Francesco Pacciani
Market Risk Analyst @Banca Monte Dei Paschi Di Siena
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WORK HISTORY
Market Risk Analyst @Banca Monte Dei Paschi Di Siena
Siena, IT
As a Market Risk Analyst, I joined the Market and Counterparty Risk team in Banca MPS. My main activities involve managing models and market parameters in order to allow the correct fair value valorization for derivatives held in the Bank\'s portfolio. I am also involved in calculation of Additional Valuation Adjustments (AVA) within the Prudential Valuation framework and in calculation of Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and other kind of XVAs on derivatives.I took part in the development of a new Issuer Risk Metric, based on the Fundamental Review of the Trading Book (FRTB) framework and in the IBOR transition implementation for IR derivatives held in the Bank’s portfolio.I was also involved in the implementation of the SA-CCR metric for counterparty risk monitoring on daily basis.
EDUCATION
Università di Siena
Bachelor of Science (BSc), Fisica e Tecnologie Avanzate / Physics and Advanced Technologies
Università di Pisa
Master of Science (MSc), Fisica / Physics
Liceo Scientifico
Diploma di Maturità Scientifica
SKILLS
ABOUT FRANCESCO PACCIANI
I am a very curious and determined person: my strong point is the inclination to understand and solve all the different problems occurring both in my study and working fields. Currently, my main ambition is a professional growth in fields which allow me to apply the technical and scientific skills acquired during my studies.
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