Francesca Castelli

Francesca Castelli is a quantitative risk modeling professional with over ten years of experience in developing models for regulatory compliance and business strategy. They have served as a teaching assistant at the University of Bologna and worked as a research assistant at Northwestern University, focusing on realized volatility modeling. At the Congressional Budget Office, they led financial modeling projects, including a loss forecast model for mortgage portfolios. Francesca held leadership roles at UBS, culminating in their current position as Head of IB rating, LGD, and CCF in Credit Methodology, where they oversee a team of modelers and engage with regulators to ensure compliance with various financial standards. They hold an M.A. in Mathematics of Finance from Columbia University and a PhD in Statistics from the University of Bologna.