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
- Counterparty Credit Risk Management (ETH/UZH, Zurich)
- Derivatives Credit Risk Management (L. Bocconi, Milano)
Vorlesungsverzeichnis
| V-Nr | Course | Start / End | Date | Lecturers | Room |
|---|---|---|---|---|---|
| 0758 |
03VL22MO0034
|
from 11.09.2023
to 13.11.2023
|
siehe Details | Fabrizio Anfuso Dimitrios Karyampas | siehe Details |
Selected publications
- A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements, F.A. et al, Risk, (May 2017)
- Capital flaws (The SA-CCR for Counterparty Credit Risk Exposure), F.A. and Dimitrios Karyampas, Risk (July 2015)
- A Sound Basel III compliant framework for backtesting Credit Exposure Models, F.A. et al, Risk (September 2014)
Additional publications
- (Finance): https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=2049051
- (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