Attilio Meucci
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Attilio Meucci is a statistician and financial engineer, specialized in quantitative risk management and quantitative portfolio management.
Main results
Attilio Meucci's innovations include
- Entropy pooling[1] (a portfolio construction technique for processing fully general types of signals);
- Factors on demand[2] (on-the-fly factor models for optimal hedging);
- Effective number of bets[3] (entropy-eigenvalue statistic for diversification management);
- Flexible probabilities[4] (technique for on-the-fly stress-test and estimation without re-pricing);
- Copula-marginal algorithm[5] (an algorithm to generate panic copulas for distributional stress-testing);
- Liquidity conditional convolution[6] (a technique to generate liquidity- and funding-risk adjusted portfolio distribution);
- Flexible Bayesian networks[7] (a methodology to specify parsimonious causal relationships among risk factors in the market).
Education
Attilio Meucci earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA chartholder.
Current and past affiliations
Attilio is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day Advanced Risk and Portfolio Management Bootcamp (ARPM Bootcamp), and manages the charity One More Reason.[8]
Attilio Meucci is the chief risk officer at KKR.
Previously, Attilio was the chief risk officer and head of portfolio construction at Kepos Capital LP.; head of research at Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm.
Concurrently, he taught at NYU-Courant, Columbia-IEOR, Baruch College-CUNY, and Bocconi University.
References
- ^ Meucci, Attilio (2008), "Fully Flexible Views: Theory and Practice", Risk, 21 (10): 97–102
- ^ Meucci, Attilio (2010), "Factors on Demand", Risk, 23 (7): 84–89
- ^ Meucci, Attilio (2009), "Managing Diversification", Risk, 22 (5): 74–79
- ^ Meucci, Attilio (2010), "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities", GARP Risk Professional, 3 (6): 47–51
- ^ Meucci, Attilio (2011), "A New Breed of Copulas for Risk and Portfolio Management", Risk, 24 (9): 122–126
- ^ Meucci, Attilio (2012), "A Fully Integrated Liquidity and Market Risk Model", Financial Analyst Journal, 68 (6): 94–105
- ^ Meucci, Attilio (2012), "Stress-Testing with Fully Flexible Causal Inputs", Risk, 25 (4): 63–67
- ^ Grayce West, Melanie. "Bringing Charities To the Money". The Wall Street Journal. 15 August 2012. Retrieved 12 February 2013.
- Attilio Meucci (2005). Risk and Asset Allocation (1 ed.). Springer. ISBN 978-3642009648.
- Attilio Meucci, “The Prayer”: Ten Steps of Advanced Risk and Portfolio Management[permanent dead link], GARP RP, 4, 54–60 (2011)