Curriculum Vitae - Sandro Ambrosanio

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) Ø 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) Ø 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: Ø 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 Roma, Banco di Sicilia, Bipop-Carire, Banca Fineco, FinecoCity). Products were built in collaboration with the various Consumer Banking companies related to the Group (FinecoGroup, Fineco 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: Ø 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. Ø The team was assigned a trading area with a dynamic P&L. Ø 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: Ø 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. Ø New trading ideas, financial research projects and strategy. Ø Coordination of financial research and analysis resources in Gruppo Bancaroma, redactional work, creation and diffusion of research documents through Banca di Roma Intranet. Ø 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), Genève, 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:

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

suitable new models to fit the evidence;

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

through detailed, numerical simulations;

Ø 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(E_T) 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 à 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 2^ndWorld 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, Genève, 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:

3^rd Annual CTEQ Summer School on “QCD Analysis and Phenomenology”

1993

St.Andrews University

42^nd 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 19^th edition (2002) of Marquis Who’s Who in the World

· Biography included in 6^th 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`, La`TeX`).
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 (Genève, Switzerland, 1999-2000).
German:	Basic level. Course at Univ. of Michigan; 1-year practice (Hamburg, Germany, 1998).

CULTURAL ACTIVITY, SPORTS, HOBBIES

Sailing (Yachting Club CERN, member, 2000; Altura - Scuola di Vela e di Mare, member, 2004-present)
Volleyball (Volleyball Club CERN, member, 1999-2000)
Scuba Diving (PADI, Open Water Diver Certificate, The Zanzibar Dive Center - One Ocean, 2002)
Downhill Skiing (3-Golden-Star Certificate, Scuola Italiana Sci Val Fiorentina, 1988)
Cross-Country Skiing
Cycling & Mountain Biking (Ruota Libera, member, 2003-present)
Motorbike Touring (my HondaVFR800F-2003)
Photography (my pictures)
Chess (Chess Club Roma, member, 1985-1988)
Bridge (Bridge Club DESY, member, 1998; Circolo Bridge Roma, member, 2001)
Comic Books

DRIVING LICENSES

Motorcycles (no limits, Italian Patente A1/A2/A3,
Motorizzazione Civile di Roma, since Dec. 28, 1993)
Motorcars (up to 3'500 kg weight, up to 8 passengers, Italian Patente B1/B2,
Motorizzazione Civile di Roma, since Dec. 28, 1993)
Motorboats (up to 25 m length, no limits in distance from the coast, Italian Patente Nautica da Diporto,
Capitaneria di Porto di Roma, since Oct. 14, 2004)
Sailing boats (up to 25 m length, no limits in distance from the coast, Italian Patente Nautica da Diporto,
Capitaneria di Porto di Roma, since Oct. 14, 2004)

SOCIAL & HUMANITARIAN ACTIVITY, COMMUNITY INVOLVEMENT

Azione Aiuto / Action Aid (member, 2002-2004)
Italia Solidale (member, 2002-2005 and 2008-Present)
Associazione Amici di DaGama Home (member, 2008-Present)

REFERENCES

Prof. Alberto Giovannini, Former Deputy General Manager and Head of Banca di Roma Finance Dept.,

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

Prof. Guido Altarelli, CERN–Theory Division, Genève, Switzerland & “Roma Tre” University, Rome, Italy,

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

Prof. Peter M. Zerwas, DESY – Theory Group, Hamburg, Germany,

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

Prof. Gordon L. Kane, University of Michigan Dept. of Physics, Ann Arbor, U.S.A.,

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

Prof. Ann E. Nelson, University of Washington Dept. of Physics, Seattle, U.S.A.,

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

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