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Fabrizio Anfuso

Head of IB CCR Collateralised Exposure Modelling at Credit Suisse


Fabrizio is heading the Exposure and Collateral Modelling group at Credit Suisse. He is responsible for multiple teams across different locations, covering all the modelling and quantitative development on the Monte Carlo infrastructure used to compute risk exposure and regulatory capital for bilateral OTC and cleared derivatives. 

His main areas of expertise are Monte Carlo simulations, stochastic models, Internal Model Methods (IMM), counterparty credit risk, market and credit risk modelling, derivatives pricing and regulatory capital. 

Fabrizio is co-chairing the master’s courses on Counterparty Credit Risk of the quantitative finance programs of the ETH / UZH in Zurich and of the University L. Bocconi in Milan. Fabrizio holds a Ph.D. in Theoretical Physics and has authored numerous research articles in peer-reviewed journals in the fields of quantitative finance and condensed matter physics.

Agenda Sessions