Sara Ferrari
Financial Market Risk Controller @Intesa Sanpaolo
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WORK HISTORY
Financial Market Risk Controller @Intesa Sanpaolo
Milan, IT
Produzione giornaliera del Daily Backtesting PL, estrapolato dalPL Gestionale, una volta escluse le componenti non esposte al rischio di mercato (così come richiesto dai Regulators attraverso la normativa Basilea 2.5).Confronto con il VAR e controllo del non superamento dei limiti.Confronto e analisi delle differenze con il Theoretical PL.Analisi del Daily PL di Backtesting in relazione al movimento dei fattori di rischio collegati.
EDUCATION
Liceo Scientifico A.F. Formiggini, Sassuolo (MO)
Diploma di Maturita' Scientifica
Master
MASTER
Degree in Business Economics (before university reform Branch, totally 5 Y)
Banks and Capital Markets
SKILLS
ABOUT SARA FERRARI
I work in Capital Markets from 2004, started in Interest Rate Trading and Sales Desk. In the last 11 years I dealings with: Derivatives pricing and analysis, PL Financial Monitoring, Risk (RAF, VAR, EOD Limits on Trading/Banking Book, Collateral Dispute, PL Backtesting, EMIR, Risk Factor PL Attribution).I have a Cross Expertise: Front Office, Liquidity, Risk, Financial Monitoring (PL, Greeks), Capital Requirements (Basilea 2.5, New FTRB), Functional (Murex, Kondor Plus, Bloomberg), IT Data management (Power BI).
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