Carlo Acerbi received a PhD in Theoretical Physics (SISSA Trieste , Italy). He turned to Finance in 1997, to join Caboto (Banca Intesa, Milan) as a Risk Manager. Since then he has worked in the industry covering different roles, such as Head of Financial Engineering (Abaxbank, Milan) and Senior Expert in the Risk Practice of McKinsey & co. In 2010 he joined Riskmetrics (now part of MSCI group) as an Executive Director, where he currently leads the research initiative on Liquidity Risk aiming to design an industry methodological standard.
He paralleled his job activity with autonomous research in mathematical finance, especially in the fields of risk theory foundations and derivatives pricing. He achieved major contributions such as the coherent definition of Expected Shortfall in 2001 which has become nowadays the standard one, and the introduction of Spectral Measures of Risk.
Since 2008, he has published a number of works on the extension of portfolio theory and coherent measures of risk to illiquid markets, paving the ground for a quantitative comprehensive approach to Liquidity Risk. He also taught "Advanced Derivatives" in Bocconi University, Milan and is an Executive Fellow of the Essex Business school (UK).