Free Download PDF A Guide to Behavioural Modelling

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Igor Gianfrancesco is head of the Risk Management Department at Arepo
BP, the holding company of the Banca Profilo Banking Group, and at
Extrabanca. He previously worked in the risk management department at
Banco di Desio e della Brianza and Banca Popolare di Spoleto, and in the
research department at Capitalia Banking Group. Igor was visiting scholar at
New York University Stern School of Business and at the International
Center for Financial Research of the Lally School of Management and
Technology, Rensselaer Polytechnic Institute, and also carries out
autonomous research on banking risk management. He has presented at
international conferences, and been published in international scientific
journals. Igor has a National Scientific Qualification as an associate professor
in banking and finance within the Italian University system and also obtained
full professorship, and has a PhD in finance from LUISS University, where
he teaches undergraduate courses.
David Green is an expert in risk and profitability management based on
more than 20 years in banking, bank regulation, consulting and software
development. Before that, he was treasurer at BankUnited, where he was
responsible for ALM, FTP, the investment portfolio, funding and derivatives,
and was also A/L manager at SunTrust Bank, where he built and managed
static and stochastic interest rate risk models and worked to align a number of
business functions. David was chairman of the Georgia Bankers
Association’s A/L Management Committee, served as a bank examiner at the
Federal Reserve Bank of Atlanta, and was also chairman of
SunGard/Bancware’s US Client Advisory Council. He is a frequent
conference speaker, and delivers workshops on ALM, FTP, behavioural
modelling and stress testing. David holds a PhD in economics from Georgia
State University, a BS in applied mathematics from Georgia Tech and is a
CFA charterholder.
Sophie He is a manager at Prometeia within the enterprise risk management
practice. She is part of the ALM and liquidity, and the risk integration
competence lines, and is involved in pioneering projects across the EMEA
banking industry. Sophie has gained extensive experience in ALM, including
IRRBB, liquidity risk, FTP and performance management, regulatory and
cross-risk stress testing, and integrated balance-sheet management in diverse
markets and countries. Before joining Prometeia, she worked in the group
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