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Manager Management

Location:
Milan, Province of Milan, Italy
Posted:
November 24, 2018

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Resume:

Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

Name: Gianpiero Preziosi

Location: Milan Area - ITALY

Notice Period: 30 days

Main Skills:

Financial modelling, Quantitative Asset Allocation, Quant Trading Strategies, Risk Mgmt, Stochastic Modelling, Risk Neutral Pricing, Lattice Models, Montecarlo Simulations, Finite Difference Methods, Forward curve modelling,etc.

Delta Hedging, Greeks based Hedging, Hedging in incomplete markets,

Scenario Analysis, Stress Testing

MATLAB (both procedural and OOP), SQL, MySQL, VBA, C#, Python, DBIV, FoxPro

Forward curve modelling, Volatility Surface Modelling,

Portfolio Optimization, CEV models, Interest Rate Models

Machine Learning and Neural Networks

Credit Risk: EE, PFE modelling, CVA calculation

Trading, Systematic Statistical Arbitrage trading strategy development

Presentation skills: able to generate easy to understand reports to summarize complex analysis results for top mgmt. and / or regulatory bodies at a very high level

Advanced Asset Allocation models, able to smoothly blend together historical information with exogenously generated views

(algo/stats based, subjective views, based on macroeconomic models, etc.) for both tactical prop trading allocations and tail risk hedging purposes

Neural Network based applications

Personality:

friendly person, always ready to help colleagues, willing (and able) to transmit knowledge and

share experience with collaborating persons

self starter, fast learner

ability to adapt to new environments and

problems

willingness to continuously search for new

challenges or new ways to deal with existing ones

curious and always willing to expand knowledge and skills

able to build on previous experience and skills within new working and business environments

hard working, reliable and accountable

used and able to deal with very complex problems and to design efficient solutions to them

able to blend experience, knowledge and creativity Relevant Experience:

Here are some few examples of what I have done for my current and former employers:

1) quant based asset allocation model: design and

implementation of a dynamic asset allocation model, able to incorporate any kind of view (subjective, algo- based, etc.) and working with virtually any asset class

(equity, bonds, IRS, CDS, futures, options, etc.)

2) setup of complex risk managements frameworks in several startups to monitor and manage the risks

involved in asset management and/or trading

activities:

retrieval of data (both historical and real time) directly from sources like Reuters and

Bloomberg and organization of data within

standardized and reliable databases through

SQL (MySql-Python, FoxPro). This is always

the first step in building a risk mgmt

framework as it provides the availability of

'clean' data that can be used by calculation

engines written in Matlab or other languages

lattice models for option pricing (mainly

equity, equity index, interest rates options

and options on commodities)

stochastic modelling for both risk

management (hedging and risk measurement)

and pricing purposes

PDEs’solutions numerical approximation

through finite difference methods, MC

3) setup of trading and portfolio management strategies:

buildup of high frequency (prices, volatility

surfaces, interest rates, FX rates, etc.) and low

frequency (macroeconomic data, credit ratings,

etc.) databases to feed algorithmic trading models

systematic and algorithmic trading models to

exploit arbitrage opportunities and or repeating

patterns detected through data mining on several

asset classes (equity, equity indices, commodities, power)

implementation of these models through Matlab

in a real time environment (via real time links to data providers) to generate real time buy / sell

signals

modelling of demand / supply of electricity (and other commodities) through regression combined

with AR and GARCH modelling

portfolio optimization based on Capital Asset

Pricing model, Bayesian and Entropy Pooling

approaches.

4) Credit / Validation / Performance Attribution

Credit risk has never been the main focus of my

job, but I have had some exposure to this area as

a consequence of both internal risk management

guidances and regulatory standards imposed by

Basel II and ICAAP related to credit risk

management and capital absorption, with

particular regard to OTC derivatives counterparty

risk. Models to estimate credit risk through

Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

simulations and lattice models

Value At Risk modelling based on several

approaches: parametric, historical, historical

with bootstrapped residuals, Montecarlo

simulation of both diffusion and mixed jump

diffusion models

Value at Risk, Profit At Risk models based on a

factorial analysis, with factors modelled via

Principal components and / or regression of

underlying risk variables on a set of

'fundamental' data

Scenario analysis and stress testing of risk

factors

Greek analysis and monitoring

GARCH modelling of volatility

Model parameters calibration on market data

(e.g. Vasiceck, Heston, Hull-White, etc.)

