I received a Ph.D. in Statistics from the Università degli Studi di Milano after being visiting Ph.D. student at the London School of Economics. The passion for risk management and finance has driven me across Europe, London and New York. I have been working at Barclays Investment Bank, HSBC headquarter, BlackRock, EY Financial Advisory Services in London, Prometeia. I am a guest Lecturer at Imperial College in London and at the London School of Economics and Political Science.  Formerly I served as Lecturer at the Università degli Studi di Bologna and Università degli Studi di Parma. My research focuses on statistical methods, risk management, and financial applications. I have been providing training courses, seminars on statistics, risk management and quantitative methods in Europe, Asia, and Africa.

Published Books

IFRS 9 and CECL Credit Risk Modelling and Validation

From the Cover

FRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses.

 

The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management.

Reviews

"IFRS 9 and CECL Credit Risk Modelling and Validation:: A Practical Guide with Examples Worked in R and SAS by Tiziano Bellini is a precious resource for industry practitioners, researchers and students in the field of credit risk modeling and validation.  The author does a great job in covering the various topics in a scientifically sound and comprehensive way without losing practitioner focus. The SAS and R case studies further contribute to its value and make it indispensable for anyone working in credit risk!" --Bart Baesens, KU Leuven and the University of Southampton

"It is commendable that practitioners like Dr Tiziano Bellini find the time to write volumes on the important industry developments in risk management. This timely volume provides a guide to credit risk modelling and validation in the context of IFRS 9 and CECL expected credit loss estimates. The book is thus developed in the context of the familiar PD, LGD and EAD framework. Recent challenging developments are discussed, for example the treatment of lifetime losses is very timely. The last part of the book, where multivariate time series models are brought into play, can also give ideas to researchers who may wish to make their work more relevant for the industry. More generally, this volume provides an unparalleled guide for graduate and MSc students. Examples in R and SAS make the book a must-have for risk management practitioners." --Damiano Brigo, Imperial College London

Stress Testing and Risk Integration in Banks

From the Cover

Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing.

Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies.

Reviews

"Stress Testing and Risk Integration in Banks is a book that both finance academics and risk management experts have long sought. It bridges a substantial gap between risk theory and banking practice by paving the way for sound quantitative approaches in the area." --Niklas F Wagner, University of Passau

"This book is highly practical and rigorous in its clear and refreshing coverage of current risk issues faced by global banks. Combining Matlab/R code, relevant exercises and business cases, it is comprehensive in scope and operationally highly relevant." --Gary van Vuuren, Aviva Investors, London and North West University, South Africa

"Stress Testing and Risk Integration in Banks reveals the important connections between risk management and stress testing in the banking industry. These days, in which the industry is in the verge of its deepest change in decades, this book provides a much-needed framework to apply stress testing in practical terms." --Juan Ignacio Peña, Universidad Carlos III

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