Luca Capitanio

Biography

He holds a MSc in Economics obtained at Bocconi University. He has been supporting several banks in the development and validation of Credit Risk models (Pillar I/Pillar II) since his entry in iason in 2021. He also supports banks in the development and validation of IRRBB models.

Researches

EBA IRRBB Heatmap Implementation

Peer Review Report Guidelines on the Application of the Definition of Default

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