Professor of Financial & Actuarial Mathematics
University of Bari – Dept. of Economics and Finance
Total years of experience :29 years, 5 Months
Reporting to the Dean
Professor of Financial & Actuarial Mathematics, University of Bari - Department of Economics and Applied Mathematics
Teaching topics: Security Market Line (SML), Efficient Capital Markets, Markowitz Portfolio Theory, Asset Pricing Models, options, futures and forwards, Greeks, Monte Carlo Simulations, Lotteries, Insurance, Solvency II, ORSA, Lexis diagram, life insurance policies, ALM (Asset & Liability Management), depreciations and mortgages, forward rates, bootstrapping, financial immunization (deterministic and stochastic), FX.
Consultancy: Start-up and new business initiatives evaluation through real option, Enterprise risk, Risk strategy (including risk framework documentation), Counterparty Risk, Operational Risk, Project Management (Risk projects), ALM, Asset Allocation
Reporting to the CEO/Chairman
Director, Head of Investment & Research at Watan First Institute, Riyadh. Training and consulting on risk, portfolio management/optimization, Solvency, Basel, etc.
Reporting to the General Counsel & Chief Risk Officer
Senior Risk Manager at the Corporate Centre of Allianz Asset Management (euro 1.9 trillion AuM). Main activities: Enterprise Risk and Risk strategy, Basel III, Solvency II, ORSA, ICAAP, Model Validation & Governance, Risk Capital, Supervise/Coordinate/Lead projects across the Operating Entities, Define the Risk Framework for the whole organization (AAM), New Products Approval. Specific topics covered (modeling/measurement/reporting/governance): risk capital, stress testing, market risk, credit risk (direct and counterparty risk), liquidity risk, operational risk modeling, seed money (performance & risk measurement/analysis), Policies and Guidelines, Earnings at Risk and Forecasting Modeling.
Principal activities performed:
• Quarterly risk capital calculation and reporting to the RiCo (AAM Risk Committee)
• Issued a new counterparty risk policy addressing measurement, monitoring, concentration, mitigations and controls.
• Modeling the risk (credit & market ) capital required for guaranteed funds
• Design the credit/counterparty risk methodology (with main focus on OTC derivatives) including the measurement of liquidity risk exposure. Main features are exposure measurement (with netting arrangements and collaterals), PFE (Potential Future Exposure), credit loss and default probability, unexpected loss & economic capital, liquidity risk and collateral requirements
• Project manager for implementing across the organization the above mentioned methodology
• Developing a quantitative risk model for operation risk in conjunction with AZ SE Group Risk
• Model validation and governance for the above i.e. tests of goodness of fit, back-testing, stress and scenario testing, sensitivity testing, reverse stress testing
• Risk assessment/approval for NPI and FiCo (AAM Financial Committee) requests
• EaR (Earnigs at Risk) Monte Carlo modeling including (normal and reverse) stress tests and inflows econometric forecasting
• Credit concentration monitoring, limit setting, counterparty approval and review for own money
• Project manager for seed money reporting (including DB design, workflow, performance and risk algorithms) and stress testing
Reporting to the Head of Client Service
Senior Risk Consultant at StatPro Plc. Client’s consulting, contributing to StatPro Risk framework (liaising with quants for new development or model’s improvement), presales (tests and demos), set up and implementation of SRM (StatPro Risk Mgt software), management of new projects (e.g. a project to price and measure the risk of a set of liabilities for a pension scheme).
CIO staff for special projects and new initiatives: in particular I was responsible for developing:
• A model able to evaluate total return portfolios (endowments, pension and mutual funds)
• Relations among assets (e.g. by the means of cluster analysis) and among asset classes, the risk/reward of changing weights and of introducing/subtracting an asset.
• A model for the optimal asset allocation.
Business Risk Modeling at CARM (Capital Allocation and Risk Management Dept.) of UniCredit Holding, to develop a model able to evaluate the business risk for each company. The final objective was to quantify the economic capital required to cover the business risk and to allocate the cost of capital for each company. More activities: pricing of structured products, evaluation of stock options.
