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Luca Capriotti
Global Head Quantitative Strategies Credit and Financing at Credit Suisse

Profile

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. Previous to this role, he was the global head of Quantitative Strategies for Credit and Structured Notes, he was the EMEA head and the US head of Quantitative Strategies Global Credit Products, he worked in Commodities in New York and London, and was part of the cross-asset modeling R&D group of QS in the London office.

Luca is also Visiting Professor at University College London, Department of Mathematics and Adjunct Professor at NYU, Tandon School of Engineering. Luca holds a US patent on Adjoint Algorithmic Differentiation (AAD) and has published over 60 scientific papers, with the top 3 papers collecting to date over 850 citations (h factor 23).

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. He has been awarded the Director's fellowship at Los Alamos National Laboratory, and the Wigner Fellowship at Oak Ridge National Laboratory.

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and a M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000). 

Luca Capriotti's Network

Agenda Sessions

  • Quants, Quantum Mechanics and Quantos

    09:45