Work Experience
Lehman Brothers - POINT (portfolio analytics and risk), New York
Senior Vice President
- Sole inventor (patent pending) of Lehman Brothers' Scenario-Based Global Risk Model to compute p&l distribution of
fixed income, credit, mortgages, equities, FX and derivatives portfolios
- Designed quantitative investment banking models: risk-adjusted optimal financing strategies, risk-adjusted M&A
balance-sheet optimization, best strategic hedges for commodities/inflation
- Designed risk and portfolio management models: Black-Litterman/copula opinion pooling; three-step multi-moment
optimization heuristics with transaction costs; flexible risk attribution, no-Greek hedging, tail-risk estimation,
pseudo-idiosyncratic residual aggregation
- Coached analytics team to implement the above techniques
- Advised and educated clients: executive trainings, publications, presentations
Senior Vice President
- Sole inventor (patent pending) of Lehman Brothers' Scenario-Based Global Risk Model to compute p&l distribution of
fixed income, credit, mortgages, equities, FX and derivatives portfolios
- Designed quantitative investment banking models: risk-adjusted optimal financing strategies, risk-adjusted M&A
balance-sheet optimization, best strategic hedges for commodities/inflation
- Designed risk and portfolio management models: Black-Litterman/copula opinion pooling; three-step multi-moment
optimization heuristics with transaction costs; flexible risk attribution, no-Greek hedging, tail-risk estimation,
pseudo-idiosyncratic residual aggregation
- Coached analytics team to implement the above techniques
- Advised and educated clients: executive trainings, publications, presentations
Bain & Company (strategic consulting), Milan
Vice President
- Designed quantitative financial models for: tactical allocation, strategic allocation, style analysis, market and credit risk
management, personal financial planning, portfolio insurance
- Coached teams to implement the above models as stand-alone software applications: Excel user interface, MATLAB
computational core, VBA connections
- Educated client's top management (CEO's, CFO's, heads of quants) on the use of the above models
Vice President
- Designed quantitative financial models for: tactical allocation, strategic allocation, style analysis, market and credit risk
management, personal financial planning, portfolio insurance
- Coached teams to implement the above models as stand-alone software applications: Excel user interface, MATLAB
computational core, VBA connections
- Educated client's top management (CEO's, CFO's, heads of quants) on the use of the above models
Languages ••••: near native •••: fluent ••: proficient •: basic knowledge
- English: ••••
- French: ••• - Centre Culturel Francais , DALF
- German: ••• - Goethe Institut , GDS
- Italian: ••••
- Spanish: ••• - Instituto Cervantes , DELES
- Mandarin Chinese: •••
- Modern Greek: ••
Education
- CFA, CFA Institute
- PhD Mathematics, University of Milan
- MA Economics, Bocconi University
- BA Physics summa cum laude, University of Milan
Publications
Relative Value International (hedge fund), Greenwich, CT
Quantitative Analyst, Designed and developed trading strategies:
- Equities: triplets within dynamical clusters
- Treasury basis: PCA-based scenario cube with mean-reverting third factor
- Eurodollar and forward swap curve: robust cointegration-based alpha
- Traded S&P '500 equity pairs and eurodollar curve roll-down/macro-adjusted statistical arbitrage
Quantitative Analyst, Designed and developed trading strategies:
- Equities: triplets within dynamical clusters
- Treasury basis: PCA-based scenario cube with mean-reverting third factor
- Eurodollar and forward swap curve: robust cointegration-based alpha
- Traded S&P '500 equity pairs and eurodollar curve roll-down/macro-adjusted statistical arbitrage
 | |  | |  | |  | |  | |  | |  |
- Lead design and implementation of advanced risk management and portfolio construction systems
- Well-published researcher in the fields of financial statistics, risk and portfolio construction
- Professor at top graduate programs in quantitative finance
- PhD in Mathematics, CFA certification, MA in Economics, BA summa cum laude in Physics
- Fluent in six languages
| Mar 2005 - Jul 2008 |
| Jul 2002 - Aug 2004 |
| Jul 1999 - Jun 2002 |
| 2003 1999 1999 1994 |
Bloomberg LP - ALPHA (portfolio analytics and risk), New York
Head of Research
- Led team of researchers to build an analytical platform for performance attribution, risk management, and portfolio
optimization across all asset classes and regions
- Sole inventor of: Factors on Demand, multi-asset-class return decomposition framework to attain higher estimation
power, empirical accuracy, theoretical consistency and flexibility than standard systematic-plus-idiosyncratic approaches;
Fully Flexible Views, advanced portfolio construction and stress-testing technique for non-normal markets with
views/stress test of means, medians, volatilities, copulas, VaR, CVaR, ranking, etc.; Diversification Management,
conditional PCA/entropy methodology to quantify numbers of independent bets and optimize portfolios accordingly
- Creator and editor of Bloomberg Quantitative Education and Research Paper Series on www.ssrn.com
Head of Research
- Led team of researchers to build an analytical platform for performance attribution, risk management, and portfolio
optimization across all asset classes and regions
- Sole inventor of: Factors on Demand, multi-asset-class return decomposition framework to attain higher estimation
power, empirical accuracy, theoretical consistency and flexibility than standard systematic-plus-idiosyncratic approaches;
Fully Flexible Views, advanced portfolio construction and stress-testing technique for non-normal markets with
views/stress test of means, medians, volatilities, copulas, VaR, CVaR, ranking, etc.; Diversification Management,
conditional PCA/entropy methodology to quantify numbers of independent bets and optimize portfolios accordingly
- Creator and editor of Bloomberg Quantitative Education and Research Paper Series on www.ssrn.com
| Aug 2008 - Jun 2010 |
Additional
- Co-director - GARP Chapter at Baruch College - CUNY, New York
- Board member - Society of Quantitative Analysts, New York
- Scientific committee member, XI Workshop in Quantitative Finance, Milan
- Scientific committee member, X Workshop in Quantitative Finance, - Rome
- Program committee member, IEEE Symposium 2009 - Computational Intelligence for Financial Engineering
Kepos Capital LP, New York
Chief Risk Officer
- Risk management / portfolio construction
Chief Risk Officer
- Risk management / portfolio construction
| Jul 2010 - present |