Luca Capriotti

MD - QAT - Global Head Quantitative Strategies Credit at Credit Suisse

Luca works in the Quantitative Analysis and Technology (QAT) department in New York where he is the Global Head of Quantitative Strategies Credit, and he is responsible for both front office (pricing models, and eTrading) and capital models (including VaR/IRC/FRTB SA, IMA and DRC) covering a variety of businesses including Global Credit Products, Structured Credit and Financing, Structured Notes, Corporate Bank, Commodities, Life Finance and Treasury. He is also responsible globally for Liquidity Modelling and IRRBB.

Luca is also visiting professor at the Department of Mathematics at University College London and Adjunct Professor at NYU, Tandon School of Engineering. His current research interests are in the field of Credit Models, Computational Finance and Machine Learning, with a focus on efficient numerical techniques for Derivatives Pricing and Risk Management, and applications of Adjoint Algorithmic Differentiation (AAD), which he has helped introducing to Finance and Physics, and for which he holds a US Patent. Luca has published over 70 scientific papers, with the top 3 papers collecting to date over 900 citations (h factor 22, i10 factor 42).

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems. Luca has been awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory and he Luca holds a Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste.