Head Of Investment Risk Management And Quantitative Research
Current• Serve as Chief Investment Risk Officer, overseeing all aspects of investment risk management at $800 billion fixed income asset manager.• Lead global 85-person team across three groups - Investment Risk Management; Quantitative Modeling and Strategies; Portfolio Analysis Group.• Hedge fund and long-only platforms span the fixed income risk spectrum. Hedge fund products include long/short liquid rates relative value, long/short EM, multi-strategy opportunities, and credit funds. Long-only products include all major fixed income strategies. - Direct the maintenance and enhancements of proprietary, internally-developed risk model and risk framework. - Quantitative Modeling and Research team is responsible for: - Asset allocation, risk estimation, and performance attribution. • Development and implementation of all proprietary yield curve and credit curves modeling.• Valuation frameworks for callable corporates, CLOs, agency mortgages, and CMBS.• The Portfolio Analysis Group provides on-desk analytical support including risk monitoring, portfolio construction, and ad hoc quantitative analysis for all US and UK portfolio management teams.
