- Manages the development of models related to the Fiscal Agent role of the Bank of Canada, for the domestic debt and foreign reserves portfolios.

• Provide advice and guidance to model developers and users for the Domestic Debt Management, Foreign Debt and Asset Management and Pension Fund teams.• Performed an in-depth review of the modeling framework for the Foreign Debt and Asset Management teams. Currently reviewing the Domestic Debt Management models.• Provide advice to the Model Risk Management Working group. Represent the department on committee meetings.• Represent the department on various comities related to the software and hardware infrastructure available to the department, introduction of new technologies (AI, quantum computing), and others.

• Presentations on the Exchange Fund Account model to senior manager audience.• Provide guidance to team members on technical issues.• Participated in the elaboration of the Annual Funding and Investment Plan for the Exchange Fund Account. Developed a novel ISIN-based portfolio optimization method.• Design of the workplan for the Foreign Debt and Asset team: gathered workplan items from all teams involved in the management of the Exchange Fund Account, facilitated cooperation across teams.• Review of the current model Exchange Fund Account model.• Design of a plan defining a strategy for the use of models in the management of the Exchange Fund Account.

• Took part in the design of the Model Risk Management Framework for the Funds Management and Banking Department.• Designed the department's process for building a model inventory and performing initial risk and materiality assessment.• Performed a survey and initial risk assessment of all the models in the department.• Designed policy documents describing requirement for model implementation, and model implementation and coding best practices.• Validations of the Value-at-Risk model used by the Financial Risk Office.

• Two-way CSA: performed analytical work on the Close-Out risk, swap novation and termination, swap concentration risk measures.• Produced original research on Historical Value-at-Risk, in relation to negative interest rates (nominated for an Award of Excellence in the Innovation category).• Implementation of the OIS discounting for swaps. Lead participant in related policy discussions.• Frequently presented research to a wide variety of audiences: departmental brownbag seminars, management committees (Foreign Reserves Committee, Risk Committee, Funds Management Committee), Senior Leadership Team. • Took part in the maintenance and development of the Risk Office’s operational systems (benchmark, dashboard, end-of-month reporting, etc.).• Acted as a technical reference for junior team members.

• Maintained and developed pricing models for the Funding Desk of the EBRD Treasury (large PRDC portfolio, CMS spreads, range accruals, and others). Advised traders on structuring options, potential risk in structures (operational, credit or market).• Produced tools for facilitating access to pricing models for Risk Management and Middle Office.• Provided the Funding Desk with ad-hoc computation results (cost of optionality buyback and various restructuring)• Participated in Risk Management projects: implementation of exposure profile monitoring• Provided analytical support to the Credit Desk and External Clients Managers (for Banking projects)

Consulting, implementation and validation:• Validated NumeriX pricing models implemented by customers, produced reports on market data setup, pricing model usage, deal classification and model / calibration adequacy.• Advised several financial institutions on building pricers and model setup for various exotic structured products.• Provided technical support and training to customers for all NumeriX products.Development:• Semi-analytic pricing of CMS-spread structures.• Finite-difference schemes for the Black, Dupire, SABR and Heston equity / FX model• Pre-treatment and smoothing of volatility market data.• Pricing of EQ and FX barrier options with Monte-Carlo simulation and finite difference schemes, using various correction for continuous monitoring.• Calibration of short-rate models and LMM. (including cascade calibration)• Maintenance and improvements on numerical pricing methods: Monte-Carlo, continuous lattice, finite-difference and Longstaff-Schwartz.• Markovian projection technique for calibration of Heston-Hull-White hybrid model• Caplet volatility stripping using the SABR model.Awarded “Best NumeriX employee of 2005” for customer quantitative support role.

• Produced market risk reports and analysis: Value-at-risk (linear-Gaussian, historical, full valuation Monte-Carlo for option VaR) and stress testing. Communicated results to the management.• Automated the production of the reports and maintenance of risk monitoring software• Tested and analyzed option pricing technique using Monte-Carlo for callable products. (Andersen and Longstaff-Schwartz, Andersen-Broadie)