• Co-manage Ellington’s convexity/black swan portfolio ($20MM annual premium budget).• Developed models, analytics, & infrastructure for supplemental vol arb/ index arb strategies.• Ellington speaker/ representative at CBOE Risk Conference (re: cross asset volatility contagion) and Yale University (re: systemic market risks).

• Provided risk advisory services to asset managers seeking to hedge cross-asset (equity, credit, volatility-based alternatives, commodities, private equity) portfolio risks via equity derivatives.

• Co-founder of a quantitative, market-neutral hedge fund start-up ($100MM AUM led by Steve Garnett, former head of equities at Credit Suisse, seeded by Axa Investment Mangers) specializing in equity-index and ETF event driven strategies • Co-marketed the fund to asset allocators and other potential investors. Designed and developed Sakonnet’s trading analytics infrastructure including portfolio construction, back-testing engine, and portfolio risk management analytics (SQL/ Python).

• Managed factor and style equity portfolios to algorithmic benchmarks.• Responsible for the research, design, and construction of quantitatively based exchange traded products to complement Janus’ existing $4B suite of systematic levered macro and volatility ETPs.

• Supervised trading desk research and trading analytics across Americas, Europe, and Asia for quantitative and portfolio based product lines. (Team consisted of 15 strategists across equity derivatives, delta-one, algorithmic trading, program trading, and index analytics.)• Specialized in empirical research focused on options, equity derivatives, and risk management (e.g., trading volatility as an asset class, VIX and volatility of volatility, analysis of the volatility surface, cross-asset volatility contagion effects). Published directional and long/short trading ideas (primarily using options, cash equities, and delta-one products) based on a variety of catalysts (macroeconomic/geopolitical, structural/regulatory, quantitative/ market anomalies). Sample research topics include: intraday volatility, volatility/ VIX forecasting, impact of quantitative trading, drivers of long-short alpha, correlation distributions.• Served as quantitative product specialist to equity based Credit Suisse clients catering to traders, portfolio managers, and risk managers across a range of hedge funds, institutions and asset managers, pension funds, and insurance companies. Sample topics include portfolio risk management, alpha extraction, and yield enhancement.• Represented Credit Suisse in industry conferences and with respect to the media. Over 200+ published reports and commentaries across a variety of industry papers and journals including the Wall Street Journal, the Financial Times, Risk Magazine, Journal of Indexes, CNBC, Bloomberg, Reuters, Actuarial Risk Management etc. Garnered top derivatives research rankings in industry surveys (Institutional Investor – All Americas Research Team, Equity Derivatives category and Greenwich Survey – Options Research category)• Designed Credit Suisse’s equity derivatives and volatility analytics infrastructure.

• Developed trading models to assess the price and trend impact of trading large portfolios.• Utilized pool of 300+ fundamental and technical factors to capture investment alpha.• Created program and quantitative trading analytics infrastructure (Gauss)

Designed systematic empirical backtests (S+) to validate academic derivatives and portfolio research. Strategies include momentum, reversal, earnings surprise, growth/value, and seasonality effects.#1 ranked Institutional Investor team - Quantitative Research.

Statistical modeler (Gauss, SQL) - designed credit and interest rate risk management value at risk models.