Matteo Marega

Background

About Matteo Marega

Matteo has 15 years of professional experience in the Risk Management for Financial Industries. His range of expertise covers derivative products, risk measures and markets He has a strong familiarity with the development and the validation of Internal Models for Market Risk and Counterparty Credit Risk capital requirement calculations gained in leading European banks and a comprehensive experience in developing complex projects in multinational banking and corporate groups Main Skills and experience- Regulation framework (Basel II - Market Risk, Counterparty and Credit Risk - Market Risk Modelling: Value at Risk (VaR), Greeks, Stress Test, Incremental Risk Charge (IRC)- Counterparty Credit Risk: Future Exposures (EPE, PFE), Credit Value Adjustment (CVA)- Backtesting framework definition and development (Market Risks and CCR)- Pillar II Risks modelling, Economic Capital, Risk Adjusted Performance Measurement, Risk Appetite - Researches, Market and Risk analyses, portfolio composition and concentrations review - Programming languages (VBA, Matlab), database and database language (MS and Oracle), info providers (Bloomberg, Reuters, Mark-it), financial tools commonly used in Risk Management (Algo, Fincad) and Front Office (Murex, Kondor), Excellent Office Package knowledge