Matteo Castagna

Matteo Castagna

Work History

Work History
2006 - Present

Executive Director - Risk Management

Próxima Alfa Investment - BBVA Group

Senior Vice President and Risk Management Director of a 4 person team responsible for measuring market risks for 11 platform funds, covering a wide range of strategies including Global Macro, Fixed Income Relative Value, Long/Short Equity, convertibles and Commodity Strategies. The combined platform manages approximately USD 3Bn.

  • Conducted the Portfolio modelling, VaR measurement, concentration analysis, stress testing and a set of sanity checks.
  • Devised the correct portfolio model depending on the strategy and the asset class involved.  Bucketed the portfolios into relevant risk factors and focused on the quality of market data in order to correctly express their evolution.
  • Monitored the Value-at-risk (VaR) of the funds using three different VaR models (parametric, full revaluation, Monte Carlo simulation).Original solutions (e.g. heteroscedasticity corrections) discussed and applied.
  • Monitored the Greeks (DV01, Gamma, Vega, and Theta) and performing stress tests on the portfolio.
  • Worked closely with Quant Development team based in London to enhance Risk Analytics.
  • Regular conference calls with significant investors who need to understand risk, performance attribution and outlook for the fund portfolios. Also briefing investors conducting the due diligence of the various funds.
2004 - 2006

Vice President - Middle Office Operations

Vega Asset Management
  • Led a project focused on market data processing; P&L and risk applications development.
  • Used VBA coding extensively and ensured correct valuations of funds portfolios. NAV was always finalized within the 5 business days of each month . Vega has never restated the monthly NAV since its inception.
  • Regular meetings with fund managers with an aim to improve market dataset and portfolio approximations.
2004 - 1999

Treasurer/Fund Manager

Banco Zaragozano/BZ Gestión
  • Headed the institutional Fund Management group with approximately €700mm AUM. Director of a team of five fund managers. BZ Gestión institutional funds managed to achieved the top percentile during 2003.
  • Appointed the Head of Capital Markets Unit within treasury operations 1999-2002. Managed the Proprietary portfolio and maintained a direct daily relationship with the bank CEO and the two main shareholders of the bank.
1998 - 1999

Proprietary trader

  • Focused on interest rates products and also equity indexes and FX securities.
  • Developed models and databases with an aim to build positions exploiting market inefficiencies and arbitrage opportunities.
1993 - 1998

Proprietary trading - Vice President

Bankers Trust Co.
  • Initially focused on the Italian bond market: relative value and fiscal arbitrage being core activities and then to relative value activity involving money market instruments on ESP, ITL and PTE interest rate curves.
  • Developed models focused on interest rates curve, bond futures basis, TED spread.
1990 - 1993

Bond market analyst

Banca Euromobiliare
  • Wrote weekly and monthly market letters for clients and various primers on the Italian bond market. Maintained contacts with specialized press (Financial Times, Les Échos, Il Sole24 Ore)and have been cited extensively.
1987 - 1990

Teaching assistant

Universita' "L.Bocconi"
  • Teaching assistant for Economics base course and Microeconomics advanced course.


1983 - 1989


Universita' "L.Bocconi"

BA in Economics

Undertook a 5 year course "D.E.S" and achieved 110/100 marks and passed with cum laude.

Computer Proficiency

  • Standard software and operative systems for PCs on Windows OS.
  • Programming skills in several languages and frameworks: Microsoft VBA (Excel, Access), Java, Struts2, SQL Server, MySQL.
  • Proficient in Bloomberg system and Bloomberg APIs.


  • La misurazione dell’efficienza economica: un’applicazione al settore bancario italiano Ricerche Economiche, XLV, 1 JAN-MAR 1991, pp 57-77;
  • Misurazione dell’efficienza e valutazione dei rendimenti di scala nel settore bancario italiano BANCARIA, FEB 1990.


  • Italian: mother tongue
  • English: fluent
  • Spanish: fluent
  • French: elementary