Seasonality modelling for underlying risk

factors showing strong seasonal patterns (e.g.

power)

real time building of forward curves, for both

liquid and illiquid markets

definition, enforcement and monitoring of

risk taking limits, trading limits

Automation of P&L and risk metrics reports

(through Crystal Report)

default probability functions and default

probability transition matrices, expected

exposure, expected positive exposure, etc..

Development of an internal scoring models to

asses clients' creditworthiness

Coding of models for performance attribution

analysis

Definition and implementation of models to

validate VaR models

Models to asses liquidity risk

Knowledge of Basel II and ICAAP requirement

Risk Limits setting and monitoring

Investment funds management (Italian and Euro

Area equities, US equities)

Discretionary account manager (US equities)

Relevant Tools and Technologies:

Matlab (both procedural and OOP), SQL, MySql-

Python, FoxPro, some PL SQL, VBA, C#, Bloomberg

APIs. R used at university for exercises in statistic classes.

Languages:

Italian (mother-tongue)

English (fluent)

French (basic)

Greatest Achievement:

Several setups, from 'scratch', of risk management frameworks and trading desk activities

Modelling and coding of profitable trading

strategies

Setup of the trading desk at EPIU’SpA to trade

power and other energy products in Europe, both

for hedging and prop trading purposes (being in

charge of every aspect of the process: from closing agreements with the clearing house and the

clearing bank to negotiating ISDA and EFET

agreements and required collaterals, from

quantitative modelling to the implementation of

models through Matlab, SQL, etc.)

Driving efficiency through innovations, simplifications and automation of manual or semi-manual processes

Successful setup of the risk mgmt. and economic

analysis dept. ad Leonardo sgr asset mgmt. (correct detection of the build-up of systemic risk period that led to the financial crisis, well documented through the monthly reports pepared for the BoD and the

Investment Committee)

Setup of a complete model to quantify the risk related to energy derivatives to be launched at CME.

Leading a project to setup a quantitative model for Dynamic Asset Allocation, Scenario Analysis, Tail Risk Hedging, etc.

Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

Gianpiero Preziosi, ERP

Personal data

Military

service

Civil status: married Nationality: Italian

Date of birth: April 3

rd

1971 Place of birth: Rome

Place of residence: Legnano (MI)

Mobile: +39-392-***-**** (IT) / +44-752*-***-*** (UK)

E-mail: ac7r7z@r.postjobfree.com; ac7r7z@r.postjobfree.com 1991-1992: completed in Pesaro and Udine

Professional

experience

December 2015 to date Banca IMI SpA Milano (www.bancaimi.com)

Tail Risk Mgmt Desk.

From May 2016: Head of Portfolio Analysis Desk (Capital Markets – Investment Strategy Dept.): design and setup of an advanced quantitative model for dynamic tactical and strategic asset allocation, with applications to tail risk management, prop trading, tactical asset allocation, stress analysis of large scale portfolios investing in several different asset classes and financial instruments / derivatives, etc. Development of statistical and macroeconomic models to be used within the asset allocation framework to generate

‘views’. For a basic, high level presentation, look at https://www.ishares.com/it/investitori- professionali/it/literature/brochure/banca-imi-asset-allocation-en-it-pc-brochure.pdf. The development of this model has implied a big effort, involving:

- options pricing, futures/equity pricing, CDS pricing, multileg IRS pricing, RMBS and CLOs pricing and more under way)

- MCMC simulations, tails modeling, semiparametric multivariate distribution modeling, use of advanced Machine Learning techniques (e.g. SVM), volatility surfaces modeling

- AR-GARCH modeling, interest rate model (SABR), prepayment models, etc.

- Progressive deployment on various desks with the goal of setting up a state of the art, complete model, able to fit not only the bank’s needs, but also suitable for asset managers, hedge funds, trading firms, etc.

Supervising a group of 5-6 people.

Design and setup of an advanced factorial model to represent the risk exposure of the trading book in terms of ‘real-world’ aggregates

Design and implementation of real-time trading strategies (e.g. index arbitrage, algo based strategies, etc.) and related research in AI fields (Neural Networks and SVM in particular).

