Experience

iason

• Italy
• Banking
• 1 - 100 Employee

• • Sep 2016 - Present

  Quantitative Analyst and Team Leader working on Market Risk and CCR systems for Unicredit Risk IT - FRE (Full Revaluation Engine). The team, composed of both developers and quantitative analysts, collaborates and supports the Unicredit FRE / Risk IT FO Initiatives Team, from the functional, quantitative and technical point of view in the main activities and project:* Creation of Risk IT chains necessary to monitor MR and CCR risk profile for a new branch / trading desk* Impact risk analysis related to changes in FO pricing models * New products pricing and implementation* Front office migration and upgrade (Murex, Kondor, Sophis, Anvil ARTS)* Regulatory enhancements Furthermore, the team is responsible for the production maintaining and enhancement:* Analysis of derivatives pricing issues* Development and analysis of production bug fix and production enhancement* Replication of VaR, sensitivities and IRC figures for Market Risk and potential future exposures for CCR* Daily interaction with bank quantitative functionsFebruary 2019: Lecture on "Pricing Models", Finance Training Courses, Unicredit Services, Iasi.From January 2018: Executive Editor of "Argo" - Iason Magazine - free availability online at: https://goo.gl/5vuaf9 Show less

• • Sep 2013 - Sep 2016

  Quantitative analyst and developer working on Counterparty Credit Risk and Market Risk for Unicredit Services - FRE (Full Revaluation Engine):* Development of pricing function for Credit Derivatives and Market Risk Greeks framework in the context of Murex Credit Migration.* Development of pricing function for principal IR, FX, Equity and Commodity derivatives.* Validation of new developed methodologies for Market Risk and Counterparty Credit Risk.* Analysis of derivatives pricing issues.* Daily use of FO System: Murex, Sophis, Kondor. Show less