Statistician and Financial Quant
Proficient Quant, PhD and former Asst Prof of Applied Math, turned statistician, econometrician, financial modeller with expertise in Fixed Income and Derivatives. Over 19 years experience in modeling and leading teams in developing methods for algorithmic trading, asset allocation, the analysis and valuation of securities, and visualization of complex data sets for decision making on trading and portfolio levels.
As I am in Research, I am very familiar with presenting market insights and industry trends.
Product focus in capital markets (fixed income, fx and equities), in both cash securities and derivatives, including relative value analysis / statistical arbitrage, macroeconomics, and strategy.
Expertise in modern statistics (both classical and Bayesian), econometrics, machine learning. Languages: Matlab, Python, R with experience in SAS, VBA, C/C++, Unix/Linux.
I am a native English speaker, an American based in London for the past 12 years.
I have just finished a book on uncertainty and risk management, with an emphasis on post-crisis approaches to the risk management of one offs.