Francesco Messeri

Senior Model Developer, Risk Management IMI CIB at Intesa Sanpaolo

Speaker

Francesco Messeri is a Senior Specialist of Financial Engineering & Pricing Controls Office, in the IMI CIB Risk Management Department at Intesa Sanpaolo.

His works covers pricing and risk management of financial derivatives across all asset classes, with a focus on structured equity derivatives. He is in charge of developing, validating and integrating in Risk Management systems complex pricing models and computing fair value and prudent value adjustments for accounting purposes.

He holds a master’s degree in Quantitative Finance from University of Bologna, with a thesis on model risk additional valuation adjustments for OTC derivatives using copulas. He recently published a research paper on calibration and pricing of structured equity multi-asset derivatives using Lévy processes.