Matteo Formenti works at UniCredit Group, where he was initially in the group’s internal validation team on the internal models for Pillar 1 and Pillar 2 of the Basel Accords, with a focus on the validation of behavioural models for ALM purposes (interest rate and liquidity risk).
He then joined Group Finance Department with a specific focus on ALM topics such as the development of behavioural models across the Central Eastern Europe and banking book interest rate strategy.
Matteo currently manages the team in charge of executing and setting the fund transfer pricing within the Group. He is visiting professor of market risk at MIP (Milan Politecnique) and full professor of asset management at LIUC (University of Castellanza), and holds an MSc in economics and a PhD in finance with a theoretical and empirical thesis on asset pricing theory.
The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.