Attilio Meucci

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

Attilio Meucci addresses his annual ARPM Quant Bootcamp

Main results

Attilio Meucci's innovations include

  • The "Checklist"[1] (10 steps perform quantitative risk and portfolio management across asset management, banking, and insurance);
  • Entropy pooling[2] (a portfolio construction technique for processing fully general types of signals);
  • Factors on demand[3] (on-the-fly factor models for optimal hedging);
  • Effective number of bets[4] (entropy-eigenvalue statistic for diversification management);
  • Flexible probabilities[5] (technique for on-the-fly stress-test and estimation without re-pricing);
  • Copula-marginal algorithm[6] (an algorithm to generate panic copulas for distributional stress-testing);
  • Liquidity conditional convolution[7] (a technique to generate liquidity- and funding-risk adjusted portfolio distribution);
  • Flexible Bayesian networks[8] (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.[9]

Previously, Attilio was the chief risk officer at KKR; 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.

gollark: What? I'm pretty sure that `x` (the parameter to your function) is always you.
gollark: ... wait, does it have an integer cache like python? Hmm...
gollark: I think chez scheme actually compiles it, so there's likely no meddling with interpreter data structures as you could maybe in python.
gollark: Interesting.
gollark: I thought of something like that, but you need to return to the actual game logic higher up the stack as you don't have the other participants' code.

References
  1. Meucci, Attilio (2011), ""The Prayer": Ten Steps of Advanced Risk and Portfolio Management", GARP Risk Professional, 4: 54–60
  2. Meucci, Attilio (2008), "Fully Flexible Views: Theory and Practice", Risk, 21 (10): 97–102
  3. Meucci, Attilio (2010), "Factors on Demand", Risk, 23 (7): 84–89
  4. Meucci, Attilio (2009), "Managing Diversification", Risk, 22 (5): 74–79
  5. Meucci, Attilio (2010), "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities", GARP Risk Professional, 3 (6): 47–51, SSRN 1696802
  6. Meucci, Attilio (2011), "A New Breed of Copulas for Risk and Portfolio Management", Risk, 24 (9): 122–126
  7. Meucci, Attilio (2012), "A Fully Integrated Liquidity and Market Risk Model", Financial Analyst Journal, 68 (6): 94–105, doi:10.2469/faj.v68.n6.6
  8. Meucci, Attilio (2012), "Stress-Testing with Fully Flexible Causal Inputs", Risk, 25 (4): 63–67
  9. 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.
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