Biografia

2002-2005 I worked as consultant for an Italian company (Cerved) to the development of rating models (PD and LGD) for banks. I also developed econometrics models used to study the impact of macroeconomic conditions on the Italian industrial sectors. In the same period a obtained the PhD in Mathematics for the analysis of financial markets - (Milano) 2006 - 2018 I entered in the Supervisory Department of Banca d'Italia. Initially I worked in the Statistical division then I moved to the Regulatory Department in the Impact Assessment Analysis Unit. In this period, I was actively involved in the Basel Committee (Bcbs) Quantitative Impact Studies (QIS) on the new regulatory framework (Basel 3). In the last years in Banca D'Italia I worked in the Internal Model Division at the Inspectorate Department (On site supervision). I took part to several validations of IRB models. I was directly involved in the TRIM (Targeted Review of Internal Models): from 2016 to 2018 I was a member of the ECB Centre of Competence on Credit Risk, a working group created to design the methodology and follow the execution of the TRIM project. 2019 - today I entered into the EBA in the Economic Analysis and Impact Assessment unit. I'm member of Sub Group on Supervisory Benchmarking under art 78 CRD. I followed several other projects related to Large Exposures, Liquidity Risk, Operational Risk. Publications - The myths and truths about Basel II cyclicality. Risk, 2011 - Indagine sui costi dei conti correnti (Survey on current account costs), BoI occasional papers, 2011 - Quanta confusione su Basilea (How much confusion on Basel). LaVoce.info, 2012 - Inside the labyrinth of Basel risk-weighted assets: how not to get lost. BoI occasional papaers, 2012 - Basilea al bivio (Basel at a crossroads). Bancaria 2013 - Looking ahead to Basel 3: Italian banks on the move. BoI occasional papaers, 2013 - Coerenza degli attivi ponderati per il rischio delle banche: un'analisi empirica sui grandi players europei ( Consistency of banks' risk weighted assets: an empirical analysis of the major European players), Rivista Bancaria, 2015 - Basilea spiegata con i dadi. Semplicità, complessità e buon senso nella regolamentazione sul capitale (Basel explained with the dice. Simplicity, complexity and common sense in capital regulation). Bancaria 2015 - La probabilità (di default) non esiste. Discorso sopra la comparabilità delle misure di rischio. (The probability (of default) does not exist. Discourse on the comparability of risk measures). Minerva Bancaria, 2017 (book available on Amazon) - Credit risk migration rates modeling as open systems: A micro-simulation approach. - Communications in Nonlienar Science and Numerical Simulation. 2017 - Applying the pre-commitment approach to bottom up stress tests: a new old story. 2020 EBA staff papers - Time to go beyond RWA variability for IRB banks: an empirical analysis. 2020 EBA staff papers - The estimation risk and the IRB supervisory formula. 2021 EBA staff papers - The calibration of the IRB supervisory formula - a case study. 2023 EBA staff papers - Systematic backtesting of probability of default models with regulatory data. 2026 EBA staff papers