ANDREA CESARE RESTI
Vita
MAIN RESEARCH AREAS
• Credit Risk Management and Measurement
• Basel II and the regulation of financial risks
• Bank Strategic Management
• Quantitative Efficiency Analysis for Banks and multi-product Organizations
PRESENT POSITION
• Associate Professor (tenured) at Bocconi University in Milan, where he teaches Risk and Value Management in Banks, Private Banking and Credit Risk Management (in Italian and in English)
• Professor at SDA Bocconi, Bocconi’s School of Management, where he teaches courses on Credit Risk, Ratings and Basel II (courses are taught both in Italian and in English).
PAST POSITIONS
• 2003-2007: program director of several courses on Basel II, Economic Capital, Credit Ratings and Mutual Fund Performance Measurement for the Bank of Italy.
• 2002-2005: member of the scientific committee of ABI Formazione, the educational branch of the Italian Bankers’ Association, where he was responsible for courses on Credit Risk.
• 1996-2005 - Lecturer and then Associate Professor, Faculty of Economics, University of Bergamo, Bergamo, where he used to hold a course in Mathematical Finance.
• 1997-2004 – Program director for several courses on bank management and risk management, organized by the Rome-based education institute “Finstudi” and attended by practitioners of most major Italian banks.
• 1993-1999: responsible for the Quantitative Methods module of the post-graduate MBA in Bank Management organized by Euros, Milan.
• 1989-1996: first employee, then officer at BCI (Banca Commerciale Italiana, Milan, one of the leading commercial Italian banks), where he became responsible for the “Planning tools and models” unit inside the Research and Planning Department.
• 1994-1996: member of the ABI (Italian Bankers’ Association) interbank committee for bank statistics.
EDUCATION
• 1994: EDEN (European Doctoral Education Network) Doctoral program in Finance.
• 1992-95: Ph. D. in “Financial Markets and Institutions”, University of Bergamo..
• 1988: graduate degree in Economics – Brescia University, Brescia. Grade: 110/110 cum laude.
MAIN RESEARCH APPOINTMENTS
• 2009-present: Editor in Chief of the International Journal of Banking Accounting and Finance
• 2008-today: managing director of CAREFIN, Bocconi’s Centre for Applied Research in Finance (www.carefin.unibocconi.eu). As such, he is in charge with the Centre’s working paper series and the organization of conferences and workshops, including the annual CAREFIN International Banking Conference
• 2004-6: managing director of FINMONITOR, a research body on bank M&As sponsored by Italy’s main financial groups.
• 2002-2004: “senior rapporteur” for the Basel II Task Force promoted by the Centre for European Policy Studies in Brussels.
• 2002: Economic Advisor to Assogestioni, the Italian Fund Managers’ Association
• 2000-2003 - Member of Steering Committee of the Italian Interbank Deposit Insurance Fund (FITD) Permanent Working Group on Bank Risks.
• 2000: research affiliate of CERMEF, Centre for Research on Financial Markets of Rome’s University “LUISS Guido Carli”.
• 1997: editor of the Sintel research report on the Italian banking system, subsequently published as a book by “Il Mulino”.
MAIN RESEARCH GRANTS AND SPONSORSHIPS
• Since 2009 he is a research fellow of the Financial Engineering Laboratory of Technical University of Crete
• In 2009, a grant of approximately €75,000 was awarded by Unicredit Group to the research project “Corporate Sustainability for Banks: a Framework” (joint with Giuliano Iannotta, Bocconi, and George Pennacchi, University of Illinois); approximately €25,000 were awarded by the Italian Bankers’ Association to the research “Banks’ Loan Loss Provisioning: Procyclical Behaviour and Potential Solutions”. In both projects, he served as the project leader and the editor of the research report.
• Research funds of approximately €500,000 per year were granted to CAREFIN in the three years (2008-2010) when he served as managing director.
• Research funds of approximately €100,000 per year were granted to FINMONITOR in the three years (2004-2006) when he served as managing director.
