Pascal Chiknagi Email & Phone Number

London, United Kingdom

- Manage physicals & synthetics fixed income ETFs: rates, investment grade, high yield, emerging markets- Portfolio Construction Automation: Built tool providing automation for inkind orders, cash orders and rebalancing across all fixed income funds.- Developed algorithms reproducing portfolio manager thought process translated in Python - Senior member in the team bringing leadership and oversight

London, United Kingdom

• Manage strategies delivering Alternatives Risk Premia (momentum, value, carry) across asset classeso Flagship funds: Cross Asset Momentum, Equity Volatility Risk Premium, Fixed Income Risk Premiao Quantitative Investment Strategieso Member of the investment committee• Manage rules based strategies – passive funds - currency hedging• Setting up investment platform with involvement in Research, Legal, Compliance, Risk, Marketing, Fund Structuring, and System

• Build Relative Value framework on Gilts (conventional, linkers, nominal swap, inflation swap): VBA• Responsible for managing £20bn of liabilities across 100 clients using derivatives (interest swaps, inflation swaps, swaptions, total return swaps, repo, asset swaps)• Managed rules based strategies – passive funds• Set up a risk framework involving Portfolio Management• Improve investment process: work with IT to develop a system improving significantly the daily management of leveraged funds

London, United Kingdom

Portfolio Management:Managed Global Rate, Credit, High Yield, Emerging Markets, Inflation portfolios and derivatives based strategiesLDI strategies, launched and managed LDI pooled funds and managed segregated mandates (>£1bn liabilities)Developed and managed derivatives strategies (LDI) at SSgA covering par coupon interest rate swap, zero coupon Swap in nominal, inflation and real space and par asset swapsBuilt a swap pricing toolDeveloped dual bootstrappingManaged £10bn of Derivative ExposureProjects:o Research and advice on investment strategieso Developed structured fixed income solutions: LDI, Hedging, stable duration, trigger, specific exposure and indexed strategieso Won businesses with Consultants, Sovereign Wealth Funds, Pension Fundso Launch of SPDR ETFs: £1.5bno Set up a framework between Alpha Strategists and Portfolio Managers to ensure consistency between Alpha Models and Portfolios, have reduced dispersion between funds and modelso Set up a Global Risk Framework for analysing risk metrics across the strategies preventing any deviations from investment objectives• Set up a Sub-Advisory business for structured funds: 100 funds, £10bn AUM, involving Total Return Swap (Equity, Commodity, Fixed Income), Par Asset Swap, Cross Currency Swaps• Absorbed 50 funds following an asset manager firm acquisition, making key decisions in technology avoiding increasing resources and improving productivity• Creation of Euro Swap Spread Model• Built a tool allowing creating many types of models with varying parameters, flexibility how to combine indicators and multiple trading rules in a dynamic frameworkPeople Management

Dea Monnaie - Banque - Finance

Master In Econometrics