Finance

Projects

• Option Portfolio Risk Reports: For my personal use I developed a set of simple reports for option risk exposures and scenario profit-and-loss projection.

• ISDA Standard CDS model: Long ago I was one of the principal contributors to establishment of the the ISDA standard credit default swap (CDS) model. Here are some examples of usage.

• Flight to Quality: Using machine learning techniques including Gaussian processes kernel methods, I identify non-linear flight-to-quality factors in financial returns. This allows for novel approaches to risk management of extreme events.

• CVA, FVA, KVA and all that: a talk I gave on derivatives valuation adjustments for the UC Berkeley Risk Seminar

Work experience

I worked at Goldman Sachs for 13 years I in the “strats” group. At other firms strats might be called “quantitative analysts” or “quants” or “financial engineers”. Historically strats were experts in the mathematics of financial derivatives, but now their expertise includes data science and machine learning.

I managed the team of Ph.D.'s and technologists responsible for modeling bankruptcies for the credit trading desk during the height of the credit crisis. See my resume for more about that.