Andrea Bertagna

Andrea Bertagna is a quantitative analyst at UniCredit, where he takes due care of the development and maintenance of the XVA platform and of market risk internal models. He started as a model validator in 2006 and was exposed to all sorts of financial risk topics since then. He holds a Master in Theoretical Physics.

Articles by Andrea Bertagna

Original research

An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework

This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.

11 Feb 2020