Cracow, Małopolskie, Poland
Risk Analyst with background in both treasury risk and real estate fund risk. Currently at UBS, overseeing key market and treasury risks including Interest Rate Risk in the Banking Book (IRRBB), liquidity risk and Capital risk, while also contributing to strategic initiatives such as the FRTB transition and the Credit Suisse integration. Previously at DeA Capital, I specialized in the risk assessment of real estate funds, contributing to the evaluation and ongoing monitoring of their risk profiles. I hold a Master’s degree in Management Engineering – Finance from Politecnico di Milano, with a thesis focused on Value-at-Risk estimation using volatility models based on high-frequency data.
Oversight of structural balance sheet risks within UBS Switzerland AG, Swiss leading bank with over CHF 500bn in total assets. Key responsibilities include monitoring and controlling Interest Rate Risk in the Banking Book, liquidity and funding risks, and capital adequacy, in line with regulatory standards and internal risk appetite Oversight of market and treasury risk across 100+ banking and trading books within Global Wealth Management and Personal & Corporate Banking, acting as Market Risk Officer and ensuring effective transfer of risk to Group Treasury across a wide range of financial products, including loans, deposits, banknotes, ship financing, leasing, credit commitments, letters of credit, derivatives, and credit card loans Analytical and dynamic role addressing internal and regulatory requests, requiring strong judgment to interpret key drivers behind changes in risk metrics such as VaR, EVE, NII, LCR, NSFR, and capital ratios Maintain the risk framework, including oversight over 50+ limits; support limit calibration and TRR/ALCO reporting. Regular interaction with multiple stakeholders, i.e. Group Treasury, Business, Finance, across various seniority Responsibility for the IRRBB Net Interest Income framework, including analysis of NII and NII-at-Risk drivers, structural trends, and the impact of strategic initiatives, as well as model validation. This includes back-testing client rate functions and challenging key assumptions and methodological changes Monitoring of UBS’ CHF 300bn+ Replication Portfolio including: volumes development, review of portfolio strategies, margins projections analysis under shock scenarios, analysis of maturity and repricing profiles
Monitoring and control of the risk profile of 50 real estate funds with EUR 12.2bn AUM at Italy’s leading real estate asset management company specializing in alternative investment funds, with a market share above 22.5% Periodic risk analysis of real estate investment funds. portfolio risk assessment through a structured rating model combining financial KPIs (e.g., leverage, income) and qualitative factors such as location and tenant quality Review and validation of real estate business plans: cash flow, funding, and profitability analysis; performed IRR stress testing and supported investment/divestment processes and valuation reviews