Silvana Pesenti

Silvana Pesenti

Department of Statistical Sciences, University of Toronto

Silvana received the 2022 Rising Star in Quant Finance by for the research paper Portfolio Optimisation within a Wasserstein Ball. She received the 2020 Peter Clark Best Paper Prize for her research paper Reverse Sensitivity Testing: what does it take to break the model?, from the Institute and Faculty of Actuaries (IFoA). In 2019, Silvana was awarded the Dorothy Shoichet Women Faculty Science Award of Excellence.

I am the maintainer and author of the R package Scenario Weights for Importance Measurements (SWIM) available on CRAN. SWIM is an efficient stress testing analysis approach for stochastic models based on Monte Carlo samples.

  • Dependence uncertainty
  • Sensitivity analysis for risk management
  • Stress testing and reverse stress testing
  • Risk assessment of natural catastrophes
  • PhD in Actuarial Science, 2018

    Bayes Business School