Michael Diodato has about 10 years of experience in banking, investment management, risk management, and financial consulting. He is an expert on derivative valuation, quantitative finance, and statistical/machine learning methods which he applies to a wide range of transactional, advisory and contentious matters involving securities, commodities, and derivatives across asset classes.
Mr. Diodato’s work includes investigation and analyses in the context of dispute, litigation and arbitration; independent due diligence and business reviews of commodity and financial firms; transaction advisory; and pricing of complex derivatives. He has a proven track record of working across all asset classes and working with banks, broker-dealers, hedge funds, private equity firms and other financial institutions.
Prior to joining FTI Consulting, Mr. Diodato conducted risk management and hedge fund due diligence for PAAMCO Prisma, formerly KKR Prisma, a fund of funds investment management firm. During his time at PAAMCO Prisma, he evaluated hundreds of hedge funds and their underlying portfolios for market, counterparty, 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 efficiently monitor the risks across investments.
Prior to PAAMCO 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.
Mr. Diodato has a Bachelor of Arts in Economics from Harvard University and a Master of Science in Mathematics in Finance from New York University. He is currently working towards a Master of Science in Computer Science from Columbia University in the Machine Learning track.