Milan, Lombardy, Italy
1) Asset Quality Review (AQR) – Collaboration with Bank of Italy Context: Special administration of a supervised bank - Participated in the AQR process to assess credit risk and provisioning under IFRS 9 and EBA Guidelines - Supported exposure segmentation and sampling to identify high-risk credit positions - Performed credit file reviews with focus on staging accuracy (Stage 1/2/3) and reclassification - Recalculated Expected Credit Losses (ECL) post re-staging, with revised PD/LGD assumptions - Contributed to model recalibration and challenged provisioning methodologies - Supported supervisory reporting with key findings and remediation actions 2) Securitisation Portfolios (NPL & UTP) - Designed a risk management framework to monitor risks across securitised portfolios - Analyzed business plans and conducted stress testing based on NDG clusters and macroeconomic variables - Assessed risks related to ReoCos and special purpose vehicles - Evaluated ESG risks associated with servicers managing the portfolios 3) Valuation & Fair Value Context: Private equity investments in infrastructure and illiquid assets under IFRS 13 and IPEV Guidelines - Led full-cycle valuations using DCF and Market Multiples methodologies - Built financial models with detailed forecasting and calibrated key assumptions (WACC, terminal value) - Selected comparables, normalized financials, and adjusted for liquidity/size - Performed sensitivity analyses and benchmarked results against historical and market data - Produced audit-ready valuation reports 4) Private Equity & Debt - Infrastructural - Conducted due diligence and business plan analysis - Developed risk models for valuation purposes - Assessed AIF exposures across investment, monitoring, and exit phases - Contributed to investor reporting 5) Banking - Supported ICAAP, RAF development, and activity planning - Monitored credit portfolios (NPL, UTP, performing) - Developed and implemented operational risk assessment (RSA) models