- Part of the Investment Strategy team, steering investment portfolio of Allianz in Italy- Responsible for Equity portfolio steering: researching, assessing and instructing investment strategies in the equity space- Managing and monitoring derivatives book (cross-assets): analysis of hedging strategies, execution and life-cycle management (including ISDA/CSA negotiation and legal documents) - Experience in M&A due-diligence on investment portfolios, as well as analysis, structuring… Show more - Part of the Investment Strategy team, steering investment portfolio of Allianz in Italy- Responsible for Equity portfolio steering: researching, assessing and instructing investment strategies in the equity space- Managing and monitoring derivatives book (cross-assets): analysis of hedging strategies, execution and life-cycle management (including ISDA/CSA negotiation and legal documents) - Experience in M&A due-diligence on investment portfolios, as well as analysis, structuring and pricing of debt issuances- Analysis of structured products- Responsible for strategic risks topics impacting investment portfolio Show less

- Daily analysis of Value-at-Risk and Counterparty Credit Risk- Performing pre-deal simulations, liaising with traders and sales with the aim of assessing the main risks of proposed transactions- Cross asset class experience (vanilla and exotic products)- Analysis of sensitivities to risk factors of the Bank’s trading book- Backtesting of hedging strategies discussed with trading desks and Stress Testing- IT enhancements and developments in VBA/SQL for trading desks… Show more - Daily analysis of Value-at-Risk and Counterparty Credit Risk- Performing pre-deal simulations, liaising with traders and sales with the aim of assessing the main risks of proposed transactions- Cross asset class experience (vanilla and exotic products)- Analysis of sensitivities to risk factors of the Bank’s trading book- Backtesting of hedging strategies discussed with trading desks and Stress Testing- IT enhancements and developments in VBA/SQL for trading desks reports- Drafting risk policies and methodological notes Show less

Assigned to the Market Risk area of Mediobanca- Supporting the Bank in the evolution of the Market Risk system and architecture, actively participating in Market and Counterparty Risk modelling choices, assessing the quality and soundness of models used- Quantitative and qualitative analysis of Value-at-Risk and Potential Future Exposure results on the whole range of plain vanilla and exotic products traded by the Bank, replicating and explaining figures produced by the risk… Show more Assigned to the Market Risk area of Mediobanca- Supporting the Bank in the evolution of the Market Risk system and architecture, actively participating in Market and Counterparty Risk modelling choices, assessing the quality and soundness of models used- Quantitative and qualitative analysis of Value-at-Risk and Potential Future Exposure results on the whole range of plain vanilla and exotic products traded by the Bank, replicating and explaining figures produced by the risk system Show less

Development and implementation (in Matlab and VBA) of quantitative financial models. Main projects:- development of an innovative Liability Driven Investment (LDI) strategy. Theoretical construction of the asset allocation model and validation of the analytical results obtained. Model implementation in Matlab + VBA and creation of a graphic interface used by portfolio managers for simulation purposes. Assessment of model results with portfolio managers. Preparation of technical… Show more Development and implementation (in Matlab and VBA) of quantitative financial models. Main projects:- development of an innovative Liability Driven Investment (LDI) strategy. Theoretical construction of the asset allocation model and validation of the analytical results obtained. Model implementation in Matlab + VBA and creation of a graphic interface used by portfolio managers for simulation purposes. Assessment of model results with portfolio managers. Preparation of technical documents and management presentations.- construction of an internal rating model for sovereign exposures. Scoring model based on a set of macroeconomic, public finances and market indicators. Relevance and consistency assessment of the chosen indicators. Scenario analysis. Preparation of the technical section of the internal rating policy. Show less