With an extensive experience as an advisor to major European financial institutions and supervisory authorities on risk management, capital efficiency, and advanced analytics, Mr. Fuso’s expertise is particularly focused on credit risk measurement and management.

Mr. Fuso is an expert in the development and validation of credit risk models (probability default, loss given default, and credit conversion factor) for internal ratings-based (IRB) and IFRS 9 purposes. With extensive experience in strategic steering and methodological advisory throughout the entire IRB program life cycle, he has developed credit risk decisioning models using innovative data and machine learning techniques to support banks’ digital lending value propositions.

Mr. Fuso has been instrumental in conducting risk-weighted asset (RWA) optimization programs, as well as asset quality reviews and stress testing programs. He has also contributed to the design of credit risk appetite frameworks, the development of credit portfolio models for Pillar 2 capital adequacy assessment (ICAAP), and the integration of climate risk into credit risk models. His areas of expertise include credit risk management, IRB and IFRS 9 programs, capital efficiency, credit decisioning models, data, advanced analytics and AI, ICAAP and Pillar 2 risk types, climate risk, stress testing, and asset quality review.

Prior to joining A&M, Mr. Fuso worked at Deloitte Consulting and Oliver Wyman, where he was responsible for the EMEA content platform on IRB systems and for the Data & Analytics team in Italy.

Mr. Fuso earned a bachelor’s degree in economics from the Bocconi University of Milan with the highest grade (110/110 cum laude).