Schonfeld

Senior Credit Quant

Quantitative Recipes

Various consulting and private projects in applied mathematical finance, risk advisory, training and automated quantitative investment.

Jan 2019- Nov 2018: Consultant at Deloitte, Financial  Risk Advisory.  Various mostly internal projects related to general derivatives pricing and risk,  XVA and FRTB. PySpark app design and development.

April 2018-Sep 2018:   PWC/Citi technical lead, Exotic Equity Derivatives.
As a senior member of the PWC consulting team, I was responsible for coordination and final “quality control” in the FO model/pricer documenting and testing project in Citi Equity Derivatives, covering the wide range of products from delta one vanillas to modern exotics and hybrids.

March 2018 - Produced a workshop on "Multivariate Dynamics of Financial Markets".
http://www.quantire.com/Home/Workshop

Also advised 

The Passion Project (http://www.passionproject.co.uk) and its affiliates, 
CryptoCompare (http://www.cryptocompare.com) 
TrustMe - TPX Exchange (http://tpx-london.io) 

on various financial matters.

Founder

Barclays Investment Bank

Runs the team providing structured credit QA.

Structured Credit QA Lead

LetterOne Treasury Services LLP

LTS is the liquidity management and securities trading operation of LetterOne, a $25bn private investment vehicle.

During the first year I have set up the risk and quant functions at LTS, including setting up market data feeds, setting up the quant pricing library, leading configuration of the production system and implementing the daily risk report production workflows (hedge reports, scenario analysis and management analytics). 

In the subsequent years, I was responsible for supporting pricing, risk and market data production infrastructure for all kinds of flow and exotic derivatives across all markets. I was also developing data driven systematic trading strategies, and analyzed ad-hoc portfolio construction and exotic derivatives trading ideas.

Head of Risk Management / Head of Modelling and Quantitative Analytics

Royal Bank of Scotland Group

Running both FO CVA and CCR IMM  quant teams, I lead design of the methodology and co-lead implementation of this methodology in the analytic modules of the greenfield Base III - complaint CCR risk system that won the 2013 Risk Award "Best In-House system of the year".

http://www.risk.net/risk-magazine/feature/2317603/in-house-system-of-the-year-royal-bank-of-scotland

Designed the front office (“risk neutral”) XVA valuation solution as an extension and an integral part of the existing global quantitative analytics platform at RBS ("hub and spoke" rates/fx/inflation/credit model, HW/LMM/Cheyette + LSV for FX) , including market data platform, trade and position databases and the risk engine. 

In parallel, on internal secondment to the risk function, lead research, design and successful delivery of the market factor evolution methodology (purely econometric/historical measure) for the greenfield counterparty risk system to meet Basel III/CRD4 and earn IMM waiver. Factor types covered were interest rates, FX, inflation and credit (including rating migration), rates and FX volatility, all in a global dependency model  (5000-10,000 statistically estimated factors evolved in parametric Monte Carlo).

Co-managed the quant/risk developer team (10-15 people) that was implementing the newly designed methodology in the production risk system over a Hadoop cluster.

Managing Director, Head of CVA and CCR Quantitative Analytics

Goldman Sachs

Senior Strategist (Quant) at Goldman Sachs, Equity financing/Structured credit

Executive Director

HSBC

Director; initially responsible for European credit quant team, later promoted to the position of the Global head of credit quants, covering flow and structured credit, EM, as well as credit hybrids.

Director, Global Head of Credit QA

Dresdner Kleinwort

Senior Front Office Credit Derivatives Quant

VP, Credit Derivatives and Securitizations

Associate

CentreInvest Group

Running a mature team of around 10 sell side analysts (equity and fixed income).

Equity Analyst - Head of Research

Europa Management Invest

Head of Research

If a trend is not your friend, then this is, probably, the end.

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