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Flavia Barsotti (April 2021 - April 2022)

Research Coordinator, Model Risk Management (ING Bank)

My research

I have been working on research both from an academic and industrial point of view during my career. During my academic professional experience, I have developed a keen interest in mathematical modelling for economic problems, mainly within the context of financial markets/quantitative finance. I then joined the banking sector to continue to build on my policy oriented background and regulatory perspective for modelling. I have worked on multiple modelling projects within the contexts of financial risks, non-financial risks and data science. I see research as key enabler to build best practices, trustworthy models and to advise on strategic decision making.

IAS Fellowship

As IAS Fellow, I plan to work on research questions related to: i) How can we build trustworthy models to support decision making and mitigate model risk? ii) How can we contribute to building a resilient framework that will protect the financial system from the risks inherent in the current environment (e.g. emerging technologies, economic outlook, systemic risk)?

The ultimate goals are: support strategic decision making and contribute to the stability of the financial system. I am planning to do it by assuming both an economic and mathematical modelling perspectives building the research projects on three main pillars: i) regulatory requirements and guidelines, ii) robust scientific methodologies, iii) data-driven risk approaches.