Free Download PDF A Guide to Behavioural Modelling

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habilitation) for banking and finance in the Department of Economics at the
University of Zurich and chief risk officer of Swisscanto Invest by Zürcher
Kantonalbank (ZKB). At ZKB, he is responsible for the risk management
function by identifying, modelling, measuring, monitoring and mitigating
market, liquidity, credit, counterparty and operational risk. Until 2016,
Andreas was head of ALM at ZKB, responsible for the interest rate risk
management of the banking book and the management of financial assets.
Before joining ZKB in 2006, he worked at Credit Suisse Group, latterly as
head of credit risk analytics, where he was responsible for the development of
credit portfolio and credit scoring models. Andreas completed his studies at
the University of Zurich with a licentiate in economics and a doctorate in
finance, and his academic papers have been published in a range of
prominent journals.
Antonio Castagna is partner and co-founder of the consulting company
Iason Ltd, providing support to financial institutions in designing models to
price complex derivatives and measure risks. He was previously at Banca
IMI in Milan from the 1999 to 2006, where he was a market maker of
caps/floors and swaptions, before setting up the FX options desk and running
the book of plain vanilla and exotic options on major currencies, as well as
being responsible for FX volatility trading. Antonio started his career in
investment banking in 1997 at IMI Bank in Luxembourg as a financial
analyst. He has written papers on issues such as credit risk, derivative pricing,
collateral management, managing of exotic options risks and volatility
smiles, and is the author of books on FX options and smile risk, and liquidity
risk. Antonio graduated in finance from LUISS University in Rome.
Rosa Cocozza is Full Professor of Banking and Finance at the University of
Naples Federico II. She is also chair of the board of directors of the pension
fund of the University of Naples Federico II, and former director of the PhD
programme in mathematics for finance at the university, where she holds the
chair of Financial Risk Management and the chair of Financial Engineering.
Rosa served as scientific director of the insurance section of the LUISS
Business School in Rome, and is the author of an insurance management
textbook and an extensive number of research papers in scientific journals, as
well as presenting at international conferences. She holds a PhD in business
administration from the University of Naples Federico II and an MA in
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