Dr. Luca Lopez is a financial risk quantitative analyst at UniCredit since 2015. Formerly risk manager at Intesa Sanpaolo, he is responsible for the market and counterparty risk models development and monitoring. In particular, he leads the FRTB project covering all methodological and implementation aspects. He also holds a PhD in Theoretical Physics.
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.