Federico Garzarelli
About Federico Garzarelli
Federico Garzarelli is a Director at UBS, where he leads the Lombard Haircut Models team and focuses on developing and validating internal risk models. He has extensive experience in the financial services industry, having previously worked at EY and EXXETA AG, and holds multiple degrees in Physics and Financial Mathematics.
Current Role at UBS
Federico Garzarelli serves as a Director at UBS, a position he has held since 2020. In this role, he leads the Lombard Haircut Models team, which focuses on the development and validation of internal risk models. His work is essential in ensuring that UBS maintains robust risk management practices in the financial services sector.
Previous Experience at EXXETA AG
Prior to his current role, Federico worked at EXXETA AG as a Principal Consultant for nine months in 2020. His tenure in the Zürich Area, Switzerland, allowed him to leverage his expertise in risk modeling and quantitative analysis within a consulting environment.
Career at EY
Federico Garzarelli was employed at EY as a Manager from 2012 to 2019. During his seven years in the Zürich Area, Switzerland, he contributed to various projects, enhancing his skills in operational risk models and quantitative analysis, which are critical in the financial industry.
Educational Background
Federico holds multiple degrees in relevant fields. He completed his Bachelor's degree in Physics at Università degli Studi di Roma 'La Sapienza' from 2004 to 2008. He then pursued a Master's degree in Physics at the same institution from 2008 to 2011. Following this, he obtained a Master's degree in Financial Mathematics from the University of Warwick - Warwick Business School from 2011 to 2012.
Technical Skills and Expertise
Federico Garzarelli possesses proficiency in various programming languages and tools, including SAS, R, Matlab, and SQL. His expertise extends to developing and auditing operational risk models, including Advanced Measurement Approach (AMA) models. He has experience supporting global banks and insurance companies with credit risk models such as AIRB, IFRS 9, and US GAAP CECL models.