• In 2001-2, ISDA (International Swaps and Derivatives Dealers’ Association) grant for a 12-month research project (joint with professors Edward E. Altman and Andrea Sironi) on credit risk components and recovery risk. Following the grant, a report was delivered to ISDA in 2002.
MAIN INTERNATIONAL CONFERENCES AND WORKSHOPS
• "What can be learned about banks' profitability from their financial statement", Eura-CD Seminar 1994, Brussels, 20-21 April 1994
• "Bank efficiency evaluation: L.P. and econometric methods applied to Italian banks" EURO Working Group on Financial Modelling, 17th Meeting, Bergamo, 1-3 giugno 1995
• "Linear programming and econometric methods for bank efficiency evaluation", European Finance Association, XXII Annual Meeting, Milano, 24-26 August 1995
• "Linear programming and econometric methods for bank efficiency evaluation: empirical comparison based on a panel of Italian banks", Young Operational Research Conference, 1996, University of York, 25-27 March 1996
• “A survey of Bank Efficiency Analysis in Italy”, INFORMS Fall 1996 Meeting, November 3-6 1996, Atlanta, U.S.A.
• “Did Mergers increase bank Efficiency?”, “Joint Informs/Euro Meeting”, Barcelona, July 1997.
• “How should we measure bank efficiency? A comparison of classic and recent techniques based on simulated data” EURO Working Group on Financial Modelling, Meeting, Venice, October 1997.
• “The Credit Portfolio of Italian Banks in a portfolio perspective”, EURO Working Group on Financial Modelling, Paris, May 1998.
• “European Banks and the Creditmetrics Model: can we make its implementation easier?”, EURO Working Group on Financial Modelling, Valencia, 9 April 1999.
• “What's behind the Credit Rating of European Firms? An econometric Analysis”, Euro Working Group on Financial Modelling, Fall 2000 Meeting, New York.
• “The New Capital Accord Proposal: a Technical Analysis”, Centre for European Policy Studies, Brussels, 22 March 2001.
• “What drives agency ratings? Lessons for statisticians and banks”, International Conference Credit Risk – the State of the Art, Cagliari, 11 June 2001.
• “The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios” (with Edward Altman), “Changes in Risk Through Time: Measurement and Policy Options”, Bank for International Settlements March 2002.
• “Structure and Effects of the New Basel Capital Accord”, Centre for European Policy Studies, Brussels, 27 March 2002.
• “The Link Between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality”, III International Conference on “Managing Credit and Market Risk – New Techniques and New Sources of Risk”, Verona, 7 June 2002
• “Analyzing and Explaining Default Recovery Rates”, 2002 FMA European Conference, Copenhagen, 8 June 2002
• “The Link Between Default and Recovery Rates” (with Edward Altman), International Conference on Risk and Stability in the Financial System: What Role for Regulators, Management and Market Discipline?", Bocconi, Milan, 13 June 2002.
• “Nothing is permanent, except change: Pricing, provisioning and Capital Allocation
after Basel II”, SUERF Workshop on “The Impact of Basel II on Competition in the Financial Industry – A European Perspective” Société Européenne de Recherches Financières, Frankfurt am Main, 3 December 2002.
• “The Impact of Basel II on Banking Institutions: some recent research Results” invited workshop for the Working Group on Developments in Banking of the European Central Bank, Frankfurt am Main, 19 March 2003.
• ”LGD estimation: what's different about banks?”, 6th Credit Risk Summit, Risk Magazine, London, October 2004.
• “Capital Requirements for Credit Risk: a robust internal ratings-based approach”, presentation at the workshop “Implementing bank-wide economic capital calculation process” organized by Risk Magazine-Incisive Media, London, June 2005 (also presented at the workshop “Integrating and Managing Economic Capital”, organized by Risk Magazine-Incisive Media, London, November 2005).
• “Credit risk capital computation under Basel II: validating the Process”, Credit Risk Summit Europe, London, October 2005.
• “Reviewing and enhancing Economic Capital Allocation – How Basel II affects the Process”, presentation at the workshop “Implementing and Managing economic capital”, organized by Risk Magazine-Incisive Media, London , June 2006.
