NCB expert. Since April 2013 he has seconded to the Italian Authority for Insurance Supervision (IVASS) where he coordinates the working group on the anti-fraud integrated archive (AIA); since October 2015 he is in charge of Collection and Management Information Division. He participated in international working groups on banking and monetary statistics; currently he is member of OECD Task Force on Insurance Statistics. He published several articles on banking activity.

Michele Tumminello

Università degli Studi di Palermo

Michele Tumminello is an associate professor of mathematical finance at the University of Palermo, Italy. Previously, he held post-doctoral fellowships at the University of Palermo, at the CNR, and at Carnegie Mellon University. He has participated in several research projects, and he is currently coordinating two research projects on anti-fraud detection and marketing strategies in the Insurance sector, one funded by the IVASS (Italy) and one by Mapfre Foundation (Spain). He has co-authored nuomerous articles for international academic journals, including PNAS, Journal of Economic Behavior & Organization, Quantitative Finance, and Journal of Economic Dynamics and Control. His research interests include network theory, multivariate analysis, bioinformatics, financial markets, and complex systems. He holds a Ph.D in applied physics.

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Too much XVA?​

Simone Freschi

MPS Capital Services

Simone Freschi is currently the Deputy Manager of MPS Capital Services, the investment bank of Group Monte dei Paschi di Siena. He started his career in the financial industry as a quant in the late 90s. He moved then to trading where he led the equity desk first and the trading floor later. He works as adjunct professor at Siena University regularly holding a course in Financial Markets.

Tommaso Gabbriellini

MPS Capital Services

Tommaso Gabbriellini is head of the Quant Team at MPS Capital Services. He has been working as a quant for 12 years covering financial modeling across all of the asset classes. He holds an MSc in Physics and an MSc in Quantitative Finance.

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Data Science for Finance - A Visual Introduction

Attilio Meucci

ARPM

Attilio Meucci is the founder of ARPM (Advanced Risk and Portfolio Management). Attilio was the chief risk officer at KKR; the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co. Attilio is the author of numerous publications. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant (New York), Bocconi University (Milan), and NUS-Business School (Singapore), where he is Visiting Senior Research Fellow at CAMRI. Attilio earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Attilio is fluent in six languages.

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Better to stay apart: asset commonality, systemic risk, and investment strategies

Fabrizio Lillo

Università degli Studi di Bologna

Fabrizio Lillo is Full Professor of Mathematical Methods for Economics and Finance at the University of Bologna (Italy). Formerly he has been Associate Professor of Mathematical Finance at the Scuola Normale Superiore, Pisa (Italy) where he has directed for seven year the group of Quantitative Finance. He has also been External Faculty (2005-2009) and Professor (2009-2012) at the Santa Fe Institute (USA). He has been awarded the Young Scientist Award for Socio- and Econophysics of the German Physical Society in 2007. He is author of more than 100 referred scientific papers on high frequency finance, market microstructure, systemic risk, financial networks, and financial data science.
 

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Proof theory and smart contracts

Marcello Paris

Unicredit 

Marcello Paris, Ph.D. in Mathematics, spent many years in market finance and computational IT, mainly for applications to derivatives modelling and risk measurement. Current research interests: topological methods in data analysis, reinforcement learning and smart contracts.

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Big Data Engineering and Computation in Quantitative Finance

Luca Spampinato

Bloomberg 

Graduated in Physics. Research activity in Knolwedge Based Artificial Intelligence (more than 30 Publications). Co-founder of Quinary S.p.A., Account Manager and technical co-lead in Custom Intelligent Systems projects. Co-founder and CTO of Brainpower N.V. Technical lead in the Brainpower listing project (German Stock Exchange, 2001). Business and technical lead in the acquisition project (Bloomberg, 2006). Business Manager for Portfolio Risk and Analytics in Bloomberg (from 2006)
Co-founder at Workinvoice.it

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Risk modelling in MATLAB

Valerio Sperandeo

Mathworks 

As a member of the Application Engineering team at MathWorks, Valerio Sperandeo assists customers in the development and deployment of financial applications. He holds a M.Sc. in Quantitative Finance from the University of Perugia with focus on risk and asset management. Before joining MathWorks, he worked as an Analyst at the investment department of a global asset management company. There, he contributed to the development of several tools for risk overlay, portfolio optimization and strategic asset allocation purposes.

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Morningstar Global Risk Model

Jessica Zanetti

Morningstar

Jessica Zanetti is a Solution Specialist of the Morningstar Southern Operational team. She is responsible for project coordination including planning and implementing content across products and platforms to analyze, evaluate and define business requirements for new product development, feature enhancements or client customizations. Previously she worked as structured notes specialist in Bloomberg London and as a Capital Market analyst for Eidos Partners. Jessica holds a Master of Science in Economic and Social Science from Bocconi university in Milan.