Work Experience
Lehman Brothers - POINT (portfolio analytics and risk), New York
Senior Vice President
- Sole inventor (patent pending) of Lehman Brothers' simulation-based Global Risk Model to compute p&l distribution of
fixed income, credit, mortgages, equities, FX and derivatives portfolios
- Designed quantitative models for investment banking: Monte Carlo-based best financing strategies
- Designed 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
- Sole inventor (patent pending) of Lehman Brothers' simulation-based Global Risk Model to compute p&l distribution of
fixed income, credit, mortgages, equities, FX and derivatives portfolios
- Designed quantitative models for investment banking: Monte Carlo-based best financing strategies
- Designed 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 (management 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
 | |  | |  | |  | |  | |  | |  |
- Led design and implementation of risk- and portfolio-management analytical 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
| March 2005 - July 2008 |
| July 2002 - August 2004 |
| July 1999 - June 2002 |
| 2003 1999 1999 1994 |
Bloomberg - ALPHA (portfolio analytics and risk), New York
Head of Research
- Lead a research team to build an analytical platform for performance attribution, risk management, and portfolio
optimization across all asset classes and regions
- Creator and editor of Bloomberg Research Paper Series on www.ssrn.com
- Creator and instructor of the six-day “Risk and Portfolio Management Bootcamp”
- Organizer of ALPHA research education roadshows
Head of Research
- Lead a research team to build an analytical platform for performance attribution, risk management, and portfolio
optimization across all asset classes and regions
- Creator and editor of Bloomberg Research Paper Series on www.ssrn.com
- Creator and instructor of the six-day “Risk and Portfolio Management Bootcamp”
- Organizer of ALPHA research education roadshows
| August 2008 - present |
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