Development of quantitative trading strategies:

- Index arbitrage

- Stat-algo strategy on hourly Eurostoxx 50 future: Sharpe ratio steadly above 3, mid- low frequency (very low drawdown and low volatility equity line – backtest available since 2009). Highly profitable (average >20%/year) Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

- Accurate Buy/Sell indicator for daily Eurostoxx50 based on Artificial Intelligence

(Neural Network) and significant developments are under way in this regard September 2014 to December 2015 CME Group London (www.cmegroup.com)

Manager – Quantitative Risk Management

Risk modelling for CME traded derivatives, with particular regard to energy derivatives

Design and implementation of risk mgmt models, with particular regard to

- VaR models, Expected Shortfall models, based on several approaches: historical, Montecarlo simulation and parametric

- forward power contracts pricing/risk management

- use of Metropolis – Hastings algorithm for resampling purposes

Risk limits and margins setting. Supervision of daily risk monitoring activities 2011 - July 2014 EPIU SpA (www.epiuenergia.it)

Energy / Power Trader - Risk Manager

Trading desk and risk management setup

Hedging of power exposure and commodities related exposure (both commodity and FX components). Delta and delta-gamma hedging

Structuring and hedging of derivatives contracts for final customers (e.g. caps on power prices, commodities indexed power prices) through proprietary models developed in Matlab, with particular regard to power options modelling, pricing of complex forward indexed energy contracts

Trading of power and energy derivatives on EEX, IDEX, ICE and OTC power markets through the use of proprietary trading strategies developed in Matlab.

EPEX Spot Trader - IPEX Trader

Development of models for

- cross border capacity trading, spread trading, directional trading, etc.

- Modelling of real-time systematic quantitative strategies to generate short term buy/sell signals.

- Construction of a well balanced portfolio of short term trading strategy with annualized return in the 25-35% range, low volatility and very limited drawdown.

Combination of regression models based on fundamental variables and autoregressive / GARCH models to estimate daily power prices. Seasonality modelling.

Risk models:

- Scenario Analysis, VaR, PaR, CFaR based on several approaches (parametric, semi- parametric, historical w/bootstrapped residuals and GARCH )

- volatility estimates, Montecarlo simulation of mixed-jump diffusion processes, etc)

- Scenarios simulation based on Principal Component Analysis

OTCs counterparties Risk Evaluation (estimation CVAs and contracts risky and risk neutral values)

In-house project and co-development of an ETRM system

Automation of P&L and risk reporting systems

Setting and implementation of EMIR related procedures and connectivity with the trade repository

2009 - 2010 Leonardo Asset Management sgr pa - Milan

(then acquired from AcomeAsgr)

Head of Risk Management

Risk limits setting and monitoring through proprietary algorithms developed internally

Stochastic modelling: development of a model for generating quant based informative prospectus for customers (imposed by the new regulatory environment), based on a set of assumptions governing the volatility’s stochastic process and risk free rate - Hull and Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

White based calibration - to produce outputs in terms of risk neutral probabilities of possible returns scenarios (negative, positive and below the r.f. rate, etc 2007 - 2009 Banca Leonardo Group (www.bancaleonardo.com)

Risk mgmt of the group’s asset under management (traditional funds, quant funds, SICAV, FoHFs) within the centralized Group’s Risk Management department.

Portfolio optimization models (CAPM and Bayeasian approach).

Development of a multifactor and multistage model for the risk management and performance evaluation of funds of hedge funds (based on a combination of fundamental and statistical analysis, through regression and principal component analysis, to generate historical simulation VaR estimates).

Set up of hedging strategies for the bank’s seed capital

Portfolio optimisation and monitoring for newly launched funds.

Set up of a complete set of programs (written in SQL and Matlab) for the creation, management and maintenance of a complete risk management framework (VaR, ES, stress testing, scenario analysis, performance attribution, portfolios monitoring, UCITS compliance, etc.).

experience with ICAAP, Basel II and MIFID.

Risk limits setting and monitoring through proprietary algorithms developed internally

Client scoring and estimation of credit risk related to Basel II and ICAAP provisions: default probability functions and default probability transition matrices, potential future exposure, expected exposure, positive expected exposure, etc. 2002 - 2007 Leonardo Asset Management sgrpa - Milan

In charge, since March 2003, of the Risk Management &Economic Research and Analysis Department;

Development, utilizing Matlab, of a Risk Management System to monitor the risk profile of the company’s investments funds and for pricing derivative instruments. Design and implementation of several VaR models based on different methodologies (historical, extreme value theory – semi-parametric, MC, structuring dependence via copula functions, etc.);

Pricing of options and portfolios of options, including barrier options

Pricing of complex products via numerical methods (PDE numerical approximation through finite differences methods, MC simulation, lattice models)

Development, through Matlab, of quantitative models to support tactical and strategic investment decisions and trading strategies;

Portfolio optimization models (CAPM and Bayeasian approach).

