Danilo Delgado, Cqf Email & Phone Number

Paris, Fr

Paris, Île-De-France, France

Client: ENGIE GEMSEstablished a daily routine to evaluate liquidity risk for the margined transactions portfolio. Developed forecasting models and data pipelines for key indicators, stress testing, optimal hedging policies, and cost allocation. Contributed to improved liquidity risk management and enhanced trading strategies (gas, power, oil, emissions).

Geneva, Switzerland

Established a systematic trading and options desk focused on sugar, biofuels, and oil products. Implemented AI-driven pairs trading models for spreads and developed proxy hedge models for ethanol and carbon credit markets. Structured credit products for sugar and ethanol, modeled real options valuation, and managed collateral in physical trading contracts. Designed pricing and hedging strategies for clean petroleum products across Brazil, Argentina, and Paraguay. Oversaw client relationships and trade execution with brokers.

Geneva, Switzerland

Implemented a new ETRM system for agriculture and energy products. Developed risk exposure reports to improve risk management, established strong financial controls for trading reconciliation and P&L reporting, and managed the annual financial reporting process with the controller and external auditors.

London, England, United Kingdom

Provided expert services to Credit Suisse, Acadia, and UBS in quantitative risk management of derivatives products. Conducted detailed analyses aligned with regulatory frameworks like Basel III and FED-CCAR. Developed comprehensive reviews of structured product models, including validation and sensitivity analysis, and critically reviewed forecasting models for cash flows and defaults. Analyzed a variety of products, including cash, derivatives, and structured products. Supported client pitches and implemented XVA pricing tools for OTC derivatives. Created Python and C++ wrappers for open-source financial libraries such as Quantlib and Open-source Risk Engine.

Rio De Janeiro

Established the new Pricing Division at Bank of Communications BBM, implementing automated real-time calculations for various financial metrics, including curves, sensitivities, and scenario simulations. Managed a range of assets, such as government and corporate bonds, vanilla options, credit default swaps, interest rate and inflation swaps, and non-deliverable FX forwards. Developed strong statistical validation mechanisms to ensure data quality and monitor price fluctuations.

Rio De Janeiro

Designed and deployed a new data service for fixed income and credit research, providing government and corporate bonds quotes for pricing and risk analytics. Risk analytics metrics included bonds yields, sensitivities, historical volatility and volatility surfaces of sovereign curves. Clients included large banks, hedge funds and institutional investors.

Rio De Janeiro, Brazil

Created forecasting models on the Brazilian economy. Presented scenarios and analysis on macroeconomic trends and economic policy developments to clients and to the specialised media (Bloomberg News, The Associated Press). Developed automated forecasting routines and tracked market trends. Built and maintained economic datasets.

Rio De Janeiro

Developed forecasting models for economic growth, inflation, and interest rates on the United States, Chile, Mexico, Japan and Canada economies. Built and maintained macroeconomic models, and presented economic views to internal clients.

Washington D.C. Metro Area

Served as a research assistant in the Office of the Chief Economist for Latin America and the Caribbean in the World Bank headquarters. Reporting to the Deputy Chief Economist. Developed research papers and World Bank flagship publications on the labour market, banking credit, international trade, capital flows, macro-prudential policies, productivity, growth, and development. Contributed to the following publications: “Economic Mobility and the Rise of the Latin American Middle Class” and “Latin America and the Caribbean as Tailwinds Recede: In Search of Higher Growth”.

Certificate In Quantitative Finance

Master Of Science, Economics

Bachelor Of Science, Economics