Executive Director - Risk Management
Senior Vice President and Risk Management Director of a 4 person team responsible for measuring market risks for 11 platform funds, covering a wide range of strategies including Global Macro, Fixed Income Relative Value, Long/Short Equity, convertibles and Commodity Strategies. The combined platform manages approximately USD 3Bn.
- Conducted the Portfolio modelling, VaR measurement, concentration analysis, stress testing and a set of sanity checks.
- Devised the correct portfolio model depending on the strategy and the asset class involved. Bucketed the portfolios into relevant risk factors and focused on the quality of market data in order to correctly express their evolution.
- Monitored the Value-at-risk (VaR) of the funds using three different VaR models (parametric, full revaluation, Monte Carlo simulation).Original solutions (e.g. heteroscedasticity corrections) discussed and applied.
- Monitored the Greeks (DV01, Gamma, Vega, and Theta) and performing stress tests on the portfolio.
- Worked closely with Quant Development team based in London to enhance Risk Analytics.
- Regular conference calls with significant investors who need to understand risk, performance attribution and outlook for the fund portfolios. Also briefing investors conducting the due diligence of the various funds.