Rome, Latium, Italy
Project manager on the following: - development and implementation of a VaR-like margining methodology for the Fixed Income Section - extension of clearing services to non Italian repos - development and implementation of the Value at Risk for the monitoring of CC&G investment portfolio's risk - development of the methodology for the computation of haircuts on corporate bonds for MIC and X-COM Sections Other tasks: - development, management and monitoring of methodologies for the determination of Margins and Default Funds - stress testing, back testing and sensitivity analysis on applied methodologies - monitoring of liquidity risk - pricing of Equity Derivatives (options, futures) - assessment of EMIR compliance - reporting to Internal and External Risk Committees Past projects: - ESMA stress testing for CCPs
- Market Risk: Bonds, derivatives and structured products pricing; Hedge Accounting (IAS 39); IFRS 13; Value at Risk and sensitivity analysis. - Counterparty Risk: CVA/DVA analysis and calculation; Basel II and Basel III requirements. - EBA stress testing - Indipendent Price Verification Framework - GIPS compliance - Managerial and Economic P&L