ALFI European Risk Management Conference
A multifaceted perspective
Massimiliano joined abrdn Investments Luxembourg in 2020 as Senior Risk Manager for UCITS and Financial AIF funds. He has over 10 years of experience in investment risk management in Luxembourg focusing in Market, Liquidity, Valuation, and Sustainability risk management. Before joining abrdn, Massimiliano worked in the risk departments of Nordea Asset management, Eurizon Capital SA and Wells Fargo Asset Management.
Massimiliano holds an MSc degree in Quantitative Finance, and he is CQF (Certificate in Quantitative Finance) holder.
Speaking at
The CSSF thematic review highlighted some areas for improvement relating to back-testing practices. When it comes to Value-at-Risk, what other approaches can enhance the model performance assessment beyond the dominant Kupiec and Christoffersen methodologies? Acknowledging that a broader range of estimates are subject to model risk, what other models should be back-tested in priority? Refining their discussion through concrete examples, the panellists will contrast and compare market practices, highlighting quick wins and opportunities for risk managers to enhance their confidence in their models.
Head of Risk
Manager
Senior Risk Manager
Investment Risk Control