Anthony Morris Email & Phone Number

London, United Kingdom

Global Head, Quantitative Strategies, Global Markets

Quantitative Trading Strategy Research

London, United Kingdom

Started as a desk quant on the then-new credit derivatives desk. Developed tools to assess and price counterparty credit exposure in OTC derivative transations. Helped create the client-facing web analytics tool that became CreditDelta and then UBSDelta. The chief innovation was modelling credit exposure using issuer-specific credit spread curves instead of ratings-based transition probabilities, which was common in the late 1990s.Represented UBS in the consortium that created the iBoxx index suite and subsequent spin-offs.As a credit structurer, achieved a variety of innovations: Asia-centric CDOs, conservative CDOs for private banks, CMCDS strategies, and long/short CDS index strategy products. As a cross-asset strategist, wrote several influential papers:1) the nature of risk premia in short-term forward interest rates, which influenced a number of investors considering FRB products at the time.2) the uses of trend following in interest rates and other markets, showing that trend following was not just "technical analysis" but had substantial support in modern financial economic research. This lead to a number of clients adopting such strategies for the first time.3) the term strucure of crude oil, showing that the crude oil curve had much in common with interest rate curves and that commodity index products at the time, which emphasised front-month contracts, were missing substantial value opportunies. This paper led to a number of trades, and ultimately the creation of the UBS-Bloomberg CMCI (constant maturity commodity index) suite.

Basel Area, Switzerland

Worked for the old Swiss Bank Corporation's sovereign risk control team. Developed tools to infer sovereign default loss estimates from market data, using the Merton model as a starting point.

High School Diploma

Ab, English, Economics

Activities and Societies: Phi Beta Kappa

Doctor Of Philosophy (Phd), Finance, International Business

Activities and Societies: Asia Pacific SocietyDissertation used contingent claims analysis to shed light on puzzles in sovereign debt.