Michael Diodato has about over 15 years of experience in banking, investment management, machine learning and computing, risk management, and financial consulting. He is an expert on derivative valuation, quantitative finance, commodities, and statistical/machine learning methods.
Mr. Diodato’s work includes transaction and restructuring advisory, pricing of complex derivatives, developing risk management systems and procedures, structuring investigations and analyses and business reviews of commodity and financial firms. He has a proven track record of working across all asset classes, banks, broker-dealers, hedge funds, private and equity firms.
Prior to joining FTI Consulting, Mr. Diodato conducted risk management and hedge fund due diligence at KKR at their fund of funds investment management firm KKR Prisma (later renamed PAAMCO Prisma following the merger with PAAMCO). During his time at KKR Prisma, he evaluated hundreds of hedge funds’ portfolios for market, operational and liquidity risks across all asset classes and investment strategies. Mr. Diodato also advised hedge funds on ways to improve their risk management systems and manage their investment risk. During his tenure, he set up and managed a new risk system that integrated internally built and third-party software that was used to monitor the risks across investments. In addition, he used machine learning and advanced statistical methods to analyze performance and improve the portfolio construction and investment selection process.
Prior to KKR Prisma, Mr. Diodato was Assistant Vice President on the market risk team at Bank of America with a focus on Credit Valuation Adjustment (CVA) and Structured Notes risk. As a part of CVA risk management, he worked closely with all derivative types and product desks. In addition to monitoring the daily CVA risk, Mr. Diodato helped create the CVA Basel III capital calculations and ran stress tests as part of the yearly CCAR process. As a part of Structured Notes risk management, he helped design and implement a new framework for monitoring the VaR and other stress scenarios.
Mr. Diodato started his career at NERA Economic Consulting where he consulted for banks, hedge funds, and sovereign wealth funds as an analyst in the Securities and Finance practice. Example advisory work included: valuing a bank’s portfolio of thousands of complex and exotic derivatives when a counterparty went bankrupt; analyzing portfolios of CDOs, RMBS, and ABS; and calculating the impact of an algorithmic trading platform that malfunctioned.
Certifications
Financial Risk Manager (FRM)
Education
B.A., Economics, Harvard University
M.S., Mathematics in Finance, New York University
M.S., Computer Science, Columbia University
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Contact
T: +1 212 651 7168
michael.diodato@fticonsulting.com -
Office
1166 Avenue of the Americas
15th Floor
New York, NY 10036
United States
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Especialidade
Derivatives Analysis
Risk Management
Economic Consulting
Valuation
Data & Analytics
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Industries