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Stefano Pasquali
Managing Director, Head of Liquidity Research at BlackRock

Profile

Stefano Pasquali, Managing Director, is the Head of Liquidity Research Group at BlackRock Solutions. As Head of Liquidity Research, Mr. Pasquali is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is heavily involved in developing methodologies to estimate funding liquidity and better estimate funds flows. These models include: the cost of position or portfolio liquidation, time to liquidation, redemption estimation, and investor behavior modelling utilizing a big data approach.

Previous to Blackrock, Mr. Pasquali oversaw research and product development for Bloomberg's liquidity solution, introducing a big data approach to their financial analytics. His team designed and implemented models to estimate liquidity and risk across different asset classes with a particular focus on OTC markets. Before this he lead business development and research for fixed income evaluated pricing.

Mr. Pasquali has more than 15 years of experience examining and implementing innovative approaches to calculating risk and market impact. He regularly speaks at industry events about the complexity and challenges of liquidity evaluation ? particularly in the OTC marketplace. His approach to risk and liquidity evaluation is strongly influenced by over 20 years of experience working with big data, data mining, machine learning and data base management.

Stefano Pasquali's Network

Agenda Sessions

  • Machine Learning, Liquidity and new regulatory requirements

    15:40