Work Experience
Lehman Brothers - investment bank, New York office
Senior Vice President <- Vice President
- Sole inventor (patent pending) of Lehman Brothers' simulation-based Global Risk Model: the model computes
p&l distribution for very generic portfolios in fixed income, credit, mortgages, equities, FX and derivatives
thereof (basket futures, options, CDS's, CDO's, CMO's …)
- Designed quantitative models for investment banking: Monte Carlo-based best financing strategiesDesigned
portfolio management models: Black-Litterman/copula-opinion pooling; three-step multi-moment optimization
heuristics with transaction costs
- Designed risk management models: risk attribution techniques, hedging tools, tail-risk analysis, hybrid non-
parametric/MLE/Bayesian estimation, entropy-based portfolio aggregation, diversification measures
- Coached analytics team to implement the above techniques
- Advised and educated clients: executive trainings, publications, presentations
Senior Vice President <- Vice President
- Sole inventor (patent pending) of Lehman Brothers' simulation-based Global Risk Model: the model computes
p&l distribution for very generic portfolios in fixed income, credit, mortgages, equities, FX and derivatives
thereof (basket futures, options, CDS's, CDO's, CMO's …)
- Designed quantitative models for investment banking: Monte Carlo-based best financing strategiesDesigned
portfolio management models: Black-Litterman/copula-opinion pooling; three-step multi-moment optimization
heuristics with transaction costs
- Designed risk management models: risk attribution techniques, hedging tools, tail-risk analysis, hybrid non-
parametric/MLE/Bayesian estimation, entropy-based portfolio aggregation, diversification measures
- Coached analytics team to implement the above techniques
- Advised and educated clients: executive trainings, publications, presentations
Bain & Company - strategic consulting firm, Milan office
Vice President <- Associate <- Analyst
- 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 <- Associate <- Analyst
- 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 ••••: close to native speaker •••: fluent ••: proficient •: basic knowledge
- English: ••••
- French: ••• - Centre Culturel Francais , DALF
- German: ••• - Goethe Institut , GDS
- Italian: ••••
- Spanish: ••• - Instituto Cervantes , DELES
- Mandarin Chinese: •••
- Modern Greek: ••
Education
- PhD Mathematics, University of Milan
- CFA, CFA Institute
- 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
Trader, Traded the following markets:
- S&P '500: equity pairs
- 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
Trader, Traded the following markets:
- S&P '500: equity pairs
- Eurodollar curve: roll-down/macro-adjusted statistical arbitrage
 | |  | |  | |  | |  | |  | |  |
- Over nine years work experience in financial statistics and portfolio optimization
- Author of a best-selling advanced textbook on risk and portfolio management
- Professor at top graduate programs in quantitative finance
- Several published articles in academic and practitioners’ journals
- PhD in Mathematics, CFA certification, MA in Economics, BA summa cum laude in Physics
- Fluent in six languages
| March 2005 - July 2008 |
| July 2002 - August 2004 |
| July 1999 - June 2002 |
| June 1999 October 2003 March 1999 July 1994 |
Bloomberg L.P. - financial software, data and news provider, New York
Head of Portfolio Research
Head of Portfolio Research
| August 2008 - present |
Other
- Board member - Society of Quantitative Analysts, New York
- Scientific committee member, Workshop in Quantitative Finance, Milan (XI) - Rome (X)
- Program committee member, IEEE Symposium 2009 - Computational Intelligence for Financial Engineering