curriculum vitae et studiorum

CURRICULUM VITAE ET STUDIORUM
DOZIO RODOLFO
Place and date of birth: Merate (LC), 13 October 1968.
Permanent address 23883 Brivio fraz. Beverate Via S. Simpliciano, 23/2
Mobile +39/335310150
Business e-mail: [email protected]
Personal e-mail: [email protected]
WORKING EXPERIENCE:
Jul ’10 -
Mediobanca. Head of Market Risk and Model Validation. Responsible for monitoring
market and counterparty risk of the whole bank (including foreign branches). Crucial
role in developing new risk methodologies, subsequently approved by the Risk
Committee, to evaluate risks outside the VaR perimeter. Defined the stress test scenario
applied to the trading position and realized its monitoring. Contributed to produce risk
measures used as input in risk adjusted performances and capital charges of the trading
desks. Responsible for the bank “product catalogue”, where the risk profile of all the
approved products is analyzed, and to the validation of all the financial model used by
the front office desks.
2003 – 10
Mediobanca. Head of Strategic ALM and Market Risk Management. Responsible for
daily monitoring and reporting of market risk on all the trading desks, via sensitivity and
VaR indicators, with main risk factors being interest rate (market and issuer specific),
equity, forex, inflation and volatility. Contributed to the redefinition of the issuer risk,
via a jump to the default indicator, and of the counterparty risk of derivative products by
means of the potential future exposure. Realized assessment for the Risk Committee of
non measurable risk in the trading floor.
Introduction of a new monitoring tool for the liquidity risk and responsible for drafting
the new Liquidity Policy and the Contingency Funding Plan. Member of the ABI (Italian
banks association) group on Basel III Liquidity indicators.
Monitoring of the bank ALM position with regular reporting to the top management of
the interest rate exposure of the banking book; forecast of the net interest rate margin
and its sensitivity to rate shift in the budget process; scenario analysis on the main
balancesheet items for strategic purposes.
2002
Banca Intesa (now Intesa San Paolo). Market Economist at Treasury department.
Member, as Italian representative, of the ECB working group which drafted the white
paper on the European short term paper markets Co-responsible for the “Liquidity
Contingency Plan”.
1996-01 BCI. Analyst and economist at the Research Dept of Banca Commerciale Italiana, mainly
focused on the Italian economy before the start of the EMU. Production of daily, and
weekly analysis on the main macroeconomic indicators (inflation, GDP growth, etc.), on
the Bank of Italy monetary policy and on the status of public accounts.
Regular
contribution to the quarterly research note on key Italian structural issues, usually
presented also to the Italian press. Research activity on the structured bond market,
published in internal notes (pricing of equity linked bonds, reverse floaters, dual
currency bonds, etc.).
1995-96 CARIPLO. Analyst ed economist at the reaserch departement of one of the major Italian
saving banks, focused on the Italian bond market both on a structural (public debt
composition) and on a financial viewpoint (yield curve analysis and interest rate
forecast)
1994
Bocconi University – Department of Economics. Research activity on the Bank of Italy
monetary policy and the functioning of the liquidity market;
PUBLICATIONS:
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Obbligazioni indicizzate all’indice di borsa: il titolo Mediobanca, Capital Market Notes (CMN)
0697– BCI Research Dep., Mar ’97;
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Obbligazioni ad indicizzazione reale (et al.), CMN 0897 – BCI Research Dep, May ’97;
Dual currency bonds, CMN 1197 – BCI Research Dep, Jun ’97;
Equity linked bonds (with M. Esposito), CMN 1897 – BCI Research Dep, Oct ’97;
Una Taylor rule per l’aggregato EU-11, indicazioni per il futuro tasso dell’euro? (together with
M. Esposito), CMN 0298 – BCI Research Dep, Jan ’98;
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Reverse floaters: due applicazioni (with M. Esposito), CMN 0498 – BCI Research Dep, Feb ’98;
Titoli obbligazionari con swaptions CMN 0598 - BCI Research Dep, Mar ’98
Misure di core-inflation nelle esperienze internazionali, CMN 0898 – BCI Research Dep, Apr ’98;
Local government bonds: market developments and comparisons across Europe, (together with
M. Esposito and P. Criscuolo), CMN – BCI Research Dep, Nov ’98;
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Euro area: what benchmark for government bonds and interest rate derivatives (together with M.
Capretti), CMN 0799 – BCI Research Dep, Mar ’99;
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Le conseguenze economiche della guerra in Kosovo (et al.), CMN 0999 – BCI Research Dep, Apr
’99;
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L’utilizzo delle basis splines per la rich-cheap analysis, CMN 1199 – BCI Research Dep, May ’99;
Term premia and forward rates (with M. Esposito), CMN 1999 – BCI Research Dep, Nov ’99.
Finanza locale e mercato dei capitali in una prospettiva europea – Tendenze monetarie n° 78
(member of the working group), BCI Research Dep, Feb ‘00
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L’effetto della componente non stagionale dei giorni lavorativi sul PIL italiano – CMN 10-2000 –
BCI Research Dep, Dec ’00
EDUCATION:
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Degree in Economics, at Bocconi University - Milan, Thesis on option pricing. Final grade:
110/110 with honour
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Master course in Finance, at Stockholm School of Economics - Stockholm.
OTHER COURSES:
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“Risk-adjusted performance measurement”, prof. F. Saita e A. Sironi, Mar ‘04;
“MonteCarlo Methods for Pricing and Hedging”, prof. P. Wilmott, Dec ‘05;
“Fixed Income: from pricing and risk analysis to portfolio strategies and performance
attribution”, prof. M. Livingstone e W. Hallerbach, Oct ’07;
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“Using Inflation Derivatives in today’s markets”, prof. D.Cox, Feb ‘08;
“Liquidity Gap Analysis and Management”, W. D’Haese, Apr ‘08;
Language skills: Italian (mother tongue), English (fluent) and French (basic knowledge)
Other interest:
Volunteering in community association, traveling, trekking.
Autorizzo il trattamento dei dati in conformità a quanto previsto dal DL 196/03