Gianfranco M.

Executive Director @JPMorganChase

London, GB

FIG Structuring and Banks ALMLead structurer and advisor to Bank Treasury and ALM functions across the UK, EU, and MENA, delivering innovative cross-asset strategies at the intersection of interest rate risk, capital efficiency, and regulatory challenges • Design and implementation of structural hedging programs for deposits and equity, embed convexity-aware overlays for NII stability, and incorporate behavioural modelling to manage optionality risk in volatile rate regimes. • Execute balance sheet optimization trades across capital and liquidity, including FX RWA reallocation, SRT structuring and bespoke securitisation-linked solutions. Develop and implement ICAAP-aligned capital strategies and ILAAP-driven liquidity optimisation through strategic repo trades, synthetic overlays, and collateral-efficient funding structures. • Advise on M&A transactions with in-depth expertise on purchase price adjustments for banking assets, structural hedge valuation, and alignment between regulatory and accounting frameworks. • Deep expertise in Basel 3.1 / CRR3 / IRRBB / IFRS 9–10, with hands-on experience applying regulatory frameworks within Treasury, ALM, and Risk steering. • Co-develop novel IRRBB and convexity frameworks, including “Convexity Inventory” and regime-aware ALM models, now featured in a forthcoming technical Banks ALM publication.

Politecnico di Torino

Bachelor Degree, Electronics Engineering

ESCP Business School

Master's degree, Management