Quant Researcher in Fixed-Income Modelling at BlackRock
Former Portfolio Manager in Systematic Credit and Equity
I have 10+ years of experience in applied quantitative research in financial markets. I am a Vice President in Fixed-Income modelling research at BlackRock in the Financial Modelling Group (FMG).
Previously, I worked in the hedge fund industry as a quantitative researcher and portfolio manager.
Over the years, I have worked on different projects, including developing trading systems for systematic credit and equity strategies,
alpha and risk modeling, portfolio construction, implementation, and management, market analyses from a macro standpoint, and many more.
Data is what's behind my work and I use any tool to explore it, from statistics to machine learning to econometrics.
I worked as a quant researcher and PM at top-tier hedge funds like Kepos Capital, AQR Capital Management, and Two Sigma Investments. I started my research work in finance in 2012 when I was at the University of Chicago Booth School of Business, initially as a visiting scholar and then as a post-doctoral fellow at the Fama-Miller Center for Research in Finance.
My research interest spans several topics, including asset pricing and machine learning. I am the recipient of several academic awards, including: the 2016 Jack Treynor Prize, the 2014 UniCredit & Universities Best Ph.D. Thesis Award, the 2014 John A. Doukas Best Ph.D. Paper Award and the 2011 Orazio Ruggeri Best Master Thesis Award.
I earned my Ph.D. in Finance at the University of Rome 'Tor Vergata' in 2013, and my master's with summa cum laude and special mention (“dignità di stampa”) in economics and finance at LUISS 'Guido Carli' University in Rome in 2010. My undergraduate work was in economics and finance at the University of Salerno where I graduated in 2007.
Enjoy my website!
Download Short Resume
(latest update: Jan 2022)
DEEP LEARNING CREDIT RISK MODELING (with Xiao Qiao), The Journal of Fixed Income, 2021
THE IMPACT OF SOVEREIGN SHOCKS (with Antonio Picca), Management Science, 2020
SOVEREIGN CREDIT RISK (with Pietro Veronesi), in Handbook of Fixed-Income Securities, 2016 Wiley
Latest working paper:
CREDIT-IMPLIED VOLATILITY (with Bryan Kelly and Diogo Palhares), 2020