Alberto Pambira, Phd Email & Phone Number

United Kingdom

London, England, United Kingdom

• Design, maintain, review and improve the models and tools used for the Bank risk management and portfolio allocation (e.g. to calculate or assess the adequacy of the Bank’s collateral haircuts, to support the asset allocation decisions on the foreign currency reserves etc.). • Lead policy-related research projects which are pertinent to risk management and monetary policy • I manage a team of three resources.

London, United Kingdom

• Reviewed systemic banks’ regulatory capital, internal models and risk measurement frameworks. • Provided quantitive support to the Bank’s Policy and Supervision functions to identify and assess any material risk measurement or regulatory capital inadequacies.

• Led and contributed to the Counterparty Credit Risk proposition for our Firm (risk factor Monte Carlo modelling and simulation aspects, governance, Basel II/III, CVA, derivatives valuation and model validation, collateral modelling and management, ad hoc training). • Led a model validation of a large tier 1 bank’s counterparty credit risk internal models • Contributed to developing and structuring a large tier 1 bank’s auditing testing plan.

London, United Kingdom

• Assessed counterparty risk of the OTC exotic derivatives (across all asset classes) using Monte Carlo and VaR-type approaches and produced and analysed relevant risk metrics (PFE, IM, CVA etc.) • Ad hoc portfolio incremental analysis, back-testing, wrong-way-risk and liquidity analysis, RWA and Regulatory Capital calculations for Basel II/III, month-end portfolio adjustments, internal model validation and other impact analyses, CVA calculation. • Model development. •… Show more • Assessed counterparty risk of the OTC exotic derivatives (across all asset classes) using Monte Carlo and VaR-type approaches and produced and analysed relevant risk metrics (PFE, IM, CVA etc.) • Ad hoc portfolio incremental analysis, back-testing, wrong-way-risk and liquidity analysis, RWA and Regulatory Capital calculations for Basel II/III, month-end portfolio adjustments, internal model validation and other impact analyses, CVA calculation. • Model development. • Liaison with Front Office traders, Credit Officers, Sales, Senior Management. Show less

London, United Kingdom

• Counterparty credit risk and Market risk model development across all asset classes • Evaluation of key risk measures (PFE, EPE, EE, RWA etc.). • Led liaison with technology and project management for implementation of key modelling projects

• Designing, development and implementation of analytical library in C# for real-time pricing of vanilla and exotic interest rate and FX products • Extensive liaison with the traders.

• Led the submission and peer-review process for the technical articles in a wide range of topics (Credit Derivatives, Equity Options, Credit Portfolio Management, Interest Rates, etc.) for Risk Magazine and other related publications ensuring the highest standards were maintained. • Developed a broad network of financial experts from the academic, practitioner and regulatory arenas.

Co-ordination of corporate IT support, both in Italian and English language.

Phd, Mathematics

Activities and Societies: Chess, Sports, Music Title of my thesis: Harmonic maps and morphisms in semi-Riemannian and complex-Riemannian.

Laurea, Mathematics

First class degree (cum laude)

Diploma, Mathematics, Physics, Latin Etc., 56/60