Personal Information

Antonio Lavoura DOB **/**/**82 (Portuguese – EU Citizen)

ac0a12@r.postjobfree.com +65 8267 0801

#**-**, * ******* **, 438049 Singapore

Skills: Traded Market Risk, Scenario Analysis and Stress Testing; Equity Derivatives; Greeks (Sensitivities of 1st and 2nd order); Market Risk models as VaR or SVaR; Pricing/Valuation models; SQL; Advanced Excel; VBA; Reuters; Bloomberg; Trade Control; UAT software testing; Business Analyst; Exotic Options; SAS. Education

CFA – level II: Pass. Chartered Financial Analyst level 2 exam passed. CMT – level I: Pass. Chartered Market Technician level 1 exam passed. Nov. 00 – Feb. 05 Nova School of Business and Economics (Lisbon, Portugal) B.S., Business Administration: 14.1 values out of 20 (70,5%). Majors: Finance 14, Strategy 17

Sep. 03 – Feb. 04 Universidad Autónoma de Madrid (Erasmus exchange program, Spain) Work experience

Jan 17 – present Job search in Singapore, previous roles in London. Jun. 16 – Dec 16 Valfa Capital Ltd – Portfolio and Risk Manager

• Small fund invested on European Equity Index futures and Bonds. Oct. 15 – May 16 Nomura – Stress Testing SME (subject matter expert) Contractor • Lead the design of new applications to better explain Scenario’s PnL, risk exposure and improve data integrity.

• Improvements to the stress testing framework in order to comply with the BCBS239 guidelines from the Basel committee.

• Driving the requirements and help defining, testing and documenting the new developments.

• Develop relationships with all stakeholders to ensure timely and consistent delivery.

• Liaise with other stress testing analysts and SMEs to ensure the requirements are clear and properly defined.

• Ensure that new developments are properly tested and documented.

• Help define IT requirements and develop testing tools around stress testing results.

• Provide relevant commentary on the quality of the results

• UAT testing and feedback to development teams

• Reconciliation and validation of stress test data results

• Ensure compliance with FDSF (Firm Data Submission Framework) for PRA (Bank of England)

• Develop and conduct user training workshops and materials. Mar. 15 – Oct. 15 Mitsubishi UFG – Market Risk Manager – Rates Desk Contractor • Ensure adequate limits (VaR, sensitivities and stress) and risk framework are in place, aligned with the firm’s overall risk appetite and desk mandates.

• Proactive input into Management Information, including risk-adjusted performance measures, to facilitate better business decisions and resource allocation.

• Work with trading staff to understand and highlight inherent market risks and define practical solutions.

• Run risk reports and updates for the weekly Management Committee meetings and other senior level meetings such as the Executive Committee and Board Risk Committee.

• Validate VaR and SVaR numbers on a daily basis, justifying any change with new trades or market price moves, affecting sensitivities.

• Following new OTC trades of Interest Rate products, to hedge actual exposures.

• Identify Data Quality issues and liaise with other teams to fix the incorrect numbers. Oct. 13 – Oct. 14 Credit Suisse IB – VaR Consolidation and Backtesting team Contractor • Review and monitor the legal entity limits implementation.

• Analysis of Market Risk and Capital number’s moves.

• In charge for Capital and Risks Not in VaR (RNIV) reporting process.

• Provide details to senior management on market risk daily moves. Explaining what trades caused VaR to increase or sensitivities to change.

• Daily report of PRA legal entities on market risk metrics and associated capital consumption.

• Ownership of Risks Not in VaR reporting. Review of all reports before sending to regulatory authorities. Calculation of capital consumption associated with RNIV risks and the number of exceptions experienced by the legal entity.

• Point of contact for all queries related with RNIV numbers and reports. Improvement of the reporting process, excel and VBA tools used and the timings of the reporting process through its different stages.

• Elaboration of documentation and manuals on the RNIV reporting and training of an offshore team to take over some of the tasks involved in the process. Monitorization of this team’s production.

Jul.12 - Dec. 12 Credit Suisse IB – Counterparty and Credit Risk - Scenarios/Stress Testing Contractor • Develop a series of consistent test scripts to challenge the entire data flow, from scenario database, to product valuation, reporting production and finally report distribution.

• UAT testing, approval of software releases developed internally after designing and executing both positive and negative test cases.

• Ownership of the reporting distribution project. Elicit business and functional requirements to develop the reporting distribution capability, communicating these to internal IT developers through a BRD and an FRD.

• Designing the process of aggregation the scenario's results by issuer, accordingly to counterparty risk requirements.

• Definition of new scenarios and validation of stress valuation results.

• Testing the UAT releases, detecting errors and suggesting solutions.

• Gathering and documenting requirements after creating and winning a new business case.

