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.

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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