Area of work
Interest Rates Derivatives Structuring
Studied
Mathematical Engineering, Politecnico di Milano
Joined
Internship 2006, Joined 2007
Working in
London
I'm part of the strategy derivatives team. We come up with innovative solutions for investors by building indices which incorporate complex algorithms. We then build structured products based on these indices, price the products and work with the sales team to sell them to clients.
I did a very technical degree, so I wanted to work somewhere where my technical skills are really valued. BNP Paribas is very famous for being strong technically, especially in structured products, not just in the UK and Italy but all over the world. I also speak Japanese and many of my Japanese friends recommended BNP Paribas to me as particularly strong in this area. I think this great appreciation of technical, quantitative ability extends throughout the bank. For instance our sales people appreciate the points of differentiation that our bespoke, sophisticated products bring when talking to clients. My whole job is about innovation. It's about creating something that's not in the marketplace, but is suited to investors' needs, so it can be easily marketable and turned into something profitable.
For example we have a family of indices on the foreign exchange called Galaxy, which are utilised by investors in carry trades - which take advantage of interest rate differentials between different countries. It can be very profitable but is also inherently risky. Our indices incorporate protective mechanisms, to help alleviate the risk involved, by incorporating volatility filters, which exclude certain more unstable currencies. They also have regional mechanisms incorporated into them, which, to my knowledge, no other banks are offering. Currencies in the same geographic region tend to have the same movements, so if you structure your positions in each region correctly, the movements will offset each other. In options pricing, many banks don't have the technical capability to have robust pricing models behind the indices like we do.
What's exciting as well is that the indices that we've developed are now being marketed all across the world. I know we had a deal which went through the Hong Kong office recently and someone from our Japan office contacted me the other day about an index that I'd worked on. It's very rewarding to know that everyone has taken it up and it's being sold in so many different markets, but that's not the end of things now. My job is to continue to improve things, to continue to come up with better products and better indices to keep us one step ahead of the competition.
I was lucky enough to go on a three-day course with TS Ho recently. He's one of the two people who developed the Ho-Lee model for the pricing of interest rate derivatives. For me to have the opportunity to learn from people of this stature really emphasises the level of commitment BNP Paribas has to my career, and also how highly we are ranked on the world stage.
