Antonio Castagna Email & Phone Number

Job Experience2 years in the Financial Control Department in IMI Bank Lux,7 years in the FX option desk in Banca IMI Milan: I started up the desk from scratch developed internal software to price and hedge the book, helped the quant department to develop proprietary models for exotic derivatives. I was head of the desk and market-maker for plain vanilla and exotic options on major currencies.1.5 years equity derivatives desk in Banca Profilo: started up and run a book of equity derivatives. From 2008 my broad expertise and strong skills in the working of financial derivatives market and the pricing and the risk management of sophisticated products, are available via the network Iason ltd.Current Works:Stress Testing Methodologies: Satellite Models for Credit, Liquidity, Funding, NIIM and PPNR.Collateral Management, ALM, transfer pricing, bank organisation. Developing applications for Stress Testing and Collateral Management.New frontiersCollateral management at light speed: computing initial&variation margins + collateral optimisation in real time. Specialties: Correct modern derivative pricing. Bank risk managament.

Listed skills include Derivatives, Financial Markets, Interest Rate Derivatives, Equity Derivatives, and 43 others.

• 

  Luiss Guido Carli University

  Economics