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Alumni 2016/2017

Operations Manager & Junior Risk Officer at Auriga Asset Management Limited

Aurel Bardeli

Thesis: "Attribution of ex-ante performance and risk to market sectors" Supervisor: Prof. Ugo Pomante
Consulente BI at ADVANT S.r.l.

Andrea Bilardi

Thesis: "Dimension Reduction Methods and Har: forecasting analysis" Supervisor: Prof. Gianluca Cubadda
Credit Risk Modeller at BNL BNP Paribas Group - CFA Level I Candidate

Carlo Borin

Thesis: "A comparison of wrong-way risk Credit Value Adjustment using different techniques: change of measure, 2D Monte Carlo, Gaussian Copula resampling approach and Basel III" Supervisor: Prof. Alessandro Ramponi
Business Analyst CRM at Siemens Healthineers

Andrea Cagnazzi

Thesis: "The reliability of Bitcoin's futures: optimal edge estimation for bitcoin cryptocurrency" Supervisor: Prof. Gianni Nicolini
Quantitative Analyst at GEKO, Rome

Francesco Calascibetta

Thesis: "CryptoCoin and Applycation of Financial Derivatives on the ICOs" Supervisor: Prof. Gianni Nicolini
Investment Analyst at Amsterdam Trade Bank, Amsterdam

Pierluigi Camerota

Thesis: "Long-term impact of emrger synergies in the healthcare industry" Supervisor: Prof. Vincenzo Farina
M&A at Poste Italiane

Mirko Caprasecca

Thesis: "Can market reaction on announcement date affect M&A failure? Evidence from financial deals in the U.S. market" Supervisor: Prof. Stefano Caiazza
Analyst at Oliver Wyman, Milan

Jacopo Centofanti

Thesis: "High dimensionality in variance estimation and portfolio allocation" Supervisor: Prof. Tommaso Proietti
Financial Consultant at Poste Italiane

Andrea Ciolli

Thesis: "Target Cumulative Abnormal Return to M&As in US Banking Sector from 2000-2018" Supervisor: Prof. Stefano Caiazza
Structured Finance Investment Analyst at Fasanara Capital, London

Gennario Crocamo

Thesis: "European call option pricing through artificial neural network and heston's parametrics model: a theoretical and empirical comparison" Supervisor: Prof. Stefano Herzel
Business Administration & Controller- DI FA at Siemens

Simone De Paoli

Thesis: "Expectile as misure of risk in a portfolio selection" Supervisor: Prof. Tommaso Proietti
BPMN researcher at University of Rome Tor Vergata

Maral Delghandi

Thesis: "Impact of Political Events on Stock Market Returns: Empirical Evidence from Tehran Stock Exchange" Supervisor: Prof. Vincenzo Farina
Liquidity Risk Associate at Morgan Stanley, London

Gabriele Di Giacomo

Thesis: "Volatility spillovers in visegrad countries" Supervisor: Prof. Gianluca Cubadda
PMO & Deals Execution at Ifis Npl Investing (Banca Ifis Group)

Savino Diaferia

Thesis: "Merger Arbitrage: Profitability and Risk-Return Characteristic in the Italian Market" Supervisor: Prof. Vincenzo Farina
CEO Strategic Support Direction at Intesa Sanpaolo, Milan

Nicolò Filippi

Thesis: "The counterparty credit risk and its implication on profit and loss statement and regulatory capital" Supervisor: Prof. Stefano Herzel
Senior Consultant - Quantitative Risk Management at EY, Milan

Federica Forte

Thesis: "Portfolio Optimization using Conditional Value at Risk: Application and Comparison with the Black-Litterman Model" Supervisor: Prof. Ugo Pomante
XVA Trader at Banca IMI

Simone Fortuna

Thesis: "Study on rough volatility" Supervisor: Prof. Davide Pirino
Senior Consultant at e*finance consulting Reply

Delia Incognito

Thesis: "The pricing of derivatives with collaterals" Supervisor: Prof. Stefano Herzel
Valuation Analyst at Invitalia, Rome

Luigi Isernia

Thesis: "Weather risk management for utilities & energy: methodologies for estimating exposure and managing risk" Supervisor: Prof. Gianni Nicolini
Credit Analyst at PayEx, Stockholm

