Free Download PDF A Guide to Behavioural Modelling

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About the Editors
Umberto Crespi has over 20 years of experience in the banking sector. He
started his career in 1999 on the financial engineering desk of Fineco Bank
SpA, and after eight years became the Head of Treasury & ALM. In 2007,
Umberto moved to the Group Finance Department of UniCredit Group to
cover different activities, and in 2010 was appointed Head of the Model and
Interest Rate Strategy team within Group ALM & Financial Planning, with
responsibility for behavioural models and banking book interest rate risk
strategy. Currently, he is the Head of the Operational ALM team within
Group Finance Department. Umberto is a member of the European Banking
Federation ALM IRRBB Working Group and the ASSIOM FOREX ALM
Commission. He has a degree in monetary and financial economics from
Bocconi University in Milan.
Matteo Formenti works at UniCredit Group, where he was initially in the
group’s internal validation team on the internal models for Pillar 1 and Pillar
2 of the Basel Accords, with a focus on the validation of behavioural models
for ALM purposes (interest rate and liquidity risk). He then joined Group
Finance Department with a specific focus on ALM topics such as the
development of behavioral models across the Central Eastern Europe and
banking book interest rate strategy. Matteo currently manages the team in
charge of executing and setting the fund transfer pricing within the Group. He
is visiting professor of market risk at MIP (Milan Politecnique) and full
professor of asset management at LIUC (University of Castellanza), and
holds an MSc in economics and a PhD in finance with a theoretical and
empirical thesis on asset pricing theory.
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