Advisor for short term futures trading of the equity funds management team;

Temporary: management of Govt. bond investment funds Leonardo Monetario, Leonardo Obbligazionario and Leonardo Bond. Continuous daily very short term trading on Euro Bund Future and Euro Schatze Future with excellent results;

Monthly publishing of a macroeconomic research (& technical analysis) document to support strategic decisions of the Board of Directors;

Publishing, every two months, of an article about an European Blue Chip on ‘Il Sole 24 Ore’, the main Italian financial newspaper;

Investment fund management specialising in international and US stocks

Management, from July 2002 until December 2003, of 60% (invested in US stocks) of the fund Leo Equity (LEOEQTY IM Equity): taken from position 74 to position 16 in the Italian ranking of international investment funds in year 2002;

Management, from July 2002 until April 2003, of 66% (invested in US –33%- and Italian - 33%- stocks) of the fund Leo Flex (LEOFLEX IM Equity): taken from position 55 to position 40 in the Italian ranking of flexible investment funds in year 2002;

Management, from July 2002 until April 2003, of 20% (invested in Italian stocks) of the fund Leo 80/20 (LEO8020 IM Equity): taken from position 44 to position 7 in the Italian Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

ranking of mixed bonds investment funds in year 2002;

Advisor in the management of the fund Leonardo Euro (second position in the Italian ranking of European stocks investments fund in year 2002);

Short and intermediate term trading on stocks and equity derivatives (FIB30, S&P and Nasdaq futures, SPY, QQQ, exchange traded funds, Eurostoxx future, stocks and stock options traded on the main international stock exchanges, etc.); +30% (on average) the performance on the amount traded; engineering of complex strategies (straddle, strangle, butterfly, delta and gamma hedging, etc.).

1999-2002 Banco di Napoli Asset Management sgrSpA(then acquired from S.Paolo Wealth Management)

High net worth discretionary accounts portfolio manager and investment fund manager

(European and US equity);

Equity and equity-derivatives trader (futures, options, ETFs, U.S: and European stocks, etc.);

Technical analyst and Elliott waves analyst;

Development, through Matlab, of very innovative algorithmic trading systems and trading rules, both for mid-long term trading and short-high frequency trading. 1996-1999 Banco di Napoli Spa (www.bancodinapoli.it) Dept. head - high income customers manager (managed assets approx. €20m) and responsible for the trading of traditional financial instruments and derivative products

Futures and options trading for hedging and speculative purposes on intraday and intermediate term basis: delta hedging, gamma hedging, covered calls, etc.;

Construction of structured products via financial options;

Development of statistical and quantitative tools for support strategic and short- term technical analysis;

Promotion through merit to the next career level; 1994–1996 Banco di Napoli Spa

Vice dept. head, supervisor - small bank branches

Excellent evaluation for professional maturity and diligence shown 1990–1994 Banco di Napoli Spa

Bank clerk - cash-dependent then dedicated to all administrative and book- keeping functions

Excellent evaluation for quantity and quality of work performed Gianpiero Preziosi, ERP

m. +39-392-***-**** (IT)

e-mail: ac7r7z@r.postjobfree.com / ac7r7z@r.postjobfree.com Cover Sheet/CV (27.3.2018)

Education

2000 AIMR

®

Passed CFA

®

I (Chartered Financial Analyst) exam

1992-1998 Università degli Studi di Salerno (www.unisa.it)

Postgraduate degree in Economics (5 years - quantitative specialization) Final mark 104/110

Thesis in financial mathematics about derivative financial instruments titled ‘Financial Options – Valuations Models and Operative Strategies’ 1984–1989 I.T.C. ‘A. Genovesi’ Salerno

Accountant and Programmer diploma Final mark 60/60 2014

GARP's ERP exam(May 2014) passed

Languages

Excellent knowledge of English

Basic knowledge of French

Additional

experience

Main Skills

Salary

Linkedin

1999 – 2001

Periodic publishing of a technical analysis service on a web site 1994-1995

Eight months work experience abroad as a tour guide for Italian tourists

Trading, Systematic Statistical Arbitrage trading strategy development, Risk Neutral Pricing, Lattice Models, Montecarlo Simulation, Finite Difference Methods, Delta Hedging, Greeks based Hedging, Hedging in incomplete markets, Stochastic Modelling, Scenario Analysis, Forward curve modelling, Volatility Surface Modelling, Portfolio Optimization, Interest Rate Models, Matlab (procedural and OOP), SQL, MySql, FoxPro, DBIV, VBA, Matlab, C#, Python.

100.000 EUR / year + bonus + stocks based incentive plan + medical insurance and pension contribution + other benefits

http://it.linkedin.com/pub/gianpiero-preziosi/10/80/5a2



Contact this candidate