Riccardo Pavoncelli, the former chief executive of Lazard’s Italian business and most recently co-head of European financial sponsors for six months, has left the bank to set up an advisory and private equity investment firm.

Fifty-two year-old Pavoncelli, an Italian count who has featured in society magazine Tatler's list of the 100 most invited people, left Lazard at the end of March and set up a company called Black Rhino Capital last week, records at Companies House and the Financial Services Authority register of authorised individuals in the financial markets show.