Andrea Principe

Biography

He holds a MSc. in Mathematics and he iscurrently working, as a financial engineer, onthe supporting activity for a major Italianbank on the engine used to produce riskmetrics via full revaluation approach. He isinvolved in the enhancements to pricingfunction and also in the analysis andaggregation process of risk figures values.

Researches

Behavioral Modelling and ALM - A Scenario Analysis on the Italian Banking System

Structural FX Provision Final Guidelines (EBA/GL/2020/09) on the Treatment of Structural FX

Structural FX (S-FX) Provision EBA CP on the treatment of structural FX under 352(2) CRR

A Quantization Overview to Credit Counterparty Risk

EBA Consults on standards for Supervisors Assessing the New Market Risk Internal Models under the FRTB (EBA/CP/2023/04)

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