Giacomo Giannoni

Biography

He holds a master’s degree in Mathematical Engineering - Quantitative Finance from Politecnico di Milano. He joined iason in 2020 working on projects primarily focused on Market Risk, as part of the Risk Management of one of the major Italian banks. He is currently involved in projects concerning the development and implementation of innovative solutions and methodologies for the computation and analysis of various risk measures, with a primary focus on the metrics of the new FRTB regulation.

Researches

Portfolio Optimization: a New Frontier through VAE-LSTM-Based Reinforcement Learning

ECB Guide to Internal Models 2024: Market Risk

Targeted Review of Internal Models: Focus on Market Risk and Counterparty Credit Risk

Risk Attribution

Newsletter