Andrea Pasqualucci
Credit Risk Consultant @Deloitte
Signup · Get unlimited contacts
WORK HISTORY
Credit Risk Consultant @Deloitte
Tier 1 Italian Bank: support to ICT & Cybersecurity team to align their second-level controls framework to RDARR principles & evolve their ICT asset and Data classification methodologies, according to DORA regulation- Minor Italian Bank: support to addressing BankIT inspection and ordinary activities of the CRMteam, draft IFRS 9 and Standard Basel framework reporting and level 2 controls, as well as developfrom scratch a Danger Rate framework for internal managerial purposes- Public Italian Bank: setting up a backtesting framework for EW System applied to CQM procedure- Tier 1 French Banking Group: validation of AIRB Component LGD Models - Main Tasks: support tothe bank validation team in the reconstruction of the RDS used for model design, calculation ofobserved and estimated LGD, inclusion of data from acquired subsidiaries, sample representativenessanalyses, BCE obligations resolution, processing methodological documentation and credit risk reporting- Tier 1 French Banking Group: validation of AIRB One-Step LGD - Main Tasks: support to the bankvalidation team in the reconstruction of the RDS used for model design, calculation of observed andestimated LGD, inclusion of data from acquired subsidiaries, sample representativeness analyses, BCE obligations resolution, processing methodological documentation and credit risk reporting- Tier 1 Italian Banking Group: development of IFRS9 LGD Performing and Defaulted Assets models, for Corporate, Retail and Leasing Portfolios - Main Tasks: expansion of time series and inclusion of data of acquired subsidiaries, processing methodological documentation and credit risk reporting- Tier 1 Italian Banking Group: support to the extensions of AIRB PD Models from bank headoffice to main foreign subsidiaries - Main Tasks: assessment on processes of calculation andinheritance of credit risk measures, supervision of data consistency and information exchangeadequacy among institutions
EDUCATION
Università degli Studi 'Gabriele d'Annunzio' di Chieti
Bachelor's degree, Finance, General
Budapest University of Economics and Business
Bachelor's degree, economics and finance
Alma Mater Studiorum – Università di Bologna
Master's degree in Quantitative Finance, Econometrics and Quantitative Economics
ABOUT ANDREA PASQUALUCCI
Consultant - Deloitte
This profile is compiled from publicly available professional sources. Unifers is not affiliated with or endorsed by LinkedIn. Request removal of this profile.