Francesco Saita

Curriculum Vitae

Francesco Saita is SDA Professor of Banking and Insurance at SDA Bocconi School of Management. He is Full professor of Financial Markets and Institutions and Director of the BAFFI CAREFIN Centre for Applied Research on International Markets, Banking, Finance and Regulation.

At Bocconi University, he has been the Dean of the Graduate School at Bocconi University (2010-2014), Director of the Department of Finance (2007-2010) and Director of the M.Sc. in Finance (2004-2007).Currently in charge of Quantitative Finance and Derivatives 2 (graduate level) in the M.Sc. in Finance. He has coordinated training projects for financial institutions and regulatory authorities.

His research activities focus on five main topics: risk management and capital allocation in banks; derivatives; risk management for asset managers; financial management of insurance companies; and financial education.

He has published papers on national and international academic journals, including Financial Management, Journal of Banking and Finance, European Financial Management and Journal of Asset Management, among others. He has published with Elsevier Academic Press the monograph “Value at Risk and Bank Risk Management” (2007) that has also been translated into Chinese (2012, by Elsevier Singapore). In 1994-95 he has been a Visiting Scholar at the Salomon Center for Financial Institutions at Stern School of Business (New York). He is a member of the Scientific Committees of the “Fondazione per l’Educazione Finanziaria e al Risparmio” (Foundation for Financial and Savings Education) and of the Italian Association of Financial Industry Risk Management. He has been and still is an independent board member of a listed Italian bank.

Francesco earned a Degree in Business Administration from Bocconi University.

Publications

Books

• "Risk Adjusted Performance Measurement under Model Risk", in M.Ong (a cura di), Managing and Measuring Capital, Risk Publications, London, 2012
• "Principles of Risk Aggregation", in A.Resti (ed.), Pillar II in the New Basel Accordo. The Challenge of Economic Capital", Risk Publications, London, 2009
• “Value at Risk and Bank Capital Management. Risk-Adjusted Performances, Capital Management and Capital Allocation Decision Making”, Elsevier Academic Press, Advanced Finance Series, Burlington, MA, 2007
• “Rating interni e controllo del rischio di credito”, (edited by G.De Laurentis, F.Saita, A.Sironi), Bancaria Editrice, 2004
• “Measuring Risk-Adjusted Performances for Credit Risk”, in G.De Laurentis (ed.), “Performance Measurement Frontiers in Banking and Finance”, EGEA, 2004
• “Gestione del capitale e creazione di valore nella banca”, (edited by A.Sironi and F.Saita), Edibank, 2002
• “Il Risk Management in banca. Performance corrette per il rischio e allocazione del capitale”, Egea, Milano, 2000

Articles

• "Pricing Multiasset Equity Options: How Relevant is the Dependence Function?", (con M. Bedendo, F. Campolongo, E. Joossens), in Journal of Banking and Finance, 2010
• “Risk Measurement for Asset Managers: a Test of Relative VaR”, (with D.Maspero), in Journal of Asset Management, n. 5, vol. 5, 2005
• "Banks´ Market Risk Management and Capital Regulation: A Critical Assessment" (with A.Sironi), in E.Lyn, G.Papaioannou, Financial Services in the Evolving Global Marketplace, Hofstra University, Hempstead, 2002
• “L’asset liability management nelle imprese di assicurazione sulla vita”, (with I.Bozzano, G.Corvino, P.Mariani, R.Roberti), in Quaderni ISVAP, n. 12, 2001
• “Allocation of risk capital in Financial Institutions”, in Financial Management, Autumn 1999