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Andrea Bertagna
Andrea Bertagna is a quantitative analyst at UniCredit, where he takes due care of the development and maintenance of the XVA platform and of market risk internal models. He started as a model validator in 2006 and was exposed to all sorts of financial risk topics since then. He holds a Master in Theoretical Physics.
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Articles by Andrea Bertagna
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.