Flavio Russo, Ph.D Email & Phone Number

Rome, Latium, Italy

Strategic Plan:▪ Group capital allocation, sales strategies, and discounted cash flow optimization models▪ long-term electricity demand and prices estimation using statistical/machine learning and fundamental models▪ long-term trends in electrification and energy efficiency through energy system models▪ FX positioning stochastic optimization model to support capital allocationInvestment approval:▪ risk/return scores to measure the marginal contribution of each investment to the current Group portfolio in terms of electricity generation and FX exposure▪ alternative energy scenarios to enable integrated risk analysis and to challenge valuation assumptionsTeam and project management:▪ Lead 10 quantitative analysts both in Europe and in LatAm▪ Develop analytics for Group scenario and valuation analysis▪ Modeling stream leader for energy transition roadmaps

Rome, Latium, Italy

- Valuations of commodity derivatives and physical contracts, structured products and PPA;- Industrial and retail portfolios risk valuations;- Sales campaigns risk premium calculation (50 TWh);- Stochastic modelling of more than 40 risk variables (commodity, FX, …);- Product Owner of onerisk, system to perform risk analysis in the business line.

Rome, Latium, Italy

Modeling and Pricing.- Development of quantitative models to define hedging strategy and to measure the risk of global and local portfolios (+10 countries);- Valuation of Power Purchase Agreements, Virtual Power Plants;- Product owner of onerisk, system to perform risk analysis in the business line;- Research and development activities in collaboration with universities.

Rome, Latium, Italy

Global Trading Business Line- Definition of KPIs and digital classification (~20 projects, 100 € mln CAPEX);- Support to the definition of the digital strategy and Digital Ambassador.

Rome, Latium, Italy

- Implementation of EU Directive on the activities and supervision of institutions for occupational retirement provision (IORP II);- Financial risk assessment and mitigation (ALM, liquidity, credit, counterparty …);- Environment, social and governance (ESG) factors associated with investments.

Rome Area, Italy

Quantitative finance and derivatives. Financial and actuarial sciences.

Rome Area, Italy

Financial Risk Management- Definition and management of risk governance (policies, limits, EMIR, AFC 2.0);- Coordination of risk reporting at group and local level (5 areas, +20 countries);- Definition of IR and FX models (50 billion € under management in +10 currencies);- Counterparty risk and CVA measurement (8 billion € of exposure with +100 companies);- Liquidity risk measurement.

Rome Area, Italy

Financial Mathematics Department- Matlab based application for financial risk management;- Quantitative Finance.

Madrid Area, Spain

Financial Risk Management- Financial risk monitoring and IR and FX derivatives fair value calculation;- Development of CVA/DVA (IFRS 13) calculation methodology;- One Company Project: allocation of responsibilities between holding and divisions, redesign group and local processes and policies, change management.

Rome Area, Italy

Financial Risk Management- Start-up of financial risk management unit (market, counterparty, liquidity and operational)- Definition of financial risk metrics (VaR, Cash Flow at Risk, CVA ...).

Rome Area, Italy

Financial Planning & Risk Management- Pricing of IR and FX derivatives- MATLAB and VBA developer, Excel Automation, Murex Implementation.

Rome Area, Italy

Quantitative Finance (Master in Finance and Insurance)An introduction to VBA

Luxembourg

Investment Management TeamDevelopment of a market timing tool to buy/sell equities (S&P500)

Doctor Of Philosophy - Phd, Financial Mathematics

Thesis: "Commodity Risk Management: a Two-Factor Model with Long-Term Dependency"

Master In International Finance, Economics

Activities and Societies: Head of the winning team in the Bank Game.Modules delivered by IFBL (Institut de Formation Bancaire Luxembourg):

Erasmus, Economics

Activities and Societies: - Poker Societies.

Msc, Quantitative Finance, 110/110 Cum Laude

Activities and Societies: -Collaboration with Mathematics DepartmentThesis in "Synthetic CDO: pricing, delta-gamma hedging and VBA.

Bsc, Economics, 110/110 Cum Laude