Fabrizio Anfuso

Senior Technical Specialist at Bank of England

Speaker

Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track record of heading quant teams, as well as of taking part in firm-wide programs and international regulatory initiatives. His main areas of expertise are Counterparty Credit Risk, Monte Carlo simulations, Internal Models, derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital. Fabrizio is chairing the master’s courses in Counterparty Credit Risk and Derivatives Portfolio Valuations of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies. As part of his academic activities, he has authored numerous research contributions in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden).