Lectures by prof. Orlando: Computational Finance and Credit Ratings

5 March 2019

We cordially invite you to guest lectures conducted by prof. Giuseppe Orlando. Classes will be held for two weeks, on 6.05-


1. Classes "Computational Finance (VBA)" - seminar (30h), 5 ECTS, daily 9:45-13:05

Obligatory (accelerated) course for QF students and the subject of course choice for DS, FIM, FIR, IIE, course available to ERASMUS students


Schedule of classes in the pdf file.


2. Classes "Credit Ratings" Country Risk / CCPs "- lecture (30h), 3 ECTS, daily 16:45-20:00

The subject of the course choice for all students is preparation for the GARP exam (Global Association of Risk Professionals) - part 14 https://www.garp.org/#!/frm/study-modules. The course is available to ERASMUS students


Schedule of classes in the pdf file.


Lecturer's profile:

Prof. Giuseppe Orlando, Risk consultant, Professor of Financial & Actuarial Mathematics, University of Bari – Deptartment of Economics and Finance


Highlights: More than twenty years’ working experience as practitioner (both consultant and employee) and ten as scholar. Managing and leading projects, developing new tools, analytics & metrics. Strong academic quantitative background but also able to translate complex financial products and risk management concepts, practices and processes into simple language. 

Skills: Enterprise Risk and Risk Strategy, Basel III, Solvency II, ORSA; ICAAP, Model Validation & Governance, Risk Capital, Risk Management (Liquidity, Operational, Credit/Counterparty, Market and Business Risk), Stress Testing and Back Testing, Performance Measurement (GIPS) and Analysis, Asset Allocation Optimization, Asset and Liability Management, Pricing, Stochastic Processes, Monte Carlo, New Products Design and Approval, Quantitative Research (Statistical, Econometric and Mathematical Modeling), Bayes Network and Machine Learning, Project Management, Compliance to Mandates, Equity, Bonds, FX, Derivatives, Real options, ETFs, Funds, Funds of Funds, Insurance policies, Pensions funds (both Defined-Benefit Plan Defined-Contribution Plan), CPPI, Life policies, Mortgages.

Education: Professor of Financial Mathematics, Risk and Insurance, Master in Economics, Degree/Master with distinction (110/110 summa cum laude) in Quantitative Economics

Awards & Professional Affiliations: "De Finetti" Award by the "Accademia Nazionale dei Lincei” (i.e. Italian Academy of Science), “Invernizzi” scholarship; European Mathematical Society (EMS), Italian Association of Mathematics Applied to Economics and Social Science (AMASES), Italian Association Financial Industry Risk Managers (AIFIRM), Chartered Institute for Securities & Investment 

Main companies he worked for: SEI, Arca, Mediolanum, Unicredit, Alleanza assicurazioni, Pioneer, ING, Northern Trust, StatPro, PIMCO, Allianz SE, Allianz Global Investors, IDS, State Street, Aviva, Fidelity, Invesco (Asset Management/Insurance/Banking). 

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