Irene Vicari

- Responsible and owner of the several Lombard (SBL) models (stress testing, haircuts and expected loss) - Dealing with regulators on a regular basis on the different models - Support the DFAST / CCAR stress testing exercises by taking over (co-ordinative) responsibility for the calculation of the Lombard-/ SBL-related stress numbers - Act as a competence center for stress testing in UBS WM Americas: in particular, introduction of the stress testing process / governance and other risk measures

Member of the Credit Risk Measurement Team: - Development, validation and implementation of methods for measuring credit risk from Lombard loans and derivatives in the WM - Enhancement of the stress testing framework for the different asset classes - Support the method improvement for monitoring concentration and liquidity risks - Implementation of a new engine in SAS defining the different type of shocks for the stress testing - 5 months experience as Credit Officer

Member of the Risk and Performance Analytics Practice - Research in the area of Stylized Facts - Development in Matlab of Hedging and Overlay Strategies in order to reduce the market risk and increase the performance of single markets or ccy pairs - Large scale Risk System Implementation for SP and derivatives for a tier 1 Swiss Bank - Enhancement of a risk system for a tier 1 Swiss Bank to calculate the risk of the portfolios using different type of factor models.