Gerald (Jerry) Cubbin, Phd Email & Phone Number

New York, NY, US

Pembroke, Hamilton, BM

• Advise global specialty insurance and reinsurance company on ALM and investment risk framework
• Enhanced liability stress and disaster scenario modeling to include market impact on investment assets
• Developed investment risk appetite policy to set maximum 100-year risk for investments and track the probability of breaching key capital levels
• Enhanced analytic tools used for risk measurement and asset allocation research
• Recommended an approach to liability duration modeling that improves asset-liability duration matching

Atlanta, Georgia, US

• Leader of 60-person risk management department overseeing market, liquidity, counterparty, and regulatory risk for $1.5Tn in assets across all investment centers globally.
• Established and Chaired Investment Risk and Liquidity Risk Management Committees
• Enterprise Risk Management Committee member, responsible for assessing and managing firmwide investment risks
• Develop and manage all regulatory and sustainability investment risk policies across North America, EMEA, and APAC
• Oversee legal entities and boards covering Mutual Funds, UCITS, ICVCs, ETFs, separate accounts, and direct real estate
• Business owner of firm-wide risk analytics system

Atlanta, GA, US

• Player/Coach overseeing team of nine risk managers (two offshore) responsible for establishing and monitoring the risk limit framework for all fixed income, alternative and multi-asset funds.
• Chair, Counterparty Credit Risk Committee; committee sets counterparty limits for all funds
• Lead development of Liquidity Risk Management program and methodologies
• Develop reverse stress testing and probabilistic methods for assessing scenario likelihood
• Led complete restructuring of risk analytics architecture and large-scale implementation of RiskMetrics platform
• Propose new risk policy to senior leadership through the Investment Risk Management Committee and apprise that group of risk limit breaches and how they were corrected.

Melbourne, Victoria, AU

• Developed risk assessment, expected loss modeling, bank capital charge methodology and risk mitigation strategies for large portfolio of securities held in NAB conduits and CDOs.
• Developed and implemented roll-rate methodology for generating default and prepayment curves for residential mortgage-backed securities (Subprime, Alt-A, Prime, 2nd Liens, HELOCs)
• Used methodology to generate cashflows and loss projections under multiple scenarios using Intex. Calibrated valuations to pricing where available
• Developed and implemented default and prepayment models for Auto-ABS, Credit Card ABS, Private Student Loan ABS and Commercial Real Estate CDOs
• Performed fundamental credit analysis for various ABS including cargo container leases, aircraft leases, rental car leases, structured settlements, diversified payment rights and XXX Insurance
• Lead discussions and documentation of modeling methodologies with outside auditors and regulators

New York, US

Advised $2 billion fund of funds on augmenting quantitative tools, optimizing liquidity management, improving risk modeling and streamlining database architecture.

New York, NY, US

• Director of Fixed Income Quantitative Research.
• Oversee 8 analysts (some PhD-level) doing relative value modeling and risk analytics across fixed income platform
• Develop quantitative trading strategies in currencies and interest rates
• Oversee all investment decisions in structured products

New York, NY, US

Quantitative fixed income analytics, portfolio optimization, tax-awareinvesting, relative value modeling.

Phd, Economics

Bs, Math, Economics