Fabrizio Anfuso

Senior Technical Specialist at Prudential Regulation Authority

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 onshore and offshore, as well as of taking part in firm-wide programs, such as IMM, BCBS-IOSCO Margin Requirements and IBOR transition.

In his present and previous roles, Fabrizio has gained a comprehensive knowledge of the full model development cycle, including the model design, the validation of model performance, the IT implementation and the attainment of regulatory compliance.

His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital.

Fabrizio is chairing the master’s course in Counterparty Credit Risk 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 articles 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).