Head Of Treasury Quantitative Research
CurrentIn charge of modelling capital utilization, allocation and optimization
Feb 2022 - Present
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Dana Manuela Calistru, Ph.D. Email & Phone Number
Head of Treasury Quantitative Research, Balyasny Asset Management
at
Balyasny Asset Management L.P.
1 work email found
@bamfunds.com
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Current company
Role
Head of Treasury Quantitative Research, Balyasny Asset Management
Location
New York City Metropolitan Area, United States
Who is Dana Manuela Calistru, Ph.D.? Overview
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Quick answer
Dana Manuela Calistru, Ph.D. is listed as Head of Treasury Quantitative Research, Balyasny Asset Management at Balyasny Asset Management L.P., based in New York City Metropolitan Area, United States. AeroLeads shows a work email signal at bamfunds.com and a matched LinkedIn profile for Dana Manuela Calistru, Ph.D..
Dana Manuela Calistru, Ph.D. previously worked as Head of Treasury Quantitative Research at Balyasny Asset Management L.P. and Director, Quantitative Trading Strategies, Risk and Financial Resource Management at Cantor Fitzgerald. Dana Manuela Calistru, Ph.D. holds Phd, Physics - Laser Physics from The Graduate Center, City University Of New York.
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*@bamfunds.com
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Profile bio
About Dana Manuela Calistru, Ph.D.
Highly quantitative fixed income trading, analytics and risk professional with strong management, business and problem-solving skills. Extensive expertise in risk management, liquidity management, margin optimization, capital and balance sheet allocation and optimization, markets, portfolio construction and analysis, securities valuation, P&L management, in various trading environments. Independent thinker, industry recognized for developing creative, expert solutions addressing complex markets problems. Winner of 2 Risk Magazine awards for risk management.Strong management and project management skills. Proven track record in bringing to successful completion projects involving cross divisional teams.
Listed skills include Prime Brokerage, Fixed Income, Capital Markets, Hedging, and 18 others.
Current workplace
Dana Manuela Calistru, Ph.D.'s current company
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7 roles · 28 years
Dana Manuela Calistru, Ph.D. work experience
A career timeline built from the work history available for this profile.
Director, Quantitative Trading Strategies, Risk And Financial Resource Management
Instrumental in building the Fixed Income Financing franchise from ground zero, and running it as the division’s largest revenue generator in a well-controlled risk environment.In charge of financial resource management and optimization: risk, capital, margin, balance sheet, liquidity, for the fixed income financing trading business.Responsible for defining and implementing all market risk and liquidity frameworks and analytics for the fixed income financing trading business.Designed and implemented the dynamic risk-based portfolio margin framework for UST products used to manage and optimize margin and capital allocation. Implemented an FICC optimized collateral allocation model for triparty and GCF trades.In charge of modelling all asset specific financing curves (marked to market and forecasting).
2017 - Dec 2022
Capital, Liquidity, Risk And Margin Management
Golden Oak Tree, Llc
Developed bespoke solutions for fixed income financing portfolios optimizing capital/margin, balance sheet and risk utilizationDesigned client-specific collateral allocation and cash usage optimization solutionsDesigned and implemented client specific portfolio margin methodologies
2015 - 2017
~2 yrs
Director, Global Head Of The Portfolio Risk And Margin Group
In charge of the global risk and margin portfolio group, responsible for implementing cross asset portfolio margin methodologies, analyzing complex client portfolios and managing portfolio risk and margin for major hedge funds. Active participant in client meetings (PM, CFO, CRO level) presenting and reviewing clients’ risk, margin, portfolio margin methodologies and discussing market conditions.
