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

ady5ho@r.postjobfree.com

+39-329-***-****

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).

Contact this candidate