Leonardo Rocchi
Quantitative Risk Analyst
Madrid, Community of Madrid, Spain
Summary
👤
Senior🎓
Top SchoolLeonardo Rocchi is an applied mathematician and quantitative risk analyst with eight years' experience building and validating margining and market-risk models at BME CLEARING. He blends PhD-level numerical analysis with hands-on Python/Matlab development, producing production margin calculations, VaR-based models, SPAN-like parametric improvements, and rapid prototypes in Jupyter and Excel. Comfortable with large-scale data manipulation (SQL), back-testing, stress-testing and default management workflows, he also crafts clear model documentation in LaTeX/Word. Earlier teaching roles at the University of Birmingham underpin his ability to explain complex methods and train stakeholders. Based in Madrid, he brings a research mindset to practical risk engineering, routinely turning rigorous mathematics into auditable, production-ready systems.
8 years of coding experience
Doctor of Philosophy - PhD, Applied Mathematics, Doctor of Philosophy - PhD, Applied Mathematics at University of BirminghamMaster’s Degree (Italian Laurea Magistrale), Applied Mathematics, 110/110, Master’s Degree (Italian Laurea Magistrale), Applied Mathematics, 110/110 at Sapienza Università di RomaMaster's degree, Applied Mathematics, Master's degree, Applied Mathematics at Universidad Complutense de Madrid
Italian, Spanish, English
Github Skills (8)
finance10
financial10
jupyter-notebook10
risk-management10
sliders10
jupyter10
python9
data-science8
Programming languages (2)
Github contributions (5)
z4ir3/LEBREF2D
Sep 2018 - Jan 2024
Contributions:31 pushes, 1 branch in 5 years 4 months
z4ir3/machine-learning
Apr 2019 - Dec 2022
Contributions:39 pushes, 1 branch in 3 years 9 months
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