Luca Lamorte

Expert Risk Manager, Market And Counterparty Risk IMA Methodologies, Market and Financial Risk Management at Intesa Sanpaolo

Speaker

Luca is a Market Risk professional with 10+ years of experience in market data management and quantitative risk modelling and measurement, with a deep expertise in regulatory frameworks and risk measurement including Basel 2.5 (VaR, Stressed VaR, IRC) and FRTB (Expected Shortfall, IMCC, Default Risk Charge, P&L Attribution). Currently Luca works in the Market & Counterparty Risk IMA Methodologies team serving as the Functional Lead for the development and implementation of Intesa Sanpaolo's FRTB internal model. He holds a B.Sc. and M.Sc. in Mathematical Engineering from Politecnico di Milano.