• “What’s different about loans? An analysis of the risk structure of credit spreads” (with Andrea Sironi), presentation at the conference “Credit Risk, Distressed Debt and Corporate Restructuring”, Stern School of Business, New York University, New York, November 2006.
• “Defining and Measuring Recovery Risk”, presentation at the workshop “Recovery Risk: estimating recovery rates and modelling loss given default”, organized by Risk Magazine-Incisive Media, London, November 2006.
• “What’s different about loans? An analysis of the risk structure of credit spreads”, (with Andrea Sironi) faculty seminar, Department of Finance, ESSEC (École supérieure des sciences économiques et commerciales), Paris, February 2007.
• “Modelling downturn LGD”, presentation at the workshop “Estimating Loss Given Default (LGD) and Measuring Recovery Rates”, organized by Risk Magazine-Incisive Media, London, 27 November 2007.
• “Risk and Performance on Hedge Funds: How Well do HWNIs Understand?”, presentation a the CFA conference “Investment Strategies for Private Clients”, organized by the Chartered Financial Analysts’ Institute and by Bocconi University, Milano, April 2008.
REFEREE FOR THE FOLLOWING JOURNALS
Computational Statistics and Data Analysis
Economic Notes
European Journal of Finance
European Journal of Operational Research
International Journal of Banking Accounting and Finance
International Review of Finance
Journal of Banking and Finance
Journal of Credit Risk
Journal of Economics and Business
Journal of Empirical Finance
Journal of Financial Intermediation
Journal of Financial Stability
Journal of Money Credit and Banking
Quantitative Finance
MEDIA COVERAGE
• 1997-2004 Columnist on a regular basis for two Italian financial dailies (“Milano Finanza” and “Italia Oggi”)
• 2004-2009: About 10 interviews in the all-news channel “Rainews24” run by the state-owned Italian broadcaster RAI
• 2009-2010: Two interviews in the economics/politics talk show “Ballarò” aired by the state-owned Italian broadcaster RAI
• Other interviews for international media, such as Reuter’s European News Service and Risk Magazine.
• Credit Risk Management and Measurement
• Basel II and the regulation of financial risks
• Bank Strategic Management
• Quantitative Efficiency Analysis for Banks and multi-product Organizations
PRESENT POSITION
• Associate Professor (tenured) at Bocconi University in Milan, where he teaches Risk and Value Management in Banks, Private Banking and Credit Risk Management (in Italian and in English)
• Professor at SDA Bocconi, Bocconi’s School of Management, where he teaches courses on Credit Risk, Ratings and Basel II (courses are taught both in Italian and in English).
PAST POSITIONS
• 2003-2007: program director of several courses on Basel II, Economic Capital, Credit Ratings and Mutual Fund Performance Measurement for the Bank of Italy.
• 2002-2005: member of the scientific committee of ABI Formazione, the educational branch of the Italian Bankers’ Association, where he was responsible for courses on Credit Risk.
• 1996-2005 - Lecturer and then Associate Professor, Faculty of Economics, University of Bergamo, Bergamo, where he used to hold a course in Mathematical Finance.
• 1997-2004 – Program director for several courses on bank management and risk management, organized by the Rome-based education institute “Finstudi” and attended by practitioners of most major Italian banks.
• 1993-1999: responsible for the Quantitative Methods module of the post-graduate MBA in Bank Management organized by Euros, Milan.
• 1989-1996: first employee, then officer at BCI (Banca Commerciale Italiana, Milan, one of the leading commercial Italian banks), where he became responsible for the “Planning tools and models” unit inside the Research and Planning Department.
• 1994-1996: member of the ABI (Italian Bankers’ Association) interbank committee for bank statistics.
EDUCATION
• 1994: EDEN (European Doctoral Education Network) Doctoral program in Finance.
• 1992-95: Ph. D. in “Financial Markets and Institutions”, University of Bergamo..
• 1988: graduate degree in Economics – Brescia University, Brescia. Grade: 110/110 cum laude.
