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Daniele Fornaro

@danielefornaro

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Quantitative risk analyst specializing in economic capital, climate risk modeling, and model development.

Switzerland

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What I'm looking for

I seek a quantitative role where I can develop and validate economic and climate risk models, work with a collaborative team, and influence risk-sensitive decision making.

I am a quantitative risk analyst with multi-year experience building and implementing economic capital and credit risk models for major financial institutions.

At UBS and Credit Suisse I produced risk factor simulations, developed and calibrated ERC methodologies, and performed extensive data and model analysis using R and Python, presenting results to senior managers and stakeholders.

My earlier roles at the BIS and ECB combined applied research in distributed ledger technology, crypto-asset data collection, and climate-related risk modelling, including prototyping cryptographic solutions and machine-learning approaches to incomplete data.

I bring strong technical skills (Python, R, SQL, MATLAB, Tableau), hands-on model validation experience, and a pragmatic, documentation-focused approach to ensure regulatory alignment and impactful decision support.

Experience

Work history, roles, and key accomplishments

Current

Quant Analyst (Associate Director)

Current

UBS

Sep 2023 - Present (2 years 2 months)

Produced risk factor simulations and climate risk loss distributions for economic capital models, conducted data and model analysis in R, and presented findings to senior managers while supporting validation and regulatory compliance.

R Economic Capital Risk Modeling Validation Data Analysis

Credit Risk Modeler

Credit Suisse

Jan 2021 - Aug 2023 (2 years 7 months)

Designed and maintained the Credit Economic Risk Capital methodology, implemented and calibrated prototypes using R and Python, and executed concentration risk and impact analyses for senior management and validation processes.

R Python Credit Risk Management Concentration Risk

Associate, Financial Analysis

Bank for International Settlements

Sep 2019 - Jul 2020 (10 months)

Designed a DLT platform and implemented a Python prototype using cryptographic tools, contributed to BIS Green Bonds impact analysis, and supported balance sheet projection and portfolio allocation work.

Python Cryptography Pedersen Commitments Financial Analysis Green Bonds Prototyping

Research Analyst, Stress Test Modelling

European Central Bank

Mar 2019 - Aug 2019 (5 months)

Modeled climate-related risk linking climate variables to banks' performance using panel models and machine learning to estimate missing data, supporting stress test modelling efforts.

Panel Data Analysis Machine Learning Risk Modeling Fixed And Random Effects Econometrics

Trainee, Monetary and Economic Statistics

European Central Bank

Mar 2018 - Feb 2019 (11 months)

Managed payments statistics production and data quality processes, developed R scripts and a Tableau dashboard, and built crypto-asset datasets using IMPALA/Hive for DISC.

R Tableau SQL Impala Hive Data Quality

Analyst, Finance and Risk

Deloitte Consulting

Oct 2017 - Feb 2018 (4 months)

Worked in the Blockchain Lab and developed a C++ payment system prototype based on Bitcoin blockchain technology for banking and insurance clients.

C++Blockchain Payment Systems Prototyping Bitcoin Cryptography Consulting

Education

Degrees, certifications, and relevant coursework

Politecnico di Milano

Master of Science, Mathematical Engineering (Quantitative Finance)

2015 - 2018

Grade: 108/110

Activities and societies: Master thesis conducted in the context of the Digital Gold Institute; contributed to Bitcoin library in Python.

Completed an MS in Mathematical Engineering with a major in Quantitative Finance; master thesis on elliptic curve hierarchically deterministic private key sequences.