Reporting to the CEO
CRO - Head of Risk Management & Quantitative Research at ING Group. Main achievements: economic capital reduction allocated for operational, replacement of external performance advisory with internal research, development of new products and services.
Main tasks:
• New products development (e.g. unit linked policy CPPI like, Total Return mutual funds with a VaR control, etc.);
• Support to the Marketing and the Commercial Dept. to study (stress testing, Monte Carlo simulations, back testing) new products;
• Support to the Origination Institutional Dept. (sales)/ the Marketing Dept. (e.g. by the means of ad hoc analysis or by the extension of GIPS compliance to Institutional Mandates);
• Style analysis, mutual funds analysis (focused on the extra-return and the performance consistency) for the Funds of Funds portfolio management;
• Business, Credit, Market and Operational risk management and monitoring;
• Portfolios’ performance (GIPS compliance) and risk monitoring;
• Trading cost monitoring, regulatory bodies (Bank of Italy and Consob) compliance ensuring (with limits, futures trading activity, etc.).
• Implementing the performance attribution for Institutional Mandates (as project leader and business expert);
• Developing and monitoring daily risk reports (ex-ante reports), performance-P/L reports (ex-post reports);
• Contributing to the ING’s Group Italy ALM Committee (ALCO);
• Improving the financial knowledge of "ING Investment Management Italia S.G.R. S.p.A." (by the means of seminars explicitly dedicated to the portfolios’ managers or dedicated to the institutional/retail sales before new products’ launch);
• Studying a new symmetric performance algorithm to improve revenues (fulcrum fees), a new incentive framework to tackle the agency problem, a scheme to determine the value of new business.
Staff of the Deputy General Manager
Senior Associate Quant at Arca (Investment Management Company, Euro 35 billion AuM). Optimal asset allocation (Matlab and VBA code) for institutional clients, reporting (to regulator, board, newspapers, etc.), performances and risk analysis (ALM Analysis, Shortfall Analysis, stress testing and Monte Carlo simulations). Project leader/manager in building a SQL Server database containing:
• The data downloaded by the info providers and the data collected by AS400 on portfolios/accounts;
• The analysis (asset pricing, performance attribution, risk measures, etc.) on portfolios/accounts;
• The reports on the portfolios and the composites (GIPS compliant), the asset break down the risk and the performances measures.
Reporting to the Director of Research
Researcher at Research Office. Studying direct investments and their effect on the capital structure of the companies in Lombardy (Italy). Analyzing performance of small and medium enterprises in the region.
Staff of the General Manager of Mediolanum International Fund
Quantitative Analyst - Associate. Performance & Risk Analysis. Research and implementation of financial models (volatility skew/Monte Carlo simulations and stress testing). Derivatives valuations/option pricing for consistency checks with back-office/third parties providers. New product development (investment strategy design for new funds and insurance policy with a lifecycle approach) quant analysis in cooperation with “State Street Global Advisors” and “SEI Investments”.
Investment/insurance advisor for Alleanza (single premium, mixed, capitalization, etc., life-insurance policies) and Bayerische (medical, fire, theft, accident policies).
1997/8 Master of Science - Master in Economics (advanced Econometrics, Statistics, Finance and Economics) held in English at “L. Bocconi” University in Milan (number 10 in QS World University Rankings by Subject 2016 - Business & Management Studies, https://www.topuniversities.com/university-rankings/university-subject-rankings/2016/business-management-studies).
"De Finetti" Award by the "Accademia Nazionale dei Lincei” (i.e. the Italian Academy of Science) in Mathematics applied to Economics. This was awarded by the President of Italian Republic (at "Quirinale" Palace in Rome) in the presence of the "Senato" and "Camera" Chambers' Presidents and of others Institutional representatives of the Italian Republic.
Degree/Master in Quantitative Economics (110/110 summa cum laude) at the University of Bari. Subjects: Probability, Operational Research, Statistics, Econometrics, Mathematics; Economics, Finance/Accountancy, Law, French. Pre-Bologna process degree equivalent to a Master in MORSE (Mathematics, Operational Research, Statistics and Economics).