My internship at Valori Asset Management

In this article, Roberto RESTELLI (ESSEC Business School, Master in Finance (MiF), 2025–2026) shares key takeaways from a four‑month off‑cycle internship as an Investment Analyst Intern at Valori Asset Management, focusing on subordinated debt within the Fixed Income team.

Introduction

Before starting my Master in Finance at ESSEC Business School, I completed a four‑month off‑cycle internship at a €2.5bn asset management firm. The role developed my skills in credit risk assessment and gave me hands‑on exposure to macroeconomic analysis, performance‑measurement methodologies, the Bloomberg Terminal, and problem‑solving under time pressure. Within the Fixed Income team, I supported a subordinated debt fund through top‑down macro work and bottom‑up credit analysis on AT1 (CoCo), Tier 2, and RT1 bonds: subordinated bank and insurance capital instruments designed to absorb losses and meet regulatory capital requirements, sitting below senior debt in the capital structure and therefore offering higher yields in exchange for higher risk. AT1 (CoCo) and RT1 can be perpetual with discretionary coupons and loss-absorption features (write-down or equity conversion), while Tier 2 is typically dated, less deeply subordinated and only absorbs losses in gone-concern situations (resolution or insolvency).

This post summarizes what I did at Valori Asset Management and what I learned—professionally and personally.

This was my first deep dive into fixed income after prior experience in private banking and equities. I learned that fixed income is not only about valuations and ratings; it also requires a macro view, policy awareness, trading considerations, and clear, critical thinking on portfolio positions.

About Valori Asset Management

Valori AM is an investment boutique founded 11 years ago, initially in Luxembourg and later expanding to Milan (Italy) and Chiasso, near Lugano (Switzerland). The SICAV (investment company with variable capital) are managed out of Luxembourg; advisory and family‑office services are in Milan; and the investment team in Chiasso manages nine funds. As of July 2025, assets under management and advisory (AUMA) were €2.5bn, with a target of €3bn by January 2026.

Logo of Valori AM.

Source: the company.

What I did during my internship

My work focused on three areas: ESG (Environmental, Social, and Governance) macro research and reporting; sovereign credit‑risk analysis across EMEA (Europe, the Middle East, and Africa), LATAM (Latin America), and the US; and two macro‑quantitative models.

ESG macro research and reporting

I conducted 30+ ESG country studies across EMEA and LATAM, using the Bloomberg Terminal to gather data and charts, and building Excel models to compare composite ESG scores and rankings. I complemented this with Morningstar Sustainalytics to benchmark carbon footprints and relative positioning. Bloomberg and Morningstar are two essential tools for working in asset management and hedge funds. Through the Bloomberg terminal, you can track real-time news on equities, fixed income, interest rates and all major financial markets, as well as access key economic and macro data for fixed income analysis, financial statements for equity positions, and even route securities orders via brokers. Morningstar is likewise crucial, not only for financial and economic news but also for ESG metrics and fund analytics. I produced concise reports highlighting the strongest ESG profiles—both in absolute terms and relative to the fund’s existing bond exposures. These outputs fed directly into portfolio discussions, ensuring ESG considerations were integrated alongside risk and return.

Sovereign credit‑risk valuation (EMEA, LATAM, US)

I performed 20+ sovereign credit assessments using indicators such as GDP growth, PMI, retail sales, current‑account balance (% of GDP), and unemployment. Sourcing data from Bloomberg and IMF (International Monetary Fund) forecasts, I translated the metrics into comparable Excel scorecards to surface relative value across regions. I then presented actionable ideas—such as Romanian government bonds, U.S. Treasuries, and Spanish bonds—to initiate new positions or reaffirm existing ones, linking macro fundamentals to valuation, liquidity, and timing.

Two macro‑quantitative models

BTP–Bund spread positioning model: an Excel‑based quant‑positioning model using ETF (exchange traded funds) flow data, Z‑scores (statistical measure that indicates how many standard deviations a value is away from the mean of a data set, allowing comparisons across different scales), regression analysis, CDS (credit default swaps), and macro‑financial indicators to generate daily signals and stay updated on the BTP (italian government bond)–Bund spread.
EU (europe) macroeconomic VAR (Vector Autoregression) model: a model for EU countries using key economic indicators and yield curves (GDP, PMI, retail sales, and 2‑ to 30‑year yields). I applied VAR analysis in EViews to forecast future movements of indicators and prices, with outputs aggregated in Excel; This macroeconomic VAR model is used to analyze how shocks to one variable (for example GDP or long-term yields) propagate over time to the other macro and yield-curve variables, and to generate consistent scenario analyses for EU economies. Using EViews, I estimated the VAR and produced multi-period forecasts for all the variables jointly, building different future scenarios and updating these forecasts as new data became available. EViews is a widely used econometrics and time-series analysis software, designed for estimating models, running statistical tests, and generating forecasts in a user-friendly interface.

Required skills and knowledge

The internship demanded both technical and soft skills. Technically, I worked extensively in Excel (modeling and forecasting), Bloomberg (market data and news), EViews (econometrics), and PowerPoint (investment pitches). On the soft‑skills side, I learned to prioritize under tight deadlines, double‑check deliverables, and solve problems independently to deliver high‑quality work.

What I learned

This internship provided practical experience in investment management within a professional, multicultural environment. I learned the importance of active listening: carefully understanding the initial brief and following colleagues’ discussions improves the quality and speed of the work. In a fast‑paced desk environment, acting like a sponge accelerates learning and connects day‑to‑day tasks with the bigger investment picture.

I deepened my fixed‑income knowledge beyond coursework: how rates, the broader debt market, and derivative hedges interact; how to think and debate credit; and how to combine top‑down macro views with bottom‑up analysis to form clear, defensible portfolio decisions. I also gained practical command of execution tools—building and stress‑testing Excel models, using Bloomberg for data and news, preparing pitches in PowerPoint, and applying econometrics in EViews. Altogether, the experience strengthened my analytical discipline and confirmed my long‑term interest in financial markets.

Financial concepts related to my internship

The role of AT1

AT1s typically offer equity‑like yields with bond‑like structures; frequent call features can create pull‑to‑par upside when issuers refinance at the first call.
Post‑crisis capital buffers and resilient profitability support coupon sustainability and a steady call culture, improving carry reliability.
Dislocations and regulatory risk premia often leave AT1 spreads wide vs. senior/RT1—creating room for outperformance if sentiment, capital ratios, or rates volatility improve.

The importance of balancing an ESG portfolio

Building a well‑diversified portfolio with a robust ESG process can improve long‑term resilience and broaden the investor base, especially among institutional allocators with sustainability mandates.

The key role of financial news

Investors need both analytical depth and speed in reacting to market‑moving news and policy announcements. Consistently reading high‑quality reports and newsflow helps anticipate paths for markets and frame timely responses.

Why should I be interested in this post?

If you are a student interested in business and finance—especially fixed income—this post offers practical, desk‑level insights: how the work is structured, the skills required, and how to grow in a markets‑focused role, based on months on the desk alongside a 15+ person team.

Conclusion

My internship at Valori AM sharpened my analytical abilities and helped me grow personally. Learning from colleagues taught me how to contribute from day one and confirmed my interest in investment management and fixed income. Looking ahead, I aim to pursue a buy‑side role at a fund or bank, focusing on portfolio strategy in financial markets.

Useful resources

Bloomberg

International Monetary Fund (IMF)

Morningstar Sustainalytics

About the author

The article was written in November 2025 by Roberto RESTELLI (ESSEC Business School, Master in Finance (MiF), 2025–2026).