Mark Hadley Email & Phone Number

New York, New York, Us

New York City, Ny, Us

please see numerix.com for more details.

Seattle, Wa, Us

Act as Registered Investment Advisor to several life insurers, executing exchange and OTC derivative trades, on risk management mandates for hedging:-$15 Billion of Variable Annuity (VA) guarantees, spanning all major GMXB designs with exposure to US, EAFE and EM. -$20 Billion of Equity Indexed Annuities (EIAs), spanning cliquet, Asian, lookback and vanilla designs. -Strategy mandates involve dynamic trading in a wide range of derivative instruments, including equity index futures, FX forwards, IRS and swap/Treasury futures, equity options and swaptions, and volatility derivatives. Some strategies involve more structured products including variance swaps, total return swaps, and non-deliverable forwards. Developed a wide range of derivative valuation and hedging models for live trading/hedging programs-Coded computer implementations of arbitrage-free models across several asset classes. Equities: log-normal, local volatility (Dupire), stochastic volatility (Heston), jump diffusions (Merton/Bates). Rates: multi-factor Heath-Jarrow-Morton and Libor Market Models. Hybrids: combining models of equity skew with stochastic rates. -Development of live market-consistent calibration algorithms and Monte Carlo simulation schemes for each. Recent projects: -Design and launch of the Milliman Guarantee Index, the industry’s first reference point for guarantee product valuation. -Extend the above derivative valuation framework to include inflation-linked assets (TIPS) and guarantees via the Jarrow-Yildirim framework. -Demonstrate the hedgeability and economics of alternative asset classes, eg managed futures and hedge funds, in guarantee products. -Design and launch of the first retail funds that are designed specifically for guarantee products. The funds are replicated with futures with negligible tracking error and have constant return volatility.

Northbrook, Il, Us

-Actuarial modeling of expected policyholder losses on various personal lines businesses, including validation of predictability of credit data -Statistical modeling of policyholder behavior, especially dynamic lapse risk with respect to premium changes-Developing optimization routines for profit-maximizing pricing schemes

Review rate filings for P&C and health companies. This was when terrorism insurance was first priced and filed with regulators.

Bs, Finance

Bachelor Of Science (Bsc), Economics