MAIN RESEARCH APPOINTMENTS
• 2009-present: Editor in Chief of the International Journal of Banking Accounting and Finance
• 2008-today: managing director of CAREFIN, Bocconi’s Centre for Applied Research in Finance (www.carefin.unibocconi.eu). As such, he is in charge with the Centre’s working paper series and the organization of conferences and workshops, including the annual CAREFIN International Banking Conference
• 2004-6: managing director of FINMONITOR, a research body on bank M&As sponsored by Italy’s main financial groups.
• 2002-2004: “senior rapporteur” for the Basel II Task Force promoted by the Centre for European Policy Studies in Brussels.
• 2002: Economic Advisor to Assogestioni, the Italian Fund Managers’ Association
• 2000-2003 - Member of Steering Committee of the Italian Interbank Deposit Insurance Fund (FITD) Permanent Working Group on Bank Risks.
• 2000: research affiliate of CERMEF, Centre for Research on Financial Markets of Rome’s University “LUISS Guido Carli”.
• 1997: editor of the Sintel research report on the Italian banking system, subsequently published as a book by “Il Mulino”.
MAIN RESEARCH GRANTS AND SPONSORSHIPS
• Since 2009 he is a research fellow of the Financial Engineering Laboratory of Technical University of Crete
• In 2009, a grant of approximately €75,000 was awarded by Unicredit Group to the research project “Corporate Sustainability for Banks: a Framework” (joint with Giuliano Iannotta, Bocconi, and George Pennacchi, University of Illinois); approximately €25,000 were awarded by the Italian Bankers’ Association to the research “Banks’ Loan Loss Provisioning: Procyclical Behaviour and Potential Solutions”. In both projects, he served as the project leader and the editor of the research report.
• Research funds of approximately €500,000 per year were granted to CAREFIN in the three years (2008-2010) when he served as managing director.
• Research funds of approximately €100,000 per year were granted to FINMONITOR in the three years (2004-2006) when he served as managing director.
• In 2001-2, ISDA (International Swaps and Derivatives Dealers’ Association) grant for a 12-month research project (joint with professors Edward E. Altman and Andrea Sironi) on credit risk components and recovery risk. Following the grant, a report was delivered to ISDA in 2002.
MAIN INTERNATIONAL CONFERENCES AND WORKSHOPS
• "What can be learned about banks' profitability from their financial statement", Eura-CD Seminar 1994, Brussels, 20-21 April 1994
• "Bank efficiency evaluation: L.P. and econometric methods applied to Italian banks" EURO Working Group on Financial Modelling, 17th Meeting, Bergamo, 1-3 giugno 1995
• "Linear programming and econometric methods for bank efficiency evaluation", European Finance Association, XXII Annual Meeting, Milano, 24-26 August 1995
• "Linear programming and econometric methods for bank efficiency evaluation: empirical comparison based on a panel of Italian banks", Young Operational Research Conference, 1996, University of York, 25-27 March 1996
• “A survey of Bank Efficiency Analysis in Italy”, INFORMS Fall 1996 Meeting, November 3-6 1996, Atlanta, U.S.A.
• “Did Mergers increase bank Efficiency?”, “Joint Informs/Euro Meeting”, Barcelona, July 1997.
• “How should we measure bank efficiency? A comparison of classic and recent techniques based on simulated data” EURO Working Group on Financial Modelling, Meeting, Venice, October 1997.
• “The Credit Portfolio of Italian Banks in a portfolio perspective”, EURO Working Group on Financial Modelling, Paris, May 1998.
• “European Banks and the Creditmetrics Model: can we make its implementation easier?”, EURO Working Group on Financial Modelling, Valencia, 9 April 1999.
• “What's behind the Credit Rating of European Firms? An econometric Analysis”, Euro Working Group on Financial Modelling, Fall 2000 Meeting, New York.
• “The New Capital Accord Proposal: a Technical Analysis”, Centre for European Policy Studies, Brussels, 22 March 2001.
• “What drives agency ratings? Lessons for statisticians and banks”, International Conference Credit Risk – the State of the Art, Cagliari, 11 June 2001.
