Credit Risk Management Essentials

Pasquale Cirillo currently serves as Professor of Data Science at ZHAW School of Management and Law, following his role as Associate Professor at TU Delft from 2012 to 2020. After earning his PhD in Statistics from Bocconi University and Habilitation in Applied Statistics from the University of Bern, he has established himself as a leading authority in risk modeling and financial mathematics. His research focuses on risk analysis, particularly tail risk, quantitative risk management, and machine learning applications. He has received multiple prestigious awards, including Marie Skłodowska-Curie Actions grants and a DIZH Fellowship. His work has significantly influenced the field of risk analysis, with notable publications in Pattern Recognition and the International Journal of Forecasting. Beyond academia, he maintains an active role as a statistical consultant for international institutions, banks, and insurance companies. His teaching portfolio spans both technical and applied courses, including Machine Learning, Data Analysis, and Applied Forecasting, reflecting his commitment to bridging theoretical knowledge with practical applications in risk management and data science

Fang Fang serves as a part-time Assistant Professor at TU Delft's Department of Applied Mathematics while maintaining an active role in the financial industry. After earning her PhD in Computational Finance from TU Delft in 2010, she developed the groundbreaking "COS method," which has become a widely adopted standard in the field with over 800 citations. Her research focuses on quantitative finance, particularly the fast calculation of portfolio-level financial risks, efficient numerical methods for derivative pricing, and machine learning applications in time series prediction. Since 2009, she has worked as a quantitative analyst in the banking sector, developing and validating risk models and derivative pricing models. In 2021, she returned to academia part-time at TU Delft, where she teaches undergraduate and graduate courses while supervising MSc theses. Her work bridges theoretical mathematics with practical applications in financial risk management, combining academic rigor with industry expertise.