• Performing general Business Analyst tasks and different functional implementations. Apr. 11 – Jun. 12 Credit Suisse IB – Market Risk – Scenarios/Stress Testing – Equity Derivatives Contractor • Ensure the risk policies, trading limits and procedures are followed by the trading personal.

• Manipulation of trade valuation models to produce scenario analysis information.

• Analysis and review of scenario results, focusing on understanding the behaviour of derivative products under scenario conditions.

• Liaison with Trading and Risk Managers to confirm and corroborate scenario results.

• Production of scenario analysis reporting information for distribution to senior management and regulators.

• Continuous review of existing control environment and processes in order to improve controls and efficiency of process.

• Development of new scenarios to address risks not adequately captured within existing risk management framework or new risks as they arise.

• OTC Structured Products valuation monitoring, as market inputs changed and expirations approached, mostly for Equity Trigger Redeemables, Accumulators and other Exotics.

• Produce and report measures of risk, as VaR (Historical Simulation). Dec. 08 – Nov. 10 AXA – Investments Department – Middle Office Control Permanent • Portfolio Controls: Regulatory limits, investment policies, asset class exposures, Durations, Greeks and other statistics measures of performance and risk.

• Risk Monitorization: Performance Attribution, PnL review, Concentration Risk limits.

• Asset Valuations: Credit and Fixed Income valuation's testing, models development for Caps/Floors, Callables, Interest Rate Swaps and other Vanilla products; Monitoring yield curves and credit spreads used for month end valuations.

• Monitoring the process of pricing assets and occasionally attribute value to fixed income products. Monitoring asset swap yield curve and credit spreads accordingly to rating and maturity ranges.

• Check counterpart valuations and data vendors contributed prices.

• Monitoring indexes of asset swap credit spreads.

• Verify concentration risk in portfolios and AXA companies, accordingly to internal normative.

• Regulatory limits control, according to insurance laws in Portugal, Spain and Italy. Limits were set at corporate issuer, parent company, maximum liquidity, minimum rating, asset class, currency levels.

• SOX procedures monitoring.

• Insure operating procedures were being respected.

• Insure trades are being added according definitions of previous Investment Committees.

• Verify if signatures authorizing trades respect Power of Attorneys defined for the AXA's company or portfolio.

• Creation of a model that reproduces the complex fees structure charged by asset managers, of over 12B€.

• Manage relationship between AXA Mediterranean Region and Local AXA companies regarding a Service Level Agreement.

• Control of NAV values from pension funds and Unit Linked products, in order to detect abnormal volatility.

• Pension funds, Unit Links and benchmarks performance production.

• Monitoring hedging effectiveness, through Greeks observation, of Unit Linked products.

• Monitoring theoretical and real weights of asset classes and constituents funds within UL products.

• Development of excel calculators for caps, floors (binomial and BS model) and callable bonds.

• Monitoring portfolio composition accordingly to Investment Policy.

• Development with SAP consultants, of applications capable of computing portfolio and benchmark performance.

• Conciliations of accounting data between different platforms, accordingly to SOX rules.

• Modelization and development of a written algorithm capable of monitoring regulatory limits through SAP.

• Excel macros development to get real time data from Bloomberg.

• Participation and collaboration with internal and external auditors.

• Monthly reports of incidences and minimization of risks through controls.

• Identification and quantification of operational risks within investments department

• Revision of ISDA and CSA

• Analysis of different SPVs valuation models.

Jun. 08 – Dec. 08 AXA – Pension Funds – Front Office, Portfolio Manager Assistant

• Developed excel models to track Portfolio and Benchmark's performance attribution and statistics.

• Developed models to perform stress-testing /scenario analysis.

• Investment Committee advisory member; ad-hoc research projects and risk analysis.

• Development of an excel model capable of retrieving extensive portfolio and benchmark performance statistics automatically.

• Develop model to perform stress-test/scenario analysis.

• Sectorial analysis of portfolios accordingly GICS standards.

• Reading and summarizing research notes.

• Elaboration of quarterly client's information and research notes on markets and their pension funds.

• Analysis of pension funds industry in Spain and the consistency of funds within first quartile during several years.

• Advisory member of Investment Committee for pension funds

• Analysis of Real Peer Performance of AXA pension funds against the industry, by quartiles.

Sep. 07 – Apr. 08 SwiftTrade – Proprietary Stock Trader ($70k average daily volume) Sep. 06 – Sep. 07 Independent Futures Trader – European Stock Index Futures traded at Eurex. Nov. 05 – Aug. 06 Reuters – Data Source Analyst

• In charge of Portuguese and Spanish clients (OTC dealers/market makers) contributing prices to Reuters. Excel macro's production per client's request. Languages and Computer skills

Fluency: Portuguese, Spanish, English and average French. Applications: Excel (VBA), SQL Server Management Studio, Reuters, Bloomberg, SAP, X_Trader, Metastock, WealthLab, Business Objects, MARS, MUREX, SAS Studio.

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