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Department of Finance

Fabrizio Anfuso

Fabrizio Anfuso, Dr.

Education

Ph.D. in Theoretical Physics at Chalmers University of Technology (Gothenburg, Sweden

Research Interest

Monte Carlo Simulations, Risk modelling, Counterparty Credit Risk, XVA

Teaching

  1. Counterparty Credit Risk Management (ETH/UZH, Zurich)
  2. Derivatives Credit Risk Management (L. Bocconi, Milano)

Vorlesungsverzeichnis

V-Nr Course Start / End Date Lecturers Room
0758
03VL22MO0034
from 11 Sep 2023
to 13 Nov 2023
 irregular Fabrizio Anfuso Dimitrios Karyampas see details

Selected publications

  1. A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements, F.A. et al, Risk, (May 2017)
  2. Capital flaws (The SA-CCR for Counterparty Credit Risk Exposure), F.A. and Dimitrios Karyampas, Risk (July 2015)
  3. A Sound Basel III compliant framework for backtesting Credit Exposure Models, F.A. et al, Risk (September 2014)

Additional publications

  1. (Finance): https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2049051
  2. (Physics): https://arxiv.org/find/all/1/au:+anfuso/0/1/0/all/0/1?skip=0&query_id=2da8310b332001b4

Other Professional Activities

Risk modelling expert at Credit Suisse