Lorenzo Cornalba

Lorenzo Cornalba has a diverse work experience in both the financial and academic sectors. Starting in 1999, they worked as a Postdoctoral Fellow in Theoretical Physics at various institutes including the Institute des Hautes Études Scientifiques, École normale supérieure, and the University of Amsterdam. In 2004, they became an Assistant Professor of Theoretical Physics at the University of Rome "Tor Vergata" before moving on to become a Researcher in Theoretical Physics at Università degli Studi di Milano-Bicocca in 2007.

In 2009, Lorenzo transitioned to the financial industry, joining Banca Aletti as a Quantitative Analyst in Financial Engineering. Lorenzo was responsible for modeling, implementation, and C++ programming of equity, hybrid, and interest rate proprietary models. Two years later, in 2011, they moved to Mediobanca where they held various positions. Lorenzo started as a Senior Quantitative Analyst and was in charge of developing the in-house C++ pricing library for interest rates, inflation, and credit. Lorenzo also developed an engine for calculating CVA/DVA adjustments.

In 2013, Lorenzo became the Head of Interest Rates and Credit Modeling at Mediobanca, wherein their team provided assistance on quantitative aspects to various desks, treasury groups, and ALM groups. In 2015, they transitioned to the role of Head of Market and Liquidity Risk Management, responsible for translating ALM and market risk metrics into managerial indications. Lorenzo also played a role in designing the group risk appetite framework and interacting with banking regulators. Finally, in 2020, they became the Head of Market Risk and Risk Automation, where they led and motivated a highly skilled team, focusing on relevant risk figures and effective interaction with stakeholders.

Overall, Lorenzo Cornalba's work experience showcases their expertise in theoretical physics as well as their transition and success in the financial industry, particularly in risk management and quantitative analysis.

Lorenzo Cornalba earned a Master's degree in Theoretical Physics from Massachusetts Institute of Technology (MIT) from 1990 to 1994. Lorenzo then pursued a Ph.D. in Economics at MIT from 1994 to 1995, specializing in Finance and Economic Theory. Lorenzo later obtained a Doctor of Philosophy (Ph.D.) in Theoretical Physics from Princeton University, which they completed from 1995 to 1999.