• “The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios” (with Edward Altman), “Changes in Risk Through Time: Measurement and Policy Options”, Bank for International Settlements March 2002.
• “Structure and Effects of the New Basel Capital Accord”, Centre for European Policy Studies, Brussels, 27 March 2002.
• “The Link Between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality”, III International Conference on “Managing Credit and Market Risk – New Techniques and New Sources of Risk”, Verona, 7 June 2002
• “Analyzing and Explaining Default Recovery Rates”, 2002 FMA European Conference, Copenhagen, 8 June 2002
• “The Link Between Default and Recovery Rates” (with Edward Altman), International Conference on Risk and Stability in the Financial System: What Role for Regulators, Management and Market Discipline?", Bocconi, Milan, 13 June 2002.
• “Nothing is permanent, except change: Pricing, provisioning and Capital Allocation
after Basel II”, SUERF Workshop on “The Impact of Basel II on Competition in the Financial Industry – A European Perspective” Société Européenne de Recherches Financières, Frankfurt am Main, 3 December 2002.
• “The Impact of Basel II on Banking Institutions: some recent research Results” invited workshop for the Working Group on Developments in Banking of the European Central Bank, Frankfurt am Main, 19 March 2003.
• ”LGD estimation: what's different about banks?”, 6th Credit Risk Summit, Risk Magazine, London, October 2004.
• “Capital Requirements for Credit Risk: a robust internal ratings-based approach”, presentation at the workshop “Implementing bank-wide economic capital calculation process” organized by Risk Magazine-Incisive Media, London, June 2005 (also presented at the workshop “Integrating and Managing Economic Capital”, organized by Risk Magazine-Incisive Media, London, November 2005).
• “Credit risk capital computation under Basel II: validating the Process”, Credit Risk Summit Europe, London, October 2005.
• “Reviewing and enhancing Economic Capital Allocation – How Basel II affects the Process”, presentation at the workshop “Implementing and Managing economic capital”, organized by Risk Magazine-Incisive Media, London , June 2006.
• “What’s different about loans? An analysis of the risk structure of credit spreads” (with Andrea Sironi), presentation at the conference “Credit Risk, Distressed Debt and Corporate Restructuring”, Stern School of Business, New York University, New York, November 2006.
• “Defining and Measuring Recovery Risk”, presentation at the workshop “Recovery Risk: estimating recovery rates and modelling loss given default”, organized by Risk Magazine-Incisive Media, London, November 2006.
• “What’s different about loans? An analysis of the risk structure of credit spreads”, (with Andrea Sironi) faculty seminar, Department of Finance, ESSEC (École supérieure des sciences économiques et commerciales), Paris, February 2007.
• “Modelling downturn LGD”, presentation at the workshop “Estimating Loss Given Default (LGD) and Measuring Recovery Rates”, organized by Risk Magazine-Incisive Media, London, 27 November 2007.
• “Risk and Performance on Hedge Funds: How Well do HWNIs Understand?”, presentation a the CFA conference “Investment Strategies for Private Clients”, organized by the Chartered Financial Analysts’ Institute and by Bocconi University, Milano, April 2008.
REFEREE FOR THE FOLLOWING JOURNALS
Computational Statistics and Data Analysis
Economic Notes
European Journal of Finance
European Journal of Operational Research
International Journal of Banking Accounting and Finance
International Review of Finance
Journal of Banking and Finance
Journal of Credit Risk
Journal of Economics and Business
Journal of Empirical Finance
Journal of Financial Intermediation
Journal of Financial Stability
Journal of Money Credit and Banking
Quantitative Finance
MEDIA COVERAGE
• 1997-2004 Columnist on a regular basis for two Italian financial dailies (“Milano Finanza” and “Italia Oggi”)
• 2004-2009: About 10 interviews in the all-news channel “Rainews24” run by the state-owned Italian broadcaster RAI
• 2009-2010: Two interviews in the economics/politics talk show “Ballarò” aired by the state-owned Italian broadcaster RAI
• Other interviews for international media, such as Reuter’s European News Service and Risk Magazine.
Last change 07/07/2010