Andrea Cesare Resti
I am an Associate Professor at Bocconi University. I have published books on financial risk management with Wiley and Risk Books and articles in major academic journals. In 2008-2010, I started Bocconi’s Centre for Applied Research in Finance (now Baffi Carefin) where I was managing director. I then served as the vice-chair of the European Banking Authority’s Stakeholder Group in London, and since 2016 I act as an advisor on banking supervision to the European Parliament in Brussels. I have worked for European banks, rating agencies, consultancies and supervisors, as well as serving as an expert witness for Italian magistrates investigating major financial scandals.
My research is focused on the regulation of financial risks, credit risk and credit ratings, bank supervision, mutual funds, and asset management.
Exposure at Default, LGD and Recovery Risk
Rama Cont (ed.) Encyclopedia of Quantitive Finance, John Wiley &Sons, ChichesterThe optimal structure of PD buckets
Journal of Banking and Finance, vol. 32, pp. 2255-2266Using differential evolution to improve the accuracy of bank rating systems
Computational Statistics and Data Analysis, vol. 52, 2007, pp. 68-87, 2007The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads based on a Simple Structural Model
Journal of Financial Intermediation, 2007The Link Between Default and Recovery Rates: Theory, Empirical Evidence and Implications
Journal of BusinessLoss Given Default: the next Challenge in Credit Risk Management
Risk BooksThe Link Between Default and Recovery Rates: Theory, Empirical Evidence and Implications
Journal of BusinessDefault Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence
Journal of Finance LiteratureRischio e rendimento nella gestione del risparmio: misura, controllo, attribuzione
Quaderni di documentazione e ricerca collana economica, 2, Assogestioni, Milano-RomaLoss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
The Basel Handbook: a Guide for Financial Practitioners, 2003Il private banking: gestione del risparmio e della clientela. Strategie, strumenti ed esperienze
Edibank-Bancaria Editrice, RomaReplicating Agency Ratings through Multinomial Scoring Models
Credit Ratings. Methodologies, Rationale and Default Risk, 2002Il capitale bancario tra presente e futuro: nuovi strumenti per la gestione del fabbisogno patrimoniale
Gestione del capitale e creazione di valore nelle banche, Edibank, Milano-RomaMisurare e gestire il rischio di credito nelle banche: una guida metodologica
Alpha Test, Milano, p. 192, 2001Decidere in banca con la matematica e la statistica
seconda edizione riveduta e ampliata, Edibank-Bancaria Editrice, Milano-Roma, p. 202Banca virtuale e multicanale: strategie, best practices, errori da evitare
Edibank-Bancaria Editrice, Roma, p. 284Regulation can foster Mergers, can Mergers foster Eficiency? The Italian Case
Journal of Economics and Business, 50 (2), pp. 157-170Evaluating the cost-efficiency of the Italian Banking System: what can be learned from the joint Application of parametric and non-parametric Techniques
Journal of Banking and Finance, 2, pp. 221-250At Bocconi, I teach two courses in the M.Sc. in Finance program: Financial Risk Management (mandatory) and Private Banking and Institutional Asset Management (elective), as well as a course on Credit Risk in the Master in Risk Management and Quantitative Finance (MAFINRISK) program.
In the past, I directed and/or taught courses and workshops for large financial institutions, the Italian Bankers’ Association, and the European System of Central Banks.