Business Analyst Interest Rate
Resume:
Martina D'Aguanno
Model validator
*+ years of experience
SUMMARY
I am highly experienced in model validation and risk assessment, focusing on various financial models. Additionally, I have five years of experience in IT business transformation. My educational background in Quantitative finance provides me with a strong foundation in Econometrics, enabling robust financial evaluation, precise statistical modelling, and informed decision-making. Proficient in Excel, Python, and Matlab tools, I can extract invaluable insights from intricate datasets. Moreover, my experience at Reply Avantage has given me a comprehensive command over Basel models, encompassing PD, LGD, and EAD. My role as a Model Validator at ING further underscores my prowess in articulating intricate concepts, mainly through written communication. Producing comprehensive validation reports and providing model risk counsel to senior management has further refined my ability to convey complex information with clarity and precision. EXPERIENCE
ING, Amsterdam, Netherlands — Model Validator AUGUST 2022 - CURRENT
My daily activities involve assessing the accuracy and suitability of models, writing comprehensive validation reports, and providing ad-hoc analyses and model risk advice to senior management. I also actively participate in the development and promotion of validation frameworks and coding libraries. My expertise spans behavioural modelling (mortgage and other loan prepayments and non-maturity deposits), interest rate modelling (market models, e.g. Hull-White model), valuation (deposit portfolio with embedded options), pricing, replication, and risk measurement (reporting NPVaR, RRaR, NIIaR). Additionally, I contribute to team building and development by sharing knowledge, coaching junior staff, and embracing an Agile way of working. Group-ib, Amsterdam, Netherlands — Digital Risk Protection Analyst OCTOBER 2021 - JULY 2022
Working as a Digital Risk Protection Analyst for a technological service designed to detect and eliminate threats to brands on the Internet. I prevent financial and reputational damage caused to businesses by brand abuse, Internet fraud, online piracy, and counterfeiting.
● Providing service to the largest banks and international companies;
● Analytics and monitoring of web resources;
● Detection of brand violations on the Internet;
● Work against phishing, Internet fraud, illegal trademark usage, and copyright violations;
● Communication with owners of illegal content resources; PERSONAL INFO
Korte Herenstraat 25, 2011 LW Haarlem,
Netherlands
*****************@*****.***
in/martinadaguanno
LANGUAGES
Italian (native).
English (IELTS B2).
TOOLS & TECHNOLOGIES
Python, Matlab, SQL, GIT, Murex,
Bloomberg, Agile Methodology, Jira,
Confluence, Chart IQ, Postman, Word,
Excel, and Powerpoint.
COURSES
The Python Quants, Online — Algorithmic
Trading & Computational Finance IN
PROGRESS
Intense online training program about
Python techniques for algorithmic trading
and
computational finance.
More detail
Udemy, Online — The Complete Python 3
Course: Go from Beginner to Advanced!
MARCH 2019 - MAY 2019
Gain general knowledge regarding the
Python programming language. Write
scripts for general
productivity tasks. Read and comprehend
Python code.
Certificate More detail
OTHER ACTIVITIES
C.U.Ori, Cassino, Italy — SOT Operator
MARCH 2015 - JULY 2015
University Orientation Center, Cassino.
Carried out activities such as freshers'
welcome, orientation, mentoring and
office management (100 working hours).
Self-Employee, Cassino, Italy — Students
tutoring
Reply Avantage, Milan, Italy — Senior Quantitative Analyst MARCH 2018 - JULY 2022
Working as Senior Quantitative Analyst at Banca Popolare di Sondrio on various projects:
● Project management related to credit risk, such as validation of IRB and IFRS 9.
● Validation model for different asset classes (bonds, asset-backed securities, derivatives) pricing mode. The main activities for the validation of each pricing model were:
● Analysis and control of input data and related sources. Verification of the theoretical pricing model and data calibration procedure;
● Benchmarking of pricing models;
● Verification of the software code used to calculate the value of the financial instrument based on the inputs and the theoretical model used;
● Verification of model results through a comparison with alternative models or market prices where available;
● Control the adequacy of internal processes and policies on the pricing of financial instruments.
● Implement pricing models in Matlab for different asset classes to validate the system used by the bank (MasterFinance) and for IPV (Independent Price Verification) purposes. The asset classes analysed with the respective models implemented are the following:
● Structured, fixed and floating bonds: Amortized, Callable and Putable bonds;
● Interest Rate Derivatives: Interest rate swap, cap/floor;
● FX Derivatives: Option (European and American style, Barrer), forwards, swaps.
● Automation of daily pricing process for bonds. Implementation through Matlab of a methodology for the calculation of credit spread starting from z-spreads of issued bonds and sectoral curves acquired from the market data provider (Bloomberg);
● Monitoring and calculation of the counterparty credit risk exposure (SA-CCR) in accordance with the regulatory framework using tools such as VBA and Excel;
● Manage and manipulate large sets of data acquired by different data providers
● Interest rate swap pricing model (determination of the scheduled date, fixing date, forward rate, discount rate and short coupon);
● Cap/floor pricing model;
● Asset Swap spread model to determine the price of structured bonds such as fixed-to-float bonds in different currencies.
● Development of a GUI to support tests for the model validation. Objectway, Milan, Italy — Business Analyst
JULY 2016 - APRIL 2018
Functional and technical analysis for a software platform dedicated to wealth investment management and trading operations.
SEPTEMBER 2010 - JULY 2015
Lectured Mathematics and Political
Economics for students of secondary
schools and universities.
HOBBIES
Reading (especially classical literature),
Sports (like Football, Running and
Crossfit),
Travelling and
Photography.
EDUCATION
IPE Business School, Naples, Italy —
Master’s in “Advanced finance: Quantitative
method and Risk Management” NOVEMBER
2015 - JULY 2016
Topics covered:
● Statistics and Data analysis for
finance;
● Trading and Asset Allocation;
● Risk Management: definition,
measurement, management;
● Market risk, interest rate risk,
liquidity risk, credit risk, external
balance sheet risk, operational
risk and other risks.
Project Work at Promos Bank for
admission to the listing of the regulated
markets of debt instruments with the
drafting of the necessary documentation.
University of Cassino and Southern Lazio,
Cassino, Italy — Master’s degree in
Management SEPTEMBER 2013 - JULY 2015
Thesis in "Financial Risk and Behavioural
Finance" entitled "The
under-over-reaction heuristic in the
Italian market after the crisis". Rating:
110/110 with honours.
University of Cassino and Southern Lazio,
Cassino, Italy — Bachelor's Degree in
Business Administration SEPTEMBER 2010 -
JULY 2013
Thesis in "Political Economy" titled "The
financial crisis and Italy." Rating: 110/110
and honours.
● Worked as Product Owner for Ireland KBCI bank aimed at the development of an investment platform;
● Worked as Business Analyst to implement a reporting tool for trading activities (e.g. trading charts);
● Worked to ensure compliance of software platforms with European Regulation
(e.g MIFID II).
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