Leonardo Salvagnini

Senior Technical Specialist @Bank of England

London, GB

Senior Technical Specialist at the Prudential Regulation Authority, responsible for the development, maintenance, and enhancement of the Bank of England\'s wholesale credit stress-testing methodology. This role involves close collaboration with wholesale credit risk and risk capital specialists within the Supervisory Risk Specialists Directorate, as well as supervisors, to ensure the appropriateness and effectiveness of the stress testing methodology. Key responsibilities include: Model maintenance and implementation. Ongoing review and refinement of model methodology in accordance with internal quality assurance standards. Implementation of model execution code using R and MatLab. Contribution to defining data requirements for the annual stress test process. Analysis of firms\' stress testing methodologies. Additionally, the role involves analysis of firms\' practices under IFRS 9, focusing on methodology and implementation, examining the framework\'s interaction with the stress testing process, and defining data requirements to monitor firms\' adoption of IFRS 9.