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Risk Fuse
Online | GMT (CET-1)
Live sessions: Dec 12 – 13On-demand sessions available: Dec 12 – Dec 23

Carlo Acerbi
Quantitative Financial Risk Management Researcher and Professional at Bocconi University

Profile

Carlo Acerbi currently heads the risk management research team out of the MSCI Geneva office. His main areas of interest in finance are risk management, financial regulation and instrument pricing.

Prior to MSCI, Dr Acerbi worked as a Risk Manager for Banca Intesa (Milan, Italy) and as a Financial Engineer for Abaxbank, Credito Emiliano Group (Milan, Italy). He also worked as a senior expert in the risk practice of McKinsey & Co, also in Milan.

He is the author of several relevant papers in renowned international journals, focusing on the theoretical foundations of financial risk and the extension of portfolio theory to illiquid markets. He is renowned for instance for the definition of Expected Shortfall (with D. Tasche, 2001), of Spectral Measures of Risk (2002) and of a coherent liquidity risk framework (with G. Scandolo, 2008).

Dr Acerbi received a Ph.D. in Theoretical Physics from the International School for Advanced Studies (SISSA - ISAS), Trieste, IT. He started a career in quantitative finance in 1997, with a double track in the industry and the academia.

He has taught “advanced derivatives” at Bocconi University, Milan. He is an Executive Fellow of the Essex Business School (UK) and honorary professor at Corvinus University of Budapest. He has been for years a member of the board of 'The Journal of Risk'. 

Agenda Sessions

  • Why not backtesting the Expected Shortfall instead? A fundamental review of the FRTB

    13:40

Speakers at this event