CURRICULUM VITAE       Sandro Ambrosanio              January 2009


PERSONAL DATA

 

Place / Date of Birth:

Napoli, Italy / September 8, 1965

Nationality: Italian
Family Status: Engaged, 1 daughter

Office Address:

Cassa Depositi e Prestiti SpA

Direzione Finanza

Via Goito, 4

I-00185 Roma, Italy

Office Phone / Fax:

+39-06-4221.4205 / 3000                   

Mobile Phone: +39-335-5743912 
Home Address:

47 vicolo de' Cinque, I-00153 Roma, Italy

E-mail:

sandro.ambrosanio@cassaddpp.it

sandro@ambrosanio.it

CV on line:

www.ambrosanio.it/CurriculumVitae


EDUCATION AND HONOURS

 

1995

Ph.D. in Theoretical Physics, University of Rome “La Sapienza'', Italy.

1991

Laurea, full marks 110/110 summa cum laude, Physics, University of Rome “La Sapienza'', Italy.

 

Military Service in the Italian Air Force.

1983

High School Degree, full marks 60/60, Science, XXXI Liceo Scientifico “Nomentano'', Rome, Italy.


PROFESSIONAL EXPERIENCE IN FINANCE

 

Jun 2006 - Present   

Cassa Depositi e Prestiti S.p.A

Career Advance.

New Position: Head of Finance Front-Office (Dirigente)

The Sector's mission was enlarged to include management of money 

      market risk and, in general, any front-office task in the Finance Dept.

      Manager of a 8-people team.

Mar 2005 - May 2006  

Cassa Depositi e Prestiti S.p.A. 

Head of Markets and Structuring (Dirigente)

Responsible for one of the four Sectors in the Finance Dept., reporting 

     directly to the CFO. In charge for structuring "Risparmio Postale"

     products, distributed by Poste Italiane S.p.A, creating structures to 

     finance Italian Local Authorities, determining financial conditions to offer 

     for all products, managing and hedging interest rate and equity market risk,

     including the structural property portfolio (Partecipazioni).

     Manager of a 4-people team.

Jul 2002 – Mar 2005  

Capitalia S.p.A. (Holding Co. Capitalia Banking  Group, Rome) 

Career Advance. 

New Position: Head of Structured Products (QD4)

Additional tasks and responsibilities: 

The Structured Products team activities were upgraded at the level of the

      Holding Company. Many different products created, structured and 

      managed by the team were distributed through the 5 commercial

      networks controlled by Capitalia (Banca di RomaBanco di Sicilia,

      Bipop-Carire, Banca Fineco, FinecoCity). Products were built in 

      collaboration with the various Consumer Banking companies related to 

      the Group (FinecoGroupFineco Asset Management, FinecoVita, etc.)

      The team included 7 permanent members + temporary members.

Jan – Jun 2002  

Banca di Roma S.p.A., Gruppo Bancaroma, Rome, Italy

Career Advance. 

New Position: Head of Quantitative Finance & Product Structuring (QD4)

Additional tasks and responsibilities:

    Direction of a team (7-8 people) of quantitative financial analysts and 

     financial operators in charge of new financial products creation / 

     engineering / modeling / pricing, by interacting with institutional 

     counterparties (finance and insurance companies) and the commercial 

     network of the Bank.

    The team was assigned a trading area with a dynamic P&L.

  The team mainly creates structured bonds for Retail and Private customers 

     of the Bank, as well as Life Insurance Index- & Unit-Linked products, 

     sold to insurance companies within or outside the group.

Jan – Dec 2001  

Banca di Roma S.p.A., Gruppo Bancaroma, Rome, Italy

Position: Head of Quantitative Finance, Research & Strategy

 (Funzionario F2 QD4)

Tasks and responsibilities:

   Recruitment and direction of a new group of quantitative financial 

     analysts, in charge for new financial products engineering / pricing / 

     hedging, and interactions between finance and technology.

   New trading ideas, financial research projects and strategy.

    Coordination of financial research and analysis resources in Gruppo

     Bancaroma, redactional work, creation and diffusion of research 

     documents through Banca di Roma Intranet.

    Creation of a new transversal group in Finance Dept., in charge for 

     designing and realising the Banca di Roma financial portal on the Web.

 


PROFESSIONAL EXPERIENCE AS A RESEARCHER IN PHYSICS

 

1999-2000

European Lab for Nuclear and Particle Physics (CERN), Genve, Switzerland.

Research Fellow, Theoretical Physics Division

1998

Deutsches Elektronen-Synchrotron (DESY), Hamburg, Germany.

