What are you currently working on?
Quantitative methodologies to account for liquidity risk in the portfolio construction process, and integrating it with other models in one coherent manner
Who is your risk management hero and why?
Bob Litterman, because he masters both the theory and the practice of our profession
What is the biggest challenge facing risk managers at the moment?
Properly accounting for estimation risk, because VaR and other risk measures can only be estimated within some, typically large, margin of uncertainty
How do you think all the current regulatory changes are going to impact the industry?
The new regulations will raise the profile of the risk management department within large institutions.
Tell us a little known fact about yourself.
I love donkeys, yes, donkeys: they are peaceful, intelligent, understated, and hard working
What are you most looking forward to at Risk Minds USA this year?
The same as every year: reconnecting with the risk management community, seeing new perspectives and spending one day out of NYC
Attilio will be speaking at RiskMinds USA 2012 on Wednesday June 6th, Stream C, in the session “Next Generation Quantitative Techniques For Stress Tests: Entropy Based Measures, Bayesian & Network Techniques”, starting at 3:10pm.