Valerio Lazzaro
Summary
Quantitative analyst and Actuarial education.
Consultancy attitude
International experience - China
Excellent skills in "problem solving", adaptability.
Position
Data Modeler & Data Scientist in Risk Management
Work experience
Languages
Italian, english
IT Skills
Deep knowledge: Microsoft Office package (I have ECDL-full), VBA, SQL, MatLab, Gretl, R SAS.
Medium knowledge: Python, ALM Hp
Basic knowledge: C++, C#
2010 - present
Data Modeler & Data Scientist in Risk Management
09 November 2015 - Current
Company:
ACCENTURE SpA, Turin (Italy)
web-site: https://www.accenture.com
Consulting
▪ Team Lead in participation in ECB project "BIRD - Banks’ Integrated Reporting Dictionary" in Work stream of test (AnaCredit Framework) performing Test Case definition and their implementation in order to check the consistency of the framework [from June 2019, Current]
▪ Requirement definition, Data modeler and User Acceptable Tester at main Italian Bank on:
▫ "DDL - Democratic Data Labs": internal project aimed to use a new database to feed office devoted to estimate some credit risk parameters [from October 2021, Current]
▫ "CRMS - Credit Risk Management Solution": internal project aimed to compute relevant credit risk measure more frequently than monthly [from October 2018, Current]
▫ "AnaCredit - Analytical Credit Datasets" (BCE/2016/13) regulatory report [from April 2017 to September 2018]
▫ "Principles for effective Risk Data Aggregation and Risk Reporting" (BCBS 239) framework [from November 2015 to March 2017]
▪ Data Modeler in a feasibility study to explore & design the Future of Regulatory Reporting for German NCB [from October 2021 to December 2021]
▪ Promoting Machine Learning and its real application at University of Turin [from September 2019 to December 2019]
2010 - present
Data Analyst & Natural Gas Trader
01 October 2013 - 30 October 2015
Company:
ENOI SpA, Milan (Italy)
web-site: http://www.enoi.eu
Natural Gas and Power Company
▪ Trading Office [from 01 December 2014 to 30 October 2015]: performing natural gas price analysis, trading natural gas across European Hub, optimizing natural gas assets (e.g.: transports and storages)
▪ Research, Development and Risk Management Office [from 01 October 2013 to 30 November 2014]: developing Risk Management metrics (portfolio's sensitivity and Value at Risk), implementing forecast models on prices and gas consumption using MatLab, SQL and Excel; database management; reporting and ERP
(More details)
Consulting - Internship
01 March 2013 – 31 April 2013
Company:
Gold Millennium Group, Beijing (China)
web-site: http://www.goldmillennium.net
Consulting
Principal subjects / occupational skills covered:
Start-up consultancy, research of economics/financials data, head recruiting. (More details)
University Interniship
February 2010 - May 2010
Company:
Michele Rua institute, Turin (Italy)
web-site: http://www.michelerua.it
No-profit entity carrying on: school, theatre, cinema, aggregation center, social aid.
Principal subjects / occupational skills covered:
-Secretary, assistance in the management and administration of the Institute. (More details)
Education
Title of qualification awarded:
Master's degree in "Finance & Insurance" (LM-16 + LM-83)
Principal subjects / occupational skills covered:
-General skills: finance and insurance.
-Acquired competences: financial products and financial engineering, English (Master's was entirely in English), statistics, math, management of economic and financial resources, insurance and business law, programming in VBA, R, C + +; deep knowledge in MsOffice package (More details).
-Graduated without delays with a score of 105/110; thesis’ topic is: "Claims reserving methods and
Non-life premium and reserve risk under Solvency II" (Contents).
Title of qualification awarded:
Bachelor's degree in "Business Economics - Markets and Financial Intermediaries" (L-17)
Principal subjects / occupational skills covered:
-General skills: Economics.
-Acquired competences: Management and corporate finance, accounting, economics of financial institutions, law (public, private, commercial), Banking and Financial markets, MsOffice package (More details).
-Graduated without delays with a score of 108/110; thesis’ topic was: "Engineering Spa balance-sheet
analysis" (Contents).