Silvia Mongelluzzo, the Statistician in a Bank

She has always considered research as a way to solve practical problems. Today, Silvia Mongelluzzo, nine years at the Bocconi University counting both the degree in Economic and Social Disciplines (DES) and the PhD in Statistics, is Capital Model Manager at Barclays in London. She works at the operational risk quantification: losses due to human errors, frauds, procedural dysfunctions. Her assessments end up in the annual report and influence the decision making process. "Every bank has its own way to measure operative risks", she says. "The doctorate gave me the large set of statistical tools essential to be an innovator". Mongelluzzo has always been attracted by applied research. At least since when, two years into her doctorate, she is offered an internship at Novartis, in Basel. After eighteen months at the statistics division of the European Central Bank, she completes her PhD and starts working as a quantitative operational risk modeler at KPMG in Milan.

"In the industry, all research must be aimed at an application and I appreciate it: it's exciting to look for solutions to practical problems, answer so many small concrete needs, communicate technical issues to colleagues with a different background". Mongelluzzo keeps publishing papers, the latest being "Weighted Likelihood Estimator for Operational Risk Data". Published by the Journal of Operational Risk and co-authored with her former colleagues at KPMG Andrea Colombo e Alessandro Lazzarini, it proposes a robust alternative to standard estimators that suffer for instability due to the presence of isolated data. "Publishing means sharing innovative solutions to tangible problems".