Project manager on the following: - development and implementation of a VaR-like margining methodology for the Fixed Income Section - extension of clearing services to non Italian repos - development and implementation of the Value at Risk for the monitoring of CC&G investment portfolio's risk- development of the methodology for the computation of haircuts on corporate bonds for MIC and X-COM SectionsOther tasks: - development, management and monitoring of methodologies for the determination of Margins and Default Funds - stress testing, back testing and sensitivity analysis on applied methodologies- monitoring of liquidity risk - pricing of Equity Derivatives (options, futures)- assessment of EMIR compliance - reporting to Internal and External Risk CommitteesPast projects: - ESMA stress testing for CCPs

- Market Risk:Bonds, derivatives and structured products pricing;Hedge Accounting (IAS 39);IFRS 13;Value at Risk and sensitivity analysis.- Counterparty Risk:CVA/DVA analysis and calculation;Basel II and Basel III requirements.- EBA stress testing- Indipendent Price Verification Framework- GIPS compliance- Managerial and Economic P&L