Maurizio Garro, Senior Lead for the IBOR Transition programme, Lloyds Banking Group
Maurizio Garro works as a Senior Lead for the IBOR Transition programme at Lloyds Banking Group, where he is leading the delivery of the changes required for models, curves and products for the transition to the alternative risk-free rates for the Front and Back book. His background is in quantitative risk management, Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing.
He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 15 years.
Maurizio is a frequent speaker on various topics in risk management, a member of the Institute of Internal Auditor and the Director of the Global Association of Risk Professional (GARP) London Chapter.
Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management (FRM) from GARP.
Model risk is a relatively new area which only recently evolved as a separate area from operational risk. The work published by the Federal Reserve first and the European Baking Authority and Bank of England later has helped to establish the foundations for a model risk framework. The real challenge for model risk is to evolve from a pure cost to a value-added area for the financial institutions. This journey requires the application of many elements including a consistent model definition and performance monitoring of model risk in line with the risk appetite and business model of the financial institutions. The final step is to identify a coherent and clear way to aggregate and report model risk to allow the senior management to fully understand it in detail and integrate it in the broader risk management strategy.
