Stefan Kretzer Email & Phone Number

Copenhagen, Dk

Copenhagen, Capital Region Of Denmark, Denmark

Copenhagen Area, Denmark

Head of Quantitative Risk AnalyticsProduct Owner (for Market Data and Analytics Engine Framework) Head of Trading AnalyticsRecruited a new team of 18 professionals, transitioning from IT to business organization and offshoring operational responsibilities.Project management and active development (C++, Python) expanding utilization of the proprietary quant library.Improvement of documentations, processes, and policies (incl. change management).Prominent contributions to the Markets Analytics Platform technical design and agile “Better Ways of Working” transition.

Copenhagen, Capital Region Of Denmark, Denmark

Head of Quant ITHead of Quantitative Risk AnalyticsTransformation of an IT operations team into a front office desk quant team.Project management and active development leveraging the proprietary quant library (C++) and batch framework (Python).Code releases and testing.

Copenhagen, Capital Region Of Denmark, Denmark

Desk quant and developer (C++, Python) for the proprietary cross-asset derivatives platform.Extensions of the quant excel interface and proprietary model / risk scripting environment.Design and implementation of a lean batch framework for automated quant calculations.Quant proprietary data access security.

London Area, United Kingdom

Desk Strat with the Securitized Derivatives and European Mortgages desks.Risk analytics for the one delta sector (Rolling Turbos and related Equity Derivative products).Valuation model (jump diffusion; C++ and SLANG) for synthetic convertible bonds.Loan performance model (C++ Markov Chain) for residential mortgages in the UK.In-house replicas of agency (Fitch, Moody’s, S&P) rating models.Loan pool evaluations with the origination desk.

New York, United States

Analytical, statistical, and numerical research of hard quark reactions in collider physics.Perturbative cross sections as mathematical closed form results and quantitative evaluations involving Monte Carlo techniques. Optimization / calibration of multi-dimensional parametrized models.