Mattia Mantovani is a founding member of Analitica S.R.L., where he deals with computational finance and business consulting. He began his career developing mathematical models for the pricing of derivative instruments and held various roles in the asset management industry on an international scale. His responsibilities include portfolio valuation, market risk calculation and quantitative analysis of financial markets. He has developed financial technologies for some of the leading investment banks and intermediaries operating in the sector. He graduated with honors in Finance, Intermediaries and Markets and has completed the Advanced Training Course in Mathematical Finance at the University of Bologna.
Taxonomy of risks: Market risk (price), counterparty risk, credit risk, settlement risk, exchange rate risk, liquidity risk. Market Risk Measures (Var, C-Var and Expected Shortfall): description, robustness, communication strategy of their meaning. Credit risk and related hedging methodologies (CDS). Liquidity risk: how to measure it. The role of derivative instruments: Futures, Forward. Swaps. Options: risk management through options.