Zurich, Zurich, Switzerland
Experienced quant leader in the asset management and private banking industry with a demonstrated history of building successful teams and robust quantitative systems that drive performance across asset classes. My core competencies lie in quantitative research, asset allocation, private markets and team leadership. I thrive in situations which require reducing complex problems into actionable bits, allowing build-up of competencies and systems necessary to adapt to changing environments. I have strong academic background with a high involvement in research activities and the transfer of knowledge, but at the same time a very hands-on approach. At LGT Private Banking, I'm dedicated to developing robustly optimized strategic portfolios and systematic tactical asset allocation models that use asset pricing theory and empirics, combined with machine learning to forecast risk and returns in explainable way. Our team's mission is to offer bespoke investment strategies that align with the organization's values of innovation and client-centered service. As an external lecturer, I bridge theory with practice, equipping the next generation of financial professionals with the tools to excel in asset allocation and robust optimization.
In my role of Deputy Head and Senior Quant in the Global Investment Solutions Quant Group, I continue the efforts of building robust strategic asset allocations for LGT's clients in a global setup and mentoring colleagues. ▪ Leading development of systematic asset allocation strategies including capital market assumptions (CMA) and strategic asset allocation (SAA) ▪ Optimization of bespoke SAA for UHNWI and family officies, discussions and presentations to clients, outsourced chief investment officer (OCIO) Part of larger quant department composed of researchers and developers focused on equities, bonds, funds, allocation and macro strategies, QIS, and quant development
As Head Quantitative Analysis in a newly created team head role, my main responsibility was to develop strategic asset allocation process, including robust quantitative models as well as governance from ground up. I provided this process with the team for our PM, Advisory as well as bespoke UHNWI clients. Later on, we added ML-based explainable short-term asset classes forecasts of return and risk as a basis for the systematic tactical allocation process. ▪ Led and developed team of exceptional quants with high standard of delivery in a collaborative environment ▪ Designed and implemented capital market assumptions framework and strategic asset allocation optimization (CMA and SAA) ▪ Developed explainable ML-based systematic tactical asset allocation models integrating short-term risk/return forecasts ▪ Responsible for LGT Private Banking global Capital market assumptions (process, research, computation, views collection, paper, systems) ▪ Responsible for LGT PB Europe's Strategic asset allocation (process, optimization, paper) ▪ Optimization of bespoke SAA for UHNWI and family offices, discussions and presentations to clients, outsourced chief investment officer (OCIO) ▪ Client-ready material: annual CMA and SAA papers, topical papers, short-term CMA dashboard ▪ Supervision of master theses
Lecturer for a block course on Asset allocation. Students learn theory and practice through lectures, coding exercises and industry case studies. Detailed topics covered: Introduction to asset allocation, Portfolio optimization basics, Robust covariance estimation, Long-term expected returns, Robust optimization, Views and regimes, Regimes in strategic and tactical asset allocation, Group projects and on-site essay writing
As Quantitative Analyst in Asset Allocation and Research team, I worked across asset classes on both strategic, and tactical asset allocation topics as well on a systematic factor fund and private markets research and analytics. ▪ Developed quantitative tools for strategic and tactical asset allocation including alternatives. Enhanced robust portfolio optimization frameworks. PE Cash flows modelling. Contributed to research and production of CMA. ▪ Delivered novel private markets quantitative research by collaborating with investment and risk managers. Analyzed companies, funds, asset class level performance. Created company level private markets database. Developed strategies, machine learning tools and data analytics. Produced academic papers, presented at conferences. Trained junior PE and asset allocation staff; theses supervision. Built private markets data science and research community across company. ▪ Developed systematic time-series, technical and cross-sectional strategies for fixed income/macro fund; weekly signal generation and portfolio optimization; communication with portfolio managers. Built monitoring tools. Closely collaborated, implemented and monitored with PM. ▪ Optimization and backtesting of internal and prospective multi-asset portfolios. ▪ Supervision of interns, supervision of master theses ▪ Macro finance applications.
Dissertation: Market Quality and Price Impact of High-Frequency Trading and its Regulation Research interests: Market microstructure, High-frequency trading, Quantitative finance and Asset Pricing Research and teaching assistant to: Prof Alexandre Ziegler, Prof Michel Habib and Prof Jean-Charles Rochet Teaching: ▪ High-frequency trading (Doctoral- guest lectures) ▪ CFA Investment Challenge (Master) ▪ Advanced Corporate Finance (Master) ▪ Intermediate Corporate Finance (Bachelor) ▪ Supervision of bachelor and master theses
Project: Price impact of bursts liquidity provision. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2745342