2013 - 2015
~2 yrs
Director, Global Head Of Financial Resource Utilization, Risk And Analytics, Fixed Income Financing
Led the research, modelling, development and implementation of a proprietary trading and financial resource management in-business global system, covering risk, balance sheet and RWA allocation, liquidity management, margin and collateral optimization used for daily trading business operation and tactical client management decisions, for the global Fixed Income Financing and Prime Brokerage businessDesigned and oversaw the implementation of the portfolio based global market, and liquidity risk platform, with several types of loss metrics (VAR, Expected Shortfall, max loss, stress) covering all Fixed Income financing instruments and derivatives (G10 Cash, Credit, Structured products, EM, FX, G4 swaps, exchange traded options) in all major currencies (Risk Magazine award – Risk management system of the year, 2014).Led the implementation of a full repo mark to market and PL explains platform across all fixed income financing traded asset classesDefined and managed all financial resource management (balance sheet, liquidity, RWA, risk) limit frameworks for the Fixed Income Financing business, globallyMember of the management team deciding on the strategic positioning of the trading business in various market environmentsMain business representative for all global FI Financing and global portfolio margin risk related issues, presentations and interactions with regulators (FRBNY, PRA).
2008 - 2015
~7 yrs
Senior Vice President, Fi Financing Trading
Responsible for relative value trading and desk level hedging for the US Fixed Income Financing desk, driven by desk positions and economic forecasts affecting the short end of the curveResponsible for macro hedging and relative value trading for the US Fixed Income Financing desk, covering cash instruments, swaps, basis, futures and short dated ETOs (weekly, monthly, serials)Traded financing specific desk-level hedging and relative value strategies for the short end of the curveGenerated and traded, medium-term and short-end relative value strategies based on economic outlook and specific financing effectsIn depth expertise of US markets and economic driving factorsIn depth, hands-on, trading and risk management experience covering complex trading and risk environments : pre 08, 08 crisis
2002 - 2008
~6 yrs
Government Analytics
Worked on the expansion of Fixed Income pricing librariesOne of the two main contributors to the implementation of the Bond Futures modelDesigned and implemented a horizon analysis calculator for vanilla and callable instruments with embedded term repo assumptions, factor and fed-moves based scenario analysisImplemented various analytics (TEDs, ASW,..) calculators for vanilla and callable instruments
1999 - 2002
~3 yrs
2 education records
Dana Manuela Calistru, Ph.D. education
Phd, Physics - Laser Physics
The Graduate Center, City University Of New York
Bs, Ms, Physics - Optics And Spectroscopy
University Of Bucharest
FAQ
Frequently asked questions about Dana Manuela Calistru, Ph.D.
Quick answers generated from the profile data available on this page.
What company does Dana Manuela Calistru, Ph.D. work for?
Dana Manuela Calistru, Ph.D. works for Balyasny Asset Management L.P..
What is Dana Manuela Calistru, Ph.D.'s role at Balyasny Asset Management L.P.?
Dana Manuela Calistru, Ph.D. is listed as Head of Treasury Quantitative Research, Balyasny Asset Management at Balyasny Asset Management L.P..
What is Dana Manuela Calistru, Ph.D.'s email address?
AeroLeads has found 1 work email signal at @bamfunds.com for Dana Manuela Calistru, Ph.D. at Balyasny Asset Management L.P..
Where is Dana Manuela Calistru, Ph.D. based?
Dana Manuela Calistru, Ph.D. is based in New York City Metropolitan Area, United States while working with Balyasny Asset Management L.P..
What companies has Dana Manuela Calistru, Ph.D. worked for?
Dana Manuela Calistru, Ph.D. has worked for Balyasny Asset Management L.P., Cantor Fitzgerald, Golden Oak Tree, Llc, Barclays, and Lehman Brothers.
How can I contact Dana Manuela Calistru, Ph.D.?
You can use AeroLeads to view verified contact signals for Dana Manuela Calistru, Ph.D. at Balyasny Asset Management L.P., including work email, phone, and LinkedIn data when available.
What schools did Dana Manuela Calistru, Ph.D. attend?
Dana Manuela Calistru, Ph.D. holds Phd, Physics - Laser Physics from The Graduate Center, City University Of New York.
What skills is Dana Manuela Calistru, Ph.D. known for?
Dana Manuela Calistru, Ph.D. is listed with skills including Prime Brokerage, Fixed Income, Capital Markets, Hedging, Risk Management, Market Risk, Quantitative Analytics, and Repos.
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