Matthew Sleight Email & Phone Number

Sydney, New South Wales, Australia

Sydney

Designing and implementing a next generation risk analytics model using Monte Carlo simulation of fixed income portfolios over medium term horizons; the model is used to help analyse, construct and optimise portfolio sector allocations according to risk/reward expectations. • Applied and adapted the risk model to a number of fixed income portfolio types:US Corporate and Public pension portfolios: analysed 3 separate pension portfolio case studies to estimate ongoing contributions required for funding ratio studies, comparing current portfolio composition vs. Cutwater proposed fixed income portfolio composition; Total return portfolios: analysing risk and relative performance of Cutwater’s Core and Core+ total return portfolios against the benchmark Barclays Agg.Specifically my responsibilities included risk factor all model research and design, model calibration and parameterisation including:o Credit spread jump diffusion (for 20+ fixed income industry sectors); o “Real World” adaptation of the Brace-Gatarek-Musiela (BGM) interest rate model for use in long term fixed income horizons;o Obligor ratings migration;o Equity Total Return index model;o Stochastic inflation model.I solely designed and implemented Excel/VBA model version; conducted testing and finalising work with programmers to implement into C# application.Portfolio manager on the asset desk for Cutwater’s London based, FSA regulated subsidiary, jointly responsible for managing Cutwater’s non-US portfolios, including the SIV, with approximately $4 billion assets under management.Responsible for credit analysis and monitoring of non-US structured finance investments; sector focus included UK/European/Aussie RMBS/ABS and European SME securitisation/CLOs.