London, England, United Kingdom
Quantitative Research Team Lead with 20+ years of experience in Credit Derivatives pricing and risk management and 10+ years of experience managing a team supporting a global Credit Trading business across several locations
Credit Quantitative Research Team Lead • Managing a thriving and well established team of junior and experienced quants through changing markets and evolving requirements • Long time experience in overseeing the development of Credit Derivatives models and Credit systematic strategies • Responsible for the end to end design, implementation, documentation, testing and support of models and analytics used by Trading • Extensive knowledge of single-name and multi-name Credit products: CDS, Credit Index Swaps, Credit Index options, Index and Bespoke Tranches, Credit Linked Notes and structured / exotic products • Coordination of the integration of models with Technology teams • Collaboration with the internal Model Review team on approval of models and specific structured trades • Proactive collaboration with the Credit Trading desk on product innovation and risk management • Overlooking the migration of pricing analytics to the new generation of Risk Management system • Experience in communicating with Senior Management, Control teams and Regulators
Credit Quantitative Research • Implementation of Credit pricing models for Index and Bespoke Tranches • Development and support of Base Correlation and copula models
FX and Rates Hybrids Quantitative Research • Implementation and support of hybrid products
Quantitatve analyst, development of bond risk models