Pedro Calmanowitz Carvalho, Frm, Cga Email & Phone Number

São Paulo, Brazil

Rio De Janeiro Area, Brazil

Advanced topics in finance: Behavior and Volatility

Rio De Janeiro Area, Brazil

• Main Activities: Coordinate a team of 5 people with the following tasks:
• Run the pension fund's Asset and liability management (ALM) and define, together with the Board, the investment's benchmark (Reference Portfolio) for each year.
• Write and improve the Investment Policies.
• Define the macroallocation of investments.
• Generate reports and track investment risk and return.
• Select outsourced managers for the following portfolios: Overseas Funds, Hedge Funds and Equity funds.

Rio De Janeiro Area, Brazil

• Main activities
• Calculate and evaluate the risk (VaR and Stress) of each Portfolio Manager position and in aggregate form.
• Creation and discussion, in the Risk Committee, of Stress scenarios and other risk models.
• Assessment of the risk limit for each area.
• Implementation and calculation of credit risk using the model created by CreditMetrics.
• Calculation of portfolio liquidity risk.

Rio De Janeiro, Brazil

• Main activities:
• Map the Brazilian corporate credit market especially for Debentures and Eurobonds.
• Configure the risk system
• Make macroeconomic models
• Read and evaluate company balance sheets

Rio De Janeiro, Rio De Janeiro, Brazil

Portfolio Manager of International Fixed Income and Credit.

Rio De Janeiro, Rio De Janeiro, Brazil

Portfolio Manager of International Fixed Income, Credit and FX (2009 - 2014)

• Main Activities:
• Build and implement an exotic FX options pricing system for the proprietary trading desk. This system was initially written in Matlab and later updated to a C# language with an excel interface.
• Pricing and protecting derivatives embedded in bank customers' operations (swap with cap, NDF, etc...).

Rio De Janeiro Area, Brazil

Test and implement, in matlab, several models of the term structure of the interest rate (ETTJ) of Brazilian sovereign bonds.The implemented methodology is described on the ANBIMA page and in http://hdl.handle.net/10438/1618 and its values can be accessed at the following link: https://www.anbima.com.br/pt_br/informar/curvas-de-juros-fechamento.htm.

Rio De Janeiro, Brazil

• Main Activities:
• Monthly observation and analysis of macroeconomic variables and assessment of how they affect the return and Value at Risk of pension fund investments.
• Coordination of the two interns responsible for the client's investment analysis report.