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Notable Innovation
»Entropy Pooling: portfolio construction and stress-testing technique for non-normal markets with fully flexible views/stress test »Factors on Demand: multi-asset-class, on-the-fly factor model for optimal hedging, with higher estimation power, theoretical consistency and flexibility than standard systematic-plus-idiosyncratic approaches »Effective Number of Bets: conditional PCA/entropy methodology to manage diversification and optimize portfolios»Fully Flexible Probabilities: computation of P&L distribution and all summary statistics with on-the-fly time- or state- conditional estimation, without costly re-pricing
»Copula-Marginal Algorithm: algorithm to generate downside-only panic copulas and many more non-standard copulas
»Liquidity Conditional Convolution: technique to generate liquidity- and funding-risk adjusted portfolio distribution
Work Experience
April 2005 - presentSYMMYS - Advanced Risk and Portfolio Management, New York
Founder
»Education: ARPM Bootcamp, six-day intensive, omni-comprehensive course for the buy-side
»Charity: One More Reason, foundation to support and promote math among underpriviledged secondary school students
Jul 2010 - present
Kepos Capital LP, New York
Chief Risk Officer
»Risk management / portfolio construction
Aug 2008 - Jun 2010
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
»Advised and educated clients: executive trainings, presentations
»Creator and editor of Bloomberg Quantitative Education and Research Paper Series on www.ssrn.com
Mar 2005 - Jul 2008
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
Jul 2002 - Aug 2004
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
Jul 1999 - Jun 2002
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
Education
»CFA, CFA Institute 2003»PhD Mathematics, University of Milan 1999
»MA Economics, Bocconi University 1999
»BA Physics summa cum laude, University of Milan 1994
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: ••
Publications / Work in Progress
»click hereAcademic Appointments
»Baruch College, CUNY, M. Fin. Eng - Adjunct Professor, Summer 2009 - Summer 2011»New York University, Courant Institute M Math. Fin. - Adjunct Professor, Spring 2005 - Fall 2008
»Columbia University, New York, IEOR, M. Fin. Eng. - Adjunct Professor, Spring 2007
»University of Pavia, M. Appl. Econometrics - Adjunct Professor, Spring 2002
»Bocconi University, Milan, M. Econ. - Adjunct Professor, Fall 1999 - Spring 2002
»CEIBS, Shanghai, MBA - Adjunct Professor, Fall 2001
»U.C. Berkeley, Mathematics Dept. - Visiting Scholar, Fall 1995 - Spring 1997
»University of Milan, Physics Dept. - Teaching Assistant, Fall 1994 - Spring 1995
Additional
»Co-director - GARP Chapter at Baruch College - CUNY, New York»Board member - Society of Quantitative Analysts, New York
»Board member - Mathworks Financial Advisory Board
