Experience

03/2018 – 07/2019, London
Pwc UK, Senior Quantitative Analyst
    • Model documentation and model testing of IRBB models – prepayments models, technical documentation NII and EVE Models, test run in excel (Based in Frankfurt for top tier German Bank)
    • Validation and testing of exotic equity derivatives pricing models – Montecarlo models, PDE models, test coding in C# (for top tier US Bank)
    • Model Validation FRTB – Test design, test coding in Python, full standardised model coding (Based in Amsterdam for top tier Dutch Bank)

03/2017 – 02/2018, Milan
KPMG Italy, Quantitative Analyst 
    • Validation and implementation of VaR model for energy trading firm – Montecarlo method, Historical method, time series analysis, VaR Model coding in VBA
    • Pricing complex credit derivatives – stochastic interest rate models, Gaussian and Archimedean copulas for default correlation, stochastic LGD using different distributions, prepayment models, model coding in Matlab
    • Calibration of financial and credit risk in compliance with Solvency II regulation – statistical tests, PCA analysis, calibration benchmark coding in Python

12/2015 – 02/2017, Milan
Deloitte Italy, Market Risk and Counterparty Credit Risk Analyst    
    • Functional analysis for the IT development of FRTB internal and standard model – Data gap analysis, database queries, IT process analysis, FRTB model documentation
    • Impact study FRTB pricing models – quantitative data analysis, pricing CCS in excel, use of Quantlib library 
    • Benchmarking of methodologies applied to the counterparty risk – Montecarlo model, SA-CCR model, CEM Model

Quantitative Analyst
I have more than 3 years of experience in quantitative modelling within the financial service industry, I have joined different projects in Market risk, Counterparty Credit Risk, Interest Rate Risk Banking Book, Pricing Derivatives, Commodity Market Risk and Credit Risk. I combine expertise in quantitative analysis methodologies with comprehension of the business insight behind the numbers.

Core Competencies
    • Python
    • Statistics
    • Data Analysis

    • SQL
    • Quantitative Finance
    • Consulting

Academic Qualifications

09/2013 – 03/2016
MSc in Finance, University of Padua, Grade: 107/110
Subjects (English): Quantitative methods for finance, Computational Finance, Banking Risk Management, Advanced Econometrics, Advanced Corporate Finance. Master Thesis: “Smart Beta Indices” (coding in Matlab), topic: Alternative Passive Management

02/2013 – 07/2013
Erasmus Programme in Czech Republic, Vysokáškolabáňská, Ostrava, Grade: A (average)
Subjects (English): Business Administration, Project Management, Logistic A, System and Software.

09/2010 – 09/2013
BSc in Economics, University of Calabria, Grade: 108/110

Language Skills
Italian: Native
English: Excellent
Spanish: Intermediate
French: Basic

Programming Skills
MS Office: Excellent
VBA: Excellent
Python, C#, Matlab: Excellent
Power BI: Good
SQL: Excellent
MySQL, PostgreSQL, 
ElasticSearch: Good
Linux: Good
XML: Good

Additional Information
Good knowledge of Modern Portfolio Theory and portfolio performance indices gained through my master thesis.
Interest in international development. Blockchain enthusiastic. Ex-football player and travel lover.