Projects
U.S. Credit Asset Manager
Client: Private Sector
Descrption: Created the first-ever Middle-Market company performance index based on data of private middle market companies of a Loan portfolio generated by Direct Lending activities, providing early investment insights into major stock indexes: S&P 500, S&P SmallCap 600 and Russell 2000, that the media (WSJ, CNBC) have discussed
Capital Structure Valuation
Client: Private Sector
Descrption: Developed a new capital structure valuation model based on balance sheet simulation valuing senior/junior/secured debt and CDS, for the use in investment strategies such as capital structure arbitrage and event-driven strategies, as well as optimal firm recapitalization.
Morgan Stanley
Client: Private Sector
Descrption: Built unique corporate default econometric prediction models for both non-financial firms and financial firms covering the full U.S. market which provided high default prediction accuracy and forecasts of CDS price dynamics.
ABN AMRO
Client: Private Sector
Descrption: Determined the proper VaR methodology for a bank’s Futures business to provide a risk-based margin financing for select clients based on the difference between CME SPAN and VaR by performing comparative analysis between SPAN and VaR across products
Natixis
Client: Private Sector
Descrption: Actively developed the CLO/CBO business: an instigator of the investment strategy to identify CLOs/CBOs relative value trades by quantifying the risk / return profiles of these products
Natixis Group (CIMCO Hedge Fund)
Client: Private Sector
Descrption: Managed (as a portfolio manager) and created the systematic investment strategy for a $125 mm US High Yield credit fund which outperformed its benchmark
North America and European Credit Asset Management firms
Client: Private Sector
Descrption: Created a quantitative credit investment strategy incorporating market and fundamental factors investing in US and European High Yield corporate bonds, achieving a strong back-tested performance, ranking in the top quartile among its peers and with no defaults over extended periods
US-based Hedge Fund
Client: Private Sector
Descrption: Managed and created a quantitative investment strategy in grain and soft commodity futures, as a portfolio manager. The strategy achieved a stellar performance, outperforming most of its peers
ABN AMRO
Client: Private Sector
Descrption: Developed a new business by arguing its economics with senior management and by building a simulation model to determine the risk/return profile of a structured loan to an SPV for the purchase of deferred annuity contracts
ABN AMRO
Client: Private Sector
Descrption: Provided the quantitative/qualitative analysis of a critical Single-Tranche Synthetic CDO, addressed sensitive issues involving the rating agency and the CDO issuer, and brought the project to completion working with the Risk Management department and the Business Unit
ABN AMRO
Client: Private Sector
Descrption: Built risk methodologies for Distressed Debt
JP Morgan
Client: Private Sector
Descrption: Developed and implemented new types of American and Barrier options models for pricing and hedging commodity and equity derivatives
JP Morgan
Client: Private Sector
Descrption: Developed and implemented an average rate option model for equity and interest rate caps correcting for skewness and kurtosis, incorporating term structure of volatilities, interest rates, dividends and costs of carry
CME Group
Client: Private Sector
Descrption: Statistical Analysis of Financial Markets Dynamics: Provided advisory services to the CME Economics Department on time-varying parameter (TVP) statistical methods based on economic risk factors that impact the forecasting of market price evolution, volatility, and potential use of futures and options products