Matteo Barbagli

Matteo Barbagli is a PhD Researcher in Quantitative Finance within the Louvain Finance (LFIN) research centre, part of the Louvain Institute for Data Analysis and Modeling in economics and statistics (LIDAM), within the Université catholique de Louvain (UCLouvain). Moreover, he is Teaching Assistant at the Louvain School of Management within the Accounting and Finance department (AFIN). He has been working for the UCLouvain since September 2017.

In June 2017, he obtained a M.Sc. in Business Engineering from the Louvain School of Management with a major in Asset Management and Risk Management. Matteo ranked as the 2° best student (out of more than 200) of the entire M.Sc. in Business Engineering of the class of 2016-2017. His Master’s Thesis was completed in collaboration with BNP Paribas Corporate and Institutional Banking (CIB) and dealt with assessing the impact of the latest regulatory developments on the risk-weighted asset (RWA) figures of a specific bank credit portfolio. During this master’s degree, he was selected for an exchange program with Bocconi University and granted access to the courses from the prestigious Bocconi M.Sc. in Finance, e.g. Quantitative Finance and Derivatives Module 1, Financial Econometrics and Empirical Finance Module 1, Credit Risk Management, Structured Finance and Project Finance. In June 2015, he obtained an B.Sc. in Business Engineering from the UCLouvain.

His fields of research are Credit Risk Modelling and Quantitative Finance. He is currently involved in projects modelling (1) multi-factor and (2) non-Gaussian copulas extensions to the asymptotic single-factor risk model (ASFR). The ASRF being the current mathematical model underlying the Basel regulatory formulas used by global systemically important banks to compute their credit RWA figures.

Degrees