Marco Musto

Biography

Graduated in Statistics, he is currently supporting the Internal Validation Area of a big Italian bank regarding credit risk.

Researches

ECB: Severity over Quantity - Drivers of Supervisory Capital Add-ons in Internal Ratings-Based Models

Systematic Backtesting of Probability of Default Models with Regulatory Data

Revised Supervisory Guidance on Model Risk Management

The EBA Streamlines Supervisory Approvals for IRB Model Changes

EBA - Discussion Paper on the Simplification and Assessment of the Credit Risk​

Model Risk Management of GenAI Workflows

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