Francesco is a Partner of KPMG Advisory Milan in FRM, Financial Risk Management and has a degree in Financial Markets from the Bocconi University of Milan. He has acquired a wide range of practical experience consulting in the implementation of Risk Management and Debt Capital Market Solutions, selection of front office and middle office software for financial institutions, development of methodologies acting as Financial Engineer and engagement in system integration and software implementation.
A selection of the wide range of projects Francesco took part of:
- Risk Analysis in terms of Asset/Liability Management and support in risk quantification processes in terms of Value at Risk, Cash Flow at Risk, Expected Shortfall methodologies. The main focus is on market, liquidity and credit risk factors.
- Fairness analysis related to securitization transactions cash funded and synthetic. The main focus is on Cash Flow analysis, Excess spread evaluation, SPV financial risk analysis, bonds evaluation.
- Fairness analysis related to structured notes issued by Financial Institutions operating in the Banking and Insurance sector. The services include the analysis of hedging instruments and the calculation of risk exposures.
- Fairness analysis on OTC derivatives restructuring in Equity, Interest Rates and FX markets. Development of pricing models for the calculation of sensitivities and Mark to Market infos. The services include the modeling of credit spread in order to correctly represent the counterparty risk embedded into transactions (Asset Swap methodology, Zero Coupon methodology).
- Effectiveness test analysis based on IAS 39 methodologies, performed on complex derivatives transactions. The effectiveness quantification is based on proprietary models for the assessment in a retrospective (back testing) and perspective point of view.
- Risk Management and ALM processes implementation for Financial Risk Management in the Corporate sector, with a special focus on energy markets related to electricity, natural gas and oil.
- Audit support in the evaluation of structured instruments and Risk Management methodologies for all Audit clients in Italy. The tasks include: fair value analysis, hedging strategy analysis, ALM/VaR/Sensitivity methodology assessment. In addition the FE team performs all the assessment activity related to transparency and accounting rules (IAS 39, ABI “Patti Chiari”, Capital adequacy).