Raffaele Di Sivo

Biography

He holds a Bachelor in Banking and Finance and a Master degree in Finance and Risk Management. He obtained a specialisation in Quantitative Finance at Politecnico di Milano. He is currently involved, as a Credit Risk Senior Consultant, on developing a monitoring data quality framework for IFRS9 credit risk parameters at one of the major Italian banks. He has experience in ICAAP, stress testing and climate exercises.

Researches

Introducing Sectoral PD Satellite Models through Constrained BACE

2025 EU-Wide Stress Test

Climate Risk Stress Test 2022​

LGD Stress Testing: a Bayesian Averaging Modeling Approach

2023 EBA Stress Test Results

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