Research Fellow, Theory Group

June 1997

Fermi National Accelerator Lab (FNAL), Batavia, IL, USA.

Visiting Researcher, Theoretical Physics Department

1995-1997

University of Michigan (Physics Department), Ann Arbor, MI, USA.

Associate Researcher, High Energy Particle Physics Theory Group

1995-1997

Istituto Nazionale Fisica Nucleare (INFN), Roma, Italy.

Post-Doctoral Fellow

1991-1995

University ``La Sapienza'' (Physics Department) & INFN, Sezione Roma, Italy.

Assistant Researcher

 


RESEARCH ACTIVITY IN PHYSICS, RESPONSIBILITIES, PUBLICATIONS

q       10 year experience as a phenomenologist in high-energy, particle and collider physics.

Phenomenology is the link between formal theory and experiments and deals both with advanced

mathematical and statistical tools to build models and analyse large amounts of data.

Generic tasks and responsibilities:

      finding an explanation to experimental data and phenomena within existing models or conceiving

suitable new models to fit the evidence;

      predicting new phenomena or forecasting events, based on theoretically well-motivated models,

through detailed, numerical simulations;

      proposing new searches and analyses to experimental groups.

 

q       Collaborating with many European and American researchers, proposed several experiments

performed by many groups working at world's most important particle accelerator facilities:

LEP (CERN); Tevatron (Fermilab); HERA (DESY); SLAC (Stanford). 

q       Co-author of about 30 scientific publications in all major international physics reviews,

collecting over 1700 citations. 3 works quoted as “famous'' by SPIRES (world-wide recognised authority

in the field), 2 of which were cited in “Science'' and “The Economist'':
   S. Ambrosanio, G. L. Kane, G. D. Kribs, S. P. Martin and S. Mrenna:
      1. “Supersymmetric Analysis and Predictions Based on the CDF e+e-
gg miss(ET) event”, 

    Phys. Rev. Lett. 76 (1996) 3498;
2. “Search for Supersymmetry with a Light Gravitino at Fermilab TeVatron and CERN LEP

    Colliders”,  Phys. Rev. D 54 (1996) 5395.

q       Relator in about 20 international conferences.

Complete list of publications and contributions to conferences:

Visit the URL http://www.ambrosanio.it/CV or check enclosures.

q       Referee for many major international reviews in physics:
Physical Review Letters, Physical Review, Nuclear Physics, Physics Letters, Eur. Physics J.

q       Responsible for coordinating a research group within the
Workshop: Physics at TeV Colliders”, Les Houches, France, 1999-2000.


ACTIVITY AND INTERESTS IN QUANTITATIVE FINANCE

& FINANCIAL ENGINEERING

 

  Options/derivatives/structured products pricing/hedging; partial-derivatives equations and

  Black-Scholes Model  (generalisations and extensions); Bionomial /Trinomial Models; path 

  dependency, multi-asset and exotic options; volatility surfaces; interest-rate modeling; CIR and

  HJM Models; portfolio management/optimisation and Capital Asset Pricing Model; risk

  management and VaR, credit risk and credit derivatives; numerical methods (finite-difference

  and Monte-Carlo simulations).

 


ADVANCED EDUCATION IN FINANCE & MANAGEMENT

SELECTED CONFERENCES & WORKSHOPS

 

November 2004

“West Meets East”, St. Petersburg, Russia, organized by IXIS-CIB.

September 2004

“Structured Products”, Roma, Italy, organized by Stoxx Ltd.(as a lecturer)

June 2004

Credit Derivatives Seminar, Venice, Italy, organized by Barclays Capital.

April 2003

CDO Conference 2003, London, U.K., organized by Credit Suisse First Boston.

September 2002

Italian Fixed Income Conference 2002, Portofino, Italy, organized by JP Morgan.

June 2002

Bachelier Finance Society 2nd World Congress, Crete, Greece.

April 2002

“Human Resources Evaluation, Management and Development”,

course held by Watson Wyatt Isso at Training Center Banca di Roma, Rome, Italy.

December 2001

“Team Building”, course by Galgano Group at BdR Training Center, Rome.

November 2001

“Financial Risk Management” and “From E-Business to E-Finance”,

courses held by SDA Bocconi at Training Center Banca di Roma, Rome, Italy.

November 2001

 MATLAB Applications for Finance & Econometrics”,

course held by Teoresi S.p.A. at Training Center Banca di Roma, Rome, Italy.