Jesper Karlsson

Thesis: "Transition matrices contional on macroeconomic cycles: a portfolio stress-test application" Supervisor: Prof. Stefano Herzel
Equity Data Specialist at Bloomberg LP

Rachele Antonella Lauro

Thesis: "Factor models and machine-learning apporach to explain cross-country open-end equity investment funds' returns" Supervisor: Prof. Rocco Ciciretti

Zaur Mammadov

Thesis: "Implied Volatility Surface: Difference Between Heston Model And Svi Parametrization" Supervisor: Prof. Alessandro Ramponi
Corporate Relationship Manager at UniCredit, Rome

Massimo Mastrantonio

Thesis: Derivatives trading impact on the CBOE volatility index: empirical analysis from the SEP 500 index and its component stocks Supervisor: Prof. Gianni Nicolini
Management Consulting Analyst at Accenture

Gianluca Molinaro

Thesis: "A Financial Stress Index for Turkey" Supervisor: Prof. Gianluca Cubadda
Financial Analyst at Invitalia, Rome

Michela Monti

Thesis: "Shrinkage estimation of the covariance matrix for portfolio optimization: an empirical assessment" Supervisor: Prof. Gianluca Cubadda
Credit Advisor at Mutuiamo, Rome

Saverio Piacenti

Thesis: "Value Creation Effect: Spin Off vs. Equity Carve Out" Supervisor: Prof. Vincenzo Farina
Quantitative Risk Analyst at UniCredit, Milan

Shehan Pitiduwa Hewage Weeraratne

Thesis: "Modelling XVA using multivariate structural default model with jumps" Supervisor: Prof. Alessandro Ramponi
Financial Engineering and Fair Value Measurement at CDP Cassa Depositi e Prestiti

Sara Pomponi

Thesis: "Measuring equity markets connectedness" Supervisor: Prof. Tommaso Proietti
Senior Associate - FS Strategy & Value creation at PwC, Milan

Tommaso Porcaro

Thesis: "Financial Applications of Time-Varying Copulas" Supervisor: Prof. Tommaso Proietti
Strategic Team - Junior Insurance Broker at Aon, Milan

Daniele Ruffa

Thesis: "The Private Equity funds performance" Supervisor: Prof. Vincenzo Farina
Junior Research Analyst at Federcasse

Luca Santabarbara

Thesis: "Does the bitcoin improve predictability over the SEP500 index?" Supervisor: Prof. Stefano Grassi
Quantitative Power Market Analyst at Enel Global Trading

Luca Sapienza

Thesis: "Heston-Nandi and factors on demand: two different approaches for hedging options alternative to black-scholes" Supervisor: Prof. Stefano Herzel
Macro Trading Intern at Brevan Howard, New York

Marco Scarpetta

Thesis: "Flexible views processing copula opinion pooling" Supervisor: Prof. Ugo Pomante
Financial Valuation Specialist at Enel X, Rome

Riccardo Schiavon

Thesis: "EUROSTOXX50: two pair trading comparison approaches" Supervisor: Prof. Stefano Grassi
Financial Structurer at Enel, Rome

Federico Sinisi

Thesis: "Asset pricing anomalies and factor trading - an empirical analysis on the Swedish market" Supervisor: Prof. Stefano Herzel
Corporate Relationship Manager at UniCredit, Milan

Luca Smorra

Thesis: "The Italian market of NPL: Banca IFIS case study" Supervisor: Prof. Vincenzo Farina
Responsible of Project Team at Modefinance, Trieste

Orlova Victoria

Thesis: "Estimating probability of sovereign defaults" Supervisor: Prof. Maura Mezzetti
Informatin Technology Specialist at Azienda Sanitaria Provinciale di Catania

Silvano Zappalà

Thesis: "Checking for predictability of asset returns: the role of factor model" Supervisor: Prof. Gianluca Cubadda
Graduate Portfolio Analyst at PIMCO, Ireland

Riccardo Zingaro

Thesis: "Petroyuan: a multiple regression analysis and arbitrage opportunities" Supervisor: Prof. Gianni Nicolini