Daniele Di Giulio Email & Phone Number

Rome, It

Line of Service: Financial Risk ManagementRisk management projects within the banking and financial services industry focused on the following main topics and activities: • IFRS 9 regulation conversion programs and IFRS 9 Impairment models activities: design, development, fine tuning, internal validation and support in audit controls of new Loan Loss Provisions methodological frameworks and related lifetime and forward looking PD, LGD, EAD and Expected Credit Loss models and stage allocation criteria, IFRS 9 impact simulation on provisions and capital.• Development and internal validation of credit risk parameters estimate models for AIRB purposes, including assessment and definition of methodologies and gap analysis with Basel regulation.• Internal Audit on credit risk measurement methodologies based on the Basel regulatory framework and EBA guidelines.• Asset Quality Review activities related to Challenger Model development. • Early warning models development for credit monitoring purposes. • Credit quality and loan loss provisions adequacy analysis and internal controls framework definition.• Credit risk parameters models and credit strategies decision models business requirements definition and related functional analysis, credit processes mapping and analysis and credit risk architecture design.• Risk models methodological soundness validation.• Development in SAS of a model aimed at evaluating the reinsurance contracts benefits in Value at Risk (VaR) estimation.

Rome, Latium, Italy

“Professore a contratto” / teaching assistant / lecturer at “Luiss Guido Carli” University in Rome in the following courses: - course of Financial Markets and Financial Intermediaries Economics in the bachelor’s degree program (since March 2020);- courses of Risk Management in the Master’s degree program in Corporate Finance held entirely in English, in the Masters in Corporate Finance & Banking and in the Master in Scienze Economiche e Bancarie Europee (since September 2018).

Viterbo Area, Italy

“Professore a contratto” / teaching assistant / lecturer at University of Viterbo "La Tuscia" (Department: "Dipartimento di Economia e Impresa") in the course of Risk Management. The main topics of my lessons was the following: credit risk regulation, Basel banking regulatory framework, internal rating based methods, credit risk parameters estimate models development and validation and credit risk mitigation techniques, stress testing models and Internal Capital Adequacy Assessment Process (ICAAP).

Risk and Finance consultancy of Reply Group operating within the Financial Services Industry.Main activities:• Rating systems design, functional analysis and requirements definition in credit risk models development and implementation activities.• Feasibility study for internal models adoption on credit and operational risk capital requirements calculation. • Reporting model development on credit monitoring.• Development, management and coordination of "Avantage Reply Observatory" on banking system soundness, with benchmark analysis for banks about: banks’ capital composition, risk weighted assets and capital adequacy; capital requirements on credit, counterparty, market and operational risk; credit quality and risk indicators, non-performing loans and coverage ratios, cost of risk and balance indicators.

Service area: Finance&Risk - Financial Services IndustryMain activities:• Project management activity related to the "Basel 2" Internal Rating Based (IRB) models validation plan.• Credit risk parameters models and processes activities, elaboration and development of credit risk stress testing models. • Liquidity risk monitoring and banking risk indicators construction and evaluation.

Economic Research DepartmentMain activities:• Econometric modelling and forecasting, on-going trends and structural issues analysis on the international macroeconomic scenario, the monetary and financial markets and the balance sheets and profit and loss accounts of Italian and European banks.• Development, update and use of the Econometric Model of the Italian Banking Association.• Studies, research, analysis and periodical publications on banks and banking system, financial markets, Italian and international economy.• Elaboration and management of ABI Financial Outlook and ABI Monthly Outlook reports.• Macroeconomic stress testing on the Italian banking system, within the ABI Pillar 2 project.• Macroeconomic impact assessment of “Basel 3” changes in the banking regulatory framework, in collaboration with the European Banking Federation working group.

Italian Clearing House, Central Counterparty of Borsa Italiana.Risk Management DepartmentMain activities:• Development and application of stress testing models on stock, bond and derivative markets.• Pricing of derivative instruments and determination of daily settlement prices.• Statistical methodologies for calculating margins on stock, bond and derivative positions and covering counterparty risk; intraday margin calls; historical and implied volatilities calculation.

Master Di 2° Livello, Economics (“Ecomomia E Istituzioni”), 110/110 Cum Laude

Fields of specialization: Monetary and Financial Economics, Econometrics, Quantitative Methods for Economics and Finance.

Laurea Specialistica, Economia Dei Mercati E Degli Intermediari Finanziari, 110/110 Cum Laude With "Special Mention" For Excellence

Indirizzo: “Mercati Finanziari e Finanza Quantitativa”. Dissertation titled "Politica Monetaria e Dinamica del Mercato Azionario: Teoria e.

Laurea Di 1° Livello, Economia Europea, 110/110 Cum Laude

Dissertation titled "La Crescita Economica in Europa: Ritardi e Opportunità".