London, England, United Kingdom
Quantitative Market Risk Manager with experience of working in top tier investment banks and hedge funds.
Portfolio Construction Group - Global Fixed Income & Macro Macro, FX, Bond RV, Bond-Future Basis, Vol RV
Senior Risk lead reporting to the CRO. Managing risk for all Fixed Income RV strategies across Capula's various funds (including flagship Global Relative Value fund). Working in close collaboration with senior PMs across Capula's Asia, UK and US offices and various back office functions to identify, measure and effectively communicate key market and liquidity risks in Rates RV and Non-Linear books. Assisting CRO in team building and mentoring junior staff in the team. Helping Investor Relations to manage key investor relationships by attending client calls and providing interesting risk insights.
Core Rates Europe MRM. Flow Rates / Non-Linear Rates with focus on Flow Vol & Single Currency Exotics
VP level Global Rates front office Risk Manager. Following financial markets. Advising senior trading heads and traders on main risks, VAR, regulatory capital costs and PNL drivers. Worked on risk models, VAR methodology, PCA, Stress Tests, Regulation (Volcker Rule / RENTD / French Banking Law), Capital allocation and optimization (VAR, SVAR, IRC), client MIS (flow volume analysis), Liquidity Scoring, PNL Stop Losses.
Macro hedging
Emerging Markets IT - Application development