Lecturer in Statistics (BSc)

Teaching:- Machine Learning (BSc)- Data Science Methods (PhD)- Advanced Statistics (BSc)- Introduction to Python programming (BSc)Teaching Assistant:- Big Data Analysis (MSc)

Research on CNN application

Instructor of Coding in Python

Teaching:- OFA (BSc)Laboratory:- From Data to Knowledge (MSc)

I worked in Risk Advanced Analytics, focusing on both Regulatory framework and Business-related process. My expertise led me to work on:- RWA optimization- PD forecast modelling- Full coverage of Stress Test process- End-to-end implementation of tools with Machine Learning techniques as: > Credit Scoring > Collection Performance Improvement > Decision-making Engines

I worked as a senior resource for two big Italian insurance clients in the Solvency II pre-application process dealing with Validation of internal models. I was responsible of the following quantitative tasks:- full independent reperforming of economic models used for Market and Credit Risks, with additional and innovative validation analysis (such as PCA),- implementation of asset and liabilities replication models (such as polynomial fitting, Kriging and Artificial Neural… Show more I worked as a senior resource for two big Italian insurance clients in the Solvency II pre-application process dealing with Validation of internal models. I was responsible of the following quantitative tasks:- full independent reperforming of economic models used for Market and Credit Risks, with additional and innovative validation analysis (such as PCA),- implementation of asset and liabilities replication models (such as polynomial fitting, Kriging and Artificial Neural Networks),- full replication of aggregation models with development of MatLab tool able to estimate Value At Risk using a data driven approach, allowing to choose each asset/liability distribution and their overall dependence structure by the means of different Copulas,- development and MatLab/R programming of an Economic Scenario Generator, used to create stochastic scenarios for some risk factors (Interest Rates, Inflation, Equity, Property)- research and development for innovative computational techniques such as cloud and parallel computing, machine learning and data science. Show less