Experience

• Financial Auditing: Conducted meticulous financial audits to ensure accuracy, compliance, and adherence to IAS/IFRS standards; evaluated internal control reliability, fraud risk, and historical misstatements to establish performance materiality.
• Derivative Valuation: Conducted aspects of hedge accounting under IFRS 9, including tests of details using a sampling approach for hedging relationships designated as cash flow hedges, fair value hedges, and hedges of a net investment; evaluate whether the previously held equity interest has been remeasured in accordance with the applicable financial reporting framework.
• Risk Assessment: Testing both control reliance and ABCOTDs, with a focus on Banking & Capital Markets and Investment Managements, i.e. variability in the pricing/rate structure; changes in the composition of underlying portfolio; Presence and extent of redemption/withdrawal limits. Complexity related to the fee calculation model and its implementation and ongoing execution.

Education

• Quantitative Methods: Stochastic pricing models (Black-Scholes, Heston), dependency modeling with copulas, risk metrics (VaR, Expected Shortfall), volatility modeling (GARCH), Monte Carlo simulation, factor modeling.
• Machine Learning: Ensemble methods (XGBoost, Random Forest), Neural Networks, sequence models (LSTM, TCN) for market microstructure analysis and LOB high-frequency trading.

• Stochastic Processes: Black-Scholes model, Ornstein-Uhlenbeck/Hull-White model, conditional expectations in L1 and L2 spaces, Martingales, Brownian motion, Lévy processes, Poisson random measures.
• Information Theory: Entropy for market uncertainty, mutual information for signal extraction, Kullback-Leibler divergence for model validation.

Technical Skills

• Programming Languages: Python, C/C++, git, R, LaTeX
• Tools: PowerBI, Bloomberg, Refinitiv
• Languages: Italian (native), English (C1), German (B1)