Giacomo Camba

Senior Risk Modeler @Prometeia

Bologna, IT

Development and calibration of A-IRB Models for a top-tier Italian bank: Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD/CCF) models.Regulatory Compliance: Ensuring the models meet regulatory requirements and obtaining approval from supervisory authorities.EBA Stress test for a top-tier Italian bank: Scenario Analysis, Classifying credit exposures into different stages (Stage 1, Stage 2, Stage 3), Estimation of Expected Credit Losses (ECL), Estimation of RWAs, Impact assessment on the Tier 1 ratio, Documentation and Reporting.Internal Climate Stress Test for IFRS9: Development of PD models improved of climate risk proxies under several adverse scenarios and computing of delta PD w.r.t. baseline scenario.