London, England, United Kingdom
FX, Commodities, CO2, IR derivatives - Hedging
- US Securitized bonds trading and hedging strategies (MBS, CMBX, Agency PT, TBA, CLO, Auto e consumer ABS, WBS, CMO, CDX, CDS, SPG Repo financing). - EMEA Credit Stress Testing (SPG, HY/IG, CDX, Distressed Credit, EM, Total Return Swap)
Advisory on algo market making with focus on pricing of exotic equity derivatives, comprising of Equity Protect - Bonus Cap - Reverse Bonus Cap - cash collect Worst Of certificates (Project: european G-SIBank)
c/o BdM banca - Synthetic MBS (Origination) - Alternative Investment Funds (SMEs, NPLs, Real Estate, Minibond) - Convertible Bonds AT1 - AT2 - Collateralized-stable Funding trades
c/o BdM banca Prop Trading desk - Euro Government Bonds (Relative Value trading, curve spread, BTP switch, Repo market making) - Optimal asset allocation vs RAF limits (AUM 3.5 bln €) - Risk & Scenario analysis
Risk consultant within the UniCredit Market Risk department MAIN TASKS: • Pricing of Securitized and Corporate Bonds • Daily use of market risk calculation systems (Murex) • Daily interaction with Group Price Control and Full Revaluation Engine departments