Michael Diodato

Michael Diodato has nearly 15 years of experience in banking, investment management, machine learning and computing, risk management and financial consulting and is an expert on derivative valuation, quantitative finance, commodities and statistical/machine learning methods.

Mr. Diodato’s work includes transaction and restructuring advisory, hedge analysis and monitoring. Additionally, he is experienced in the pricing of complex derivatives and the development of risk management systems and procedures, as well as performing analyses and business reviews of commodity and financial firms. He has a proven track record of working across all asset classes for banks, commodity traders, broker-dealers, hedge funds and private equity firms.

Prior to joining FTI Consulting, Mr. Diodato conducted risk management and hedge fund due diligence at KKR’s fund of funds investment management firm, KKR Prisma (later “PAAMCO Prisma”). In this role, 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 investment risk. During his tenure, he set up and managed a new risk system that integrated internally built and third-party software used to monitor 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, 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 Comprehensive Capital and Analysis Review (“CCAR”) process. As part of structured notes risk management, he helped design and implement a new framework for monitoring the value-at-risk (“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. Additionally, he received his M.S. in computer science on the machine learning track from Columbia University, his M.S. in mathematics in finance from New York University and his B.A. in economics from Harvard University.