Knowledge of ICAAP and RAF processes regarding Market Risk, specific on Banking Book Portfolio (Bonds and Equity positions and FX esposure, based on Accounting and Economic Value).Definition of New Risk Models in order to include into the ECAP new risks (ex. ESG).Daily Reporting to Senior Management and Traders of Capital Requirements based on Internal Model Approach (Historical VaR, Stressed VaR and Stress Test Scenarios).Daily Monitoring of Pnl Attibution, based on full revaluation and partial revaluation approach, and Backtesting. Daily validation of market parameters used for pricing and fair value calculation.Monthly and periodic reporting of Portfolio evolution (Revenues and Risk) with market analysis to Senior Management and Investors. Support to Accounting Office for Balance Sheet certification. Defintion of Rules for Fair Value, Fair Value Adjustments (FVA), Additional Value Adjustments (AVA & Prudent Valuation) and Counterparty Risk (CVA).Relationship with Regulator for Portfolio Analysis and the Impact of the New Rules EBA and BIS.

Production, analysis, monitoring and communication to the traders of the aggregate risk positions of their trading books, in particular sensitivities analysis.Production, analysis and explanation of the daily P&L.Production and screening of scenario analysis through simulations and stress testing techniques to monitor the evolution of the trading books.Ad-hoc supplementary analysis for traders and senior-management.Supporting and actively working trading desks in Milan.