Rita Gnutti

Executive Director Internal Validation and Controls, Group Chief Risk Officer Area at Intesa Sanpaolo

Speaker

Rita is “Head of Internal Validation and Controls Department” in Group CRO Area of Intesa Sanpaolo since march 2020, with responsibility on Internal Validation, Model Risk Management and second level credit controls at group level; her previous experience was in Financial Risk Management (from 2005 till February 2020), as Head of Market and Counterparty Risk Internal Models. She was also responsible for Market and Counterparty Risk Architecture and Regulatory Reporting for Market and Counterparty Risk and of the “Market Data Management Team” in charge of scenario generation for internal models. She has also been responsible of the “Volker Rule Team” which performs daily analysis and reporting at desk level of Volker quantitative metrics, which have been developed leveraging on the Risk Architecture.

Main achievements in the risk regulatory area are related to development, use test, and application for approval for regulatory purposes of Internal Models:

• Basel 2.5 for the trading book: Stressed VaR
• Internal Model for Specific Risk under Basel 2.5: Spread VaR – IRC
• Internal Model for Counterparty Credit Risk under Basel 3 (OTC derivatives, SFTs, ETDs): EPE, PFE, CVA Capital Charge
• Real Time Credit Engine, for monitoring real time counterparty risk exposures using internal model methodology

Rita has been “Head of FRTB implementation program” in Intesa Sanpaolo group from 2016 till February 2020.

Prior to entering Risk Management Rita was responsible for projects relating to the trading rooms from the front office point of view and OTC derivatives workflow from front office to operations.

Education

Rita holds a Degree in Economics at Università Cattolica del Sacro Cuore Milano - Score: 110/110 cum laude

Title of degree thesis: “Olomorphic Functions, Laplace Transform and its application to the calculation of differential equations”

Reward: “Premio Agostino Gemelli” as best graduated for Academic Year 1992

Other Courses

Rita is leading some lessons regarding Market and Counterparty Risk prudential framework in some Master Class and Specialized Courses (SDA Bocconi, MIP quantitative finance, Uninovara)

Main achievements in current role:

Formalization of a Group Model Risk Management Unit; definition of Model Risk Group Policy, Model Risk Assessment Methodology, Model Tiering Methodology, Model Risk Appetite, Top Management Model Risk Reporting

Independent Validation for credit risk model changes due to AIRB repair program (in compliance with EBA Guidelines on PD estimation, LGD estimation and treatment of defaulted assets) regarding Retail Exposures, Large Corporate and Corporate Exposures, Structured Finance with reference to PD, LGD, EAD parameters

Independent Validation for market risk regulatory model changes and FRTB Internal Model Application, as well as for models relating Pillar II risks and IFRS9 principle.

Currently involved in the Evolution of tasks of Internal Validation regarding regular assessment on all the components of the Data Governance Framework according to the recent ECB guide on RDARR