Luca Capitanio

Biography

He holds a MSc in Economics obtained at Bocconi University. He joined iason in 2021, initially working on the internal solutions for IRBB Risk. From mid-2022, he started working on projects mainly focused on Credit Risk, supporting the credit stress test team of one of Italy’s major banks in the development of PD and LGD satellite models for the 2023 EBA Stress Test exercise. He is now working with the team for AIRB Credit Risk models development.

Researches

EBA Report on the 2023 Credit Risk Benchmarking Exercise

The Low-carbon Transition, Climate Commitments and Firm Credit Risk

Capturing Risk Differentials from Climate-related Risks

2022 EBA Final Draft on RTS for Supervisory Outliers Tests (SOTs) for IRRBB

2023 EBA Stress Test Results

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