Raphael A. Email & Phone Number

London, Gb

London, England, United Kingdom

Director – QA Markets, Model Integrity and Control – Model Owner Delegate  Asset class lead for XVA, Structured Products, ABS and Credit models used for end-of-day pricing and risk models Developing and documenting several Prudential Value Adjustment (PVA) calculations  Co-ordinating the model governance processes with the desks and other stakeholders and keeping end-to-end model documentation up-to-date in the central model data base  Ensuring that model assumptions / limitations are accurately recorded and effectively justified / mitigated by testing evidence  conducting annual model assessments in co-ordination with all control functions (Risk, Finance, Model Validation, internal and external Audit).  Supporting regulatory interactions (PRA, ECB, EBA, FED, SEC)

London

As part of LSEG's central Model Risk Management Group I was mainly looking after credit and rates pricing models such as the various XVA analytics offerings for LSEG clients.

London, United Kingdom

- Designing, testing and implementing the Incremental Risk Charge (IRC) according to Basel 2.5 regulatory capital framework and the Default Risk Charge (DRC) following the Fundamental Review of the Trading Book (FRTB - IMA & SA)- Leading IRC/DRC model-related dialogue with regulators- Prioritising model development and maintenance book of work with stakeholders in Front Office and Market Risk Management - Leading a global team of risk modellers and developers spread across four locations on three continents

London, England, United Kingdom

- Lead in model validation and trade approval for all credit pricing models, asset-backed securities and securitisation derivatives- Validation of market risk regulatory capital models (VaR, SVaR, IRC, CRM) and counterparty credit risk models including regulatory and traded valuation adjustments (XVA)- Reporting model risk of credit and risk models to senior management, auditors and regulators

London, United Kingdom

- Designing, testing and implementing an Economic Capital model based on Extreme Value Theory - developed and implemented a proprietary VaR explain tool based on implied correlations- Model-related reporting to senior management, auditors and regulators

London, United Kingdom

- Trade approval and model validation for all credit pricing models (credit derivatives, securitisations and hybrids)- Maintaining an independently implemented, C++-based pricing model library price-testing books & records- Reporting model risk to senior management, auditors and regulators

London, United Kingdom

- Member of Riccardo Rebonato’s quantitative research team providing strategic advice to clients- Developing, back-testing and marketing relative value trading strategies in FX, rates, credit and equities- Implementing asset allocation and portfolio optimization based on the Black-Litterman approach

London, United Kingdom

- Launching a new fixed income hedge fund jointly with two senior portfolio managers- Developing, back-testing and implementing relative value trading strategies such as CDS-bond and index basis trading, CDS curve trading, capital structure and convertible arbitrage

Frankfurt Am Main Area, Germany

- managing collectively with two colleague PMs fifteen mandates with a total NAV of €1.5 bln - launching an absolute return fund focusing on relative value in FI, capital structure and convertible arbitrage

Frankfurt Am Main Area, Germany

- Design and roll-out of a Credit Risk Monte Carlo model for fixed income portfolios - Development and implementation of risk-adjusted performance attribution

Bonn Area, Germany

- running exercise classes, exams for undergraduates and seminars for graduates- regular presentation of own research in internal seminars as well as on international conferences including an address at the International Congress of Mathematicians Berlin 1998

Paris Area, France

Developing Fortran-based Monte Carlo Simulations for a series of high energy experiments (on B-B-bar parity violation) performed a year later at CERN (European Nuclear Research Agency)

Doctor Of Philosophy (Phd) In Mathematics, Algebraic Topology, Geometry And Dynamical Systems, (Not Completed)

- Postgraduate studies in Algebraic Topology, Geometry and Dynamical Systems, supervised by Prof. C-F. Bödigheimer (Uni Bonn, Topology.

Master’S, Mathematical Physics, Top Grade

Activities and Societies: directing plays in a student theatre society- Master’s in Theoretical Physics and Mathematics (German.

Diplôme D’Études Approfondies De Physique Théorique“, 1Re Année

1st year postgraduate studies with Profs E. Brezin, C. Itzykson, Y. Chouquet-Bruhat among others