Seasoned market-risk manager, model developer and operations director with 15 years of experience in leadership roles at multi-asset and multi-strat hedge funds. Experience in the following areas:
● Chairing the risk committee and setting policies for market, operational and liquidity risk ...
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Seasoned market-risk manager, model developer and operations director with 15 years of experience in leadership roles at multi-asset and multi-strat hedge funds. Experience in the following areas:
● Chairing the risk committee and setting policies for market, operational and liquidity risk management.
● Creating capital allocation models for multi-manager funds and developing tools for portfolio managers to attribute key risks and factors.
● Designing and developing Python packages, interactive notebooks and REST APIs for risk measurement,
portfolio construction and performance attribution in a secured-environment.
● Managing code contributions and code releases using CI/CD technologies.
● Curating market data repositories and building analytics used for back-testing of trades, developing historical simulation models and implementing off the shelf factor models.
● Model calibration and valuation of derivatives in equities, fixed income, commodities and fx.
● Implementing operational best practices (instrument documentation, valuation policies, reconciliation, cash management, pre-trade compliance and risk constraints, automating key processes).
● Identifying hidden (dark risks) that cannot be revealed through quantitative models.
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