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Carlo Acerbi

Carlo Acerbi took a PhD in theoretical Physics at International School for Advanced Studies (ISAS-SISSA), Trieste in 1997. Since then he switched to finance, working as a risk manager for an investment bank (Caboto – Intesa Group). He led a team of financial engineers in Abaxbank from year 2000 to 2009, focusing on Equity and Interest rates derivatives pricing and CPPI structuring. He joined McKinsey in 2009, as senior expert in the risk practice, active on both asset pricing and firmwide risk modeling. From year 2010 he works as a risk researcher in the Geneva office of Riskmetrics Group. He’s visiting professor at Luigi Bocconi University, Milan where he teaches “Advanced Derivatives” to a broad audience of undergraduate and graduate students. His research activity in mathematical finance covers derivatives pricing and fundamental financial risk theory in the framework of coherent measures of risk.

Articles by this Author

  • Expected Shortfall—VaR Without VaR’s Drawbacks
    by Carlo Acerbi
    In the mid-1990s, value at risk (VaR) marked a true revolution in the practice of financial risk management. Fostered by the 1996 Amendment to the Basle Capital Accord, and standardized thanks to the diffusion of risk metrics methods, it soon became (and probably still is) the benchmark risk measure in finance. Why it was so successful is easy to understand. VaR conveys immediate information about a portfolio’s riskiness, showing the potential...
  • Spectral Measures of Risk—Where Risk Theory and Risk Practice Overlap
    by Carlo Acerbi
    In 1997, a groundbreaking paper (5) appeared with the explicit objective of establishing the properties that a portfolio risk measure should satisfy to comply with fundamental principles of financial risk. The authors listed four such axioms and coined the phrase “coherent measures of risk” (CMRs) to denote those measures that satisfy them. They observed that there are an infinite number of CMRs, actually a whole class, and they described this...

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