Marco Carminati
Senior Manager - Credit Risk Modelling & Management at iason- Claim this Profile
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Italiano Native or bilingual proficiency
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Inglese Full professional proficiency
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Spagnolo Elementary proficiency
Topline Score
Bio
Experience
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iason
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Italy
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Banking
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1 - 100 Employee
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Senior Manager - Credit Risk Modelling & Management
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Sep 2021 - Present
Senior Manager in charge of different projects in Credit Risk Management and Modelling for the main Italian banking groups:• Definition and implementation of the Validation framework for models with Machine Learning and Artificial Intelligence techniques;• Definition and implementation of the Back-testing framework for Credit Portfolio Model on both performing and non-performing exposures;• Development of stochastic LGD model for Credit Portfolio Model;• Climate stress test.Head of iason Credit Risk Competence Center
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Manager - Credit Risk Modelling & Management
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Oct 2020 - Aug 2021
Manager in charge of different projects in Credit Risk Management and Modelling for the main Italian banking groups:• Development of PD Challenger models on Retail, Corporate and Large corporate portfolios for Internal Validation function;• Validation of Credit Portfolio Model;• Review of the framework for Early Warning, UTP classification and forbearance classification;• Optimization of the acceptance policies trough Machine Learning techniques.
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SelmaBipiemme Leasing
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Financial Services
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1 - 100 Employee
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Head of Credit Risk Models
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Sep 2018 - Sep 2020
Responsible of the team in charge of development, maintenance and monitoring of models for both regulatory capital requirements (AIRB) and managerial purposes (IFRS9 and Stress Test) for the following risk parameters:• PD• LGD• EADSupport to CRO for the review of the main credit processes:• Credit Risk Mitigation;• Pricing Risk-adjusted;• Impairment;• RAF definition;• Lending Policies• Credit monitoring and Early Warning;• Rating attribution. Responsible of the team in charge of development, maintenance and monitoring of models for both regulatory capital requirements (AIRB) and managerial purposes (IFRS9 and Stress Test) for the following risk parameters:• PD• LGD• EADSupport to CRO for the review of the main credit processes:• Credit Risk Mitigation;• Pricing Risk-adjusted;• Impairment;• RAF definition;• Lending Policies• Credit monitoring and Early Warning;• Rating attribution.
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KPMG Italy
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Italy
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Business Consulting and Services
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700 & Above Employee
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Manager, Financial Risk Management - Credit Risk
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Sep 2016 - Sep 2018
• Project management and team coordination• Responsible of teams in charge of development and Validation of Basel III compliant PD, LGD and EAD models (AIRB)• Responsible of teams in charge of development and Validation of managerial models (IFRS9 and stress test) • Project management and team coordination• Responsible of teams in charge of development and Validation of Basel III compliant PD, LGD and EAD models (AIRB)• Responsible of teams in charge of development and Validation of managerial models (IFRS9 and stress test)
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Prometeia
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Italy
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Business Consulting and Services
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700 & Above Employee
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Credit Risk Consultant - Model Development and Validation
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Jul 2015 - Sep 2016
• Development and Validation of Basel III compliant PD, LGD and EAD model (AIRB)• Development of Basel III compliant LGD Defaulted Assets model (AIRB) • Development and Validation of Basel III compliant PD, LGD and EAD model (AIRB)• Development of Basel III compliant LGD Defaulted Assets model (AIRB)
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UBI Banca
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Italy
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Banking
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700 & Above Employee
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Credit Risk Model Developer
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Nov 2012 - Jul 2015
• Development of Basel II compliant internal rating model (AIRB)• Development of Basel II compliant internal LGD model• Review of internal models to evaluate their compliance with CRR/CRD IV• Backtesting and monitoring activity• Computation of Default Rates and transition matrices (Markovian and empirical)• Reporting and documentation • Development of Basel II compliant internal rating model (AIRB)• Development of Basel II compliant internal LGD model• Review of internal models to evaluate their compliance with CRR/CRD IV• Backtesting and monitoring activity• Computation of Default Rates and transition matrices (Markovian and empirical)• Reporting and documentation
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Mercer
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United States
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Professional Services
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700 & Above Employee
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Investment Analyst
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Jun 2012 - Nov 2012
Working as part of the italian team supporting in all aspects of investment work.Typical Activities:Production of client reports, assistance with manager selection exercises and implementation of changes to investment manager arrangements, assistance with the determination of appropriate investment strategies and structure for clients. Working as part of the italian team supporting in all aspects of investment work.Typical Activities:Production of client reports, assistance with manager selection exercises and implementation of changes to investment manager arrangements, assistance with the determination of appropriate investment strategies and structure for clients.
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UBI Banca
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Italy
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Banking
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700 & Above Employee
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Junior Credit Risk Manager
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Nov 2007 - Sep 2008
• Development of qualitative questionnaires for Internal Rating System• Development of LGD Model for Internal Rating System• Development of Corporate Model for Internal Rating System• Review of the Internal Rating System• Computation of Default Rates• Support to reporting activity • Development of qualitative questionnaires for Internal Rating System• Development of LGD Model for Internal Rating System• Development of Corporate Model for Internal Rating System• Review of the Internal Rating System• Computation of Default Rates• Support to reporting activity
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Education
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Università Commerciale 'Luigi Bocconi'
Master of Science (MSc), Economics and Social Sciences -
Università Commerciale 'Luigi Bocconi'
Bachelor's degree, Institution and Financial Markets Management