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Attilio Meucci

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Name
  
Attilio Meucci

Education
  
University of Milan

Books
  
Risk and asset allocation


Attilio Meucci wwwkkrcomsitesdefaultfilesAttilioMeucciKKR

Advanced risk and portfolio management arpm bootcamp by attilio meucci symmys


Attilio Meucci is a statistician and financial engineer, who specializes in quantitative risk management and quantitative portfolio management.

Contents

Attilio Meucci SYMMYS and KKR Find Practical Quantitative Solutions to Problems in

Main results

Attilio Meucci Bringing Charities To the Money WSJ

Attilio Meucci's innovations include

Attilio Meucci SYMMYS and KKR Find Practical Quantitative Solutions to Problems in

  • Entropy pooling (a portfolio construction technique for processing fully general types of signals);
  • Factors on demand (on-the-fly factor models for optimal hedging);
  • Effective number of bets (entropy-eigenvalue statistic for diversification management);
  • Flexible probabilities (technique for on-the-fly stress-test and estimation without re-pricing);
  • Copula-marginal algorithm (an algorithm to generate panic copulas for distributional stress-testing);
  • Liquidity conditional convolution (a technique to generate liquidity- and funding-risk adjusted portfolio distribution);
  • Flexible Bayesian networks (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 ARPM, 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.
    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

    Attilio Meucci Wikipedia
    (Text) CC BY-SA