Experience

iason

• Italy
• Banking
• 1 - 100 Employee

• Advanced Consultant

  • Jul 2016 - Present

  FO InitiativesAdvanced functional analyst working on Market Risk and CCR systems for Unicredit FRE (Full Revaluation Engine).My team is responsible for the creation and setup of MR and CCR chains related to new FX, IR, EQ and Credit products traded by legal entities belonging to Unicredit Group.Main Activities:- Setup of IT processes for the calculation of Market Risk and CCR metrics;- Replication of VaR, sensitivities, IRC and Stress-test figures for Market Risk and potential future exposures for CCR;- Support FO migrations;- Analysis of derivatives pricing issues;- Impact risk analysis related to changes in FO pricing models;- Daily interaction with bank quantitative functions (Financial Engineering, Methodology and Risk) and IT units; Show less

• Consultant

  • Jul 2015 - Jul 2016

  Market Risk & CCR Functional Analyst at Unicredit FRE (Full Revaluation Engine):- daily check and monitoring of PnL impacts, VaR and Sensitivities related to IR, Fx and Credit derivative instruments.- Check and Monitoring of Stressed Analyses;- CCR calculation and monitoring of derivative instruments;- Derivatives pricing across Murex;- Bond and CDS IPV process analysis;