October 2001

Reuters Applications for Finance & Econometrics”,

course held by Reuters Italia at Training Center Banca di Roma, Rome, Italy.

July 2001

“Financial Instruments & Markets”,

course held by SDA Bocconi at Training Center Banca di Roma, Rome, Italy.

April/May 2001

“Asset and Risk Management” and “Financial Engineering”,

courses held by Luiss Management Post-Experience, Luiss University, Rome, Italy.

March 2001

“Exchange-Rate and Interest-Rate Risk Products & Management”,     

course held at Training Center Banca di Roma, Rome, Italy.

February 2001

The Mathematical Theory of Interest Rate Models”,

course held at King’s College, Financial Mathematics Department, London, U.K.

December 2000

“New Horizons & Advances In Risk Management, Measurement, Modeling & Capital Allocation”, ICBI Risk Management 2000 Conference, Genve, CH.


ADDITIONAL EDUCATION IN PHYSICS - SELECTED SCHOOLS

 

1997

Stanford Linear Accelerator Center, Stanford University, USA:

XXV SLAC Summer Institute on Particle Physics “Physics of Leptons

1994

Lake Ozark, Missouri, USA:

3rd Annual CTEQ Summer School on QCD Analysis and Phenomenology

1993

St.Andrews University

42nd  NATO/ASI Scottish Universities Summer School on “High Energy Phenomenology


TEACHING

October 2005

Was offered a permanent position ("cattedra") as Full Professor of Physics at a public High School in Lazio. Offer declined. 

September 2000

Entitled ("abilitazione") to teach Physics as a Professor in Italian High Schools, after a competitive national examination ("concorso a cattedre").

                                


PROFESSIONAL MEMBERSHIPS

 

Nov 2002 – Present   Associazione Italiana Analisti Finanziari (AIAF)
Mar 2002 – Present   Bachelier Finance Society
    Jan 2002 – Present   Institute of Physics (IOP) - Physics & Finance Professional Group
Mar 2001 – Present   Associazione Italiana Operatori Mercati dei Capitali (ASSIOM)  
Sep 2000 – Present   Global Association of Risk Professionals (GARP)

 


ADDITIONAL INFORMATION, AWARDS, PRIZES

 

    Biography included in 19th edition (2002) of Marquis Who’s Who in the World

    Biography included in 6th edition (2002) of Marquis Who’s Who in Science and Engineering

 


INFORMATION TECHNOLOGY, COMPUTER SKILLS

 

Operating Systems:

Unix, Linux, VAX-VMS (system manager level); 

MS-Windows 95/98/NT4/2000/XP.

Programming Languages:

Fortran, C, object-oriented programming in Java and C++, MATLAB 6.1.

Various Applications:

Software for symbolic calculus (Mathematica, Form); data analysis and databases management (Excel, Access, SQL, PAW); word processing, presentations (Word, PowerPoint, LaTeX).

Networks and Internet:

World-Wide-Web page building using FrontPage, HTML, Java,JavaScript,ASP; vast experience with net services and programs/clients for e-mail, newsgroups, web browsing.

Financial Applications & Data Providers; Front-Office & Risk Management Systems: Reuters 3000 Xtra, Bloomberg Professional, DataStream Advance 3.5, GateMate, FinancialCad 7.1, Price Wizard, MATLAB Financial, Optimization, Statistical Toolboxes; Sungard Panorama; Murex

 


LANGUAGES

 

Italian:

Mother tongue.

English:

R/W/S/L: Fluent. Courses at British Institute, Rome and University of Michigan;

2-year everyday practice (Ann Arbor, MI, USA, 1996-97).

French:

R/W/L: Excellent; S: Very Good. 8-year study (High School); course at CERN;

2-year everyday practice (Genve, Switzerland, 1999-2000).

German:

Basic level. Course at Univ. of Michigan; 1-year practice (Hamburg, Germany, 1998).


CULTURAL ACTIVITY, SPORTS, HOBBIES


DRIVING LICENSES


SOCIAL & HUMANITARIAN ACTIVITY, COMMUNITY INVOLVEMENT


REFERENCES

            tel.: +39-335-7198317, e-mail: alberto.giovannini@alum.mit.edu

tel.: +41-22-767.4145, email: guido.altarelli@cern.ch

tel.: +49-40-8998.2416, e-mail: zerwas@desy.de

tel.: +1-734-764.4451, e-mail: gkane@umich.edu

tel.: +1-206-543.2027, e-mail: anelson@phys.washington.edu

 


Sandro Ambrosanio                       +39-335-5743912                sandro@ambrosanio.it