Senior Quantitative Analyst
Barclays Wealth
Keywords
Skills
Excel, VBA, SQL, MATLAB, Python, C#, Java, Bloomberg Barclays Point, model validation, backbone, Excel / VBA, Analytics
Project history
05/2016
-
03/2019
- Specified MiFID Stress Testing requirements for fund products and led the 5 person working group on incorporating the changes into the existing product governance framework.
- Was asked to consult by the MiFID Costs and Charges work stream which was having problems delivering the strategic solution within the timeframes specified by compliance. I proceeded in gathering requirements and delivering an Excel based tactical solution which became the primary solution for most of the advisory businesses. This also later became the specification for thestrategic solution that would be eventually delivered by IT.
- Internally validated and wrote the model validation documentation for all Quantitative Models owned by the Quantitative Research team including End User Developed Applications (EUDA's).
- Formulated a plan for adding alternative asset classes such as risk parity and alternative beta style and factor based investing to the Strategic Asset Allocation process.
01/2016
-
05/2016
Senior Investment Risk Manager
BlueBay Asset Management
- Was hired to implement a new risk system which ended up being bought out by a competitor. I then proceeded in enhancing the reporting provided by our existing systems without having to pay for any additional software. This also involved developing an ad-hoc stress testing framework with associated processes and work flow.
- Review the existing liquidity risk calculation methodology and proposed improvements that would make the process more robust and more automated.
- Developed tools to be used for portfolio construction, risk budgeting and to come up with beta replication or hedging strategies for various fixed income funds using derivatives. Automated production of UCITS and AIFMD reports resulting in a saving of hours of manual effort required on a regular basis.
03/2014
-
12/2015
Technical Specialist - Investment Risk and Asset Allocation
Barclays Wealth
- Gathered requirements for, documented and then built a prototype in Matlab of a stochastic forecasting model that would form the backbone of Lifeplanner ( a tool available to the on the Barclays Smart Investor Platform.)
- Was the business lead in the team responsible for delivering the final production solution of Lifeplanner. Worked very closely with IT to ensure that they understood the model and did not make any unwarranted assumptions. This close collaboration enabled us to be one of the few teams to deliver well within the timeframes we had committed to.
- Aided the rest of the Quantitative Research team in delivering their regular Strategic Asset Allocation optimisation across the full range of asset classes using Mean Variance and Black Litterman.
10/2013
-
03/2014
Head of Investment Risk (Interim)
AXA Investment Managers
- Interim Head of Investment Risk. After 2 weeks of knowledge transfer with the outgoing head of risk, managed the investment risk function for the UK perimeter until his replacement could start. Managed 2 junior team members. Produce regular risk reporting including stress testing using a number of packages including Risk Metrics RiskManager, UBS Delta, Northfield and Factset. Streamlined the production of these reports within the applications.
- Improved the production efficiency of the regular investment risk reports by automatinggenerationofreportsusingExcel/VBAandSQL. Trainedthejunior members of the team so they could help in this endeavour.
- Investigated internal and client risk limit breaches. Approved temporary extensions of existing limits if deemed appropriate.
- Provide 2nd Level Risk oversight of the Fixed Income Funds (Govies, IG Credit, High Yield). Working closely with the PEG (Portfolio Engineering) team on portfolio construction issues, quantitative risk analysis and stress testing. Represent Investment Risk in the regular local committee meetings.
03/2011
-
05/2012
Head of Risk and Asset Analytics
Pensions First
- Day to day management of the 4 person risk team including planning for business growth and ensuring we have adequate skills within the team.
- Structure and oversee the implementation projects and once complete, operationalise and embedded into the regular business processes.
- Participation in marketing pitches and answering questions from PFaroe prospects and end users around the risk approach and risk functionality.
- Development and production of the risk analytics provided in PFaroe (The Pensions First Risk Management Platform)
09/2005
-
03/2011
Head Of Investment Risk
Ignis Asset management
- Engaging with counterparties, external funds, service providers, clients and shareholders.
- Specifying and building out the Risk Management Framework from the ground up.
- Provision of ALM services to clients including:
- Managing the LDI strategy for the in-house defined benefit pension scheme. Liability Modeling
- Risk Reviews and Reporting.
- Hedging interest rate, equity and credit risk.
- Minimising regulatory capital requirements (ICA / VAR)
- Designed and built many of the tactical systems to allow us to provide much of the above services to the clients and founded the Rapid Application Development Team.
- Managed and mentored members of my team. Number of team members varied up to a maximum of 8 across 2 locations (London and Glasgow).
09/2001
-
08/2005
Market Risk Officer
BNP Paribas
01/2000
-
09/2001
Analyst Developer
Goldman Sachs
09/1996
-
04/1999
Global Trading Officer Head of Investment Risk
Chase Manhattan
AXA Investment Managers
Interim Head of Investment Risk. After 2 weeks of knowledge transfer with the
outgoing head of risk, managed the investment risk function for the UK
perimeter until his replacement could start. Managed 2 junior team members.
Produce regular risk reporting including stress testing using a number of
packages including Risk Metrics RiskManager, UBS Delta, Northfield and Factset.
Streamlined the production of these reports within the applications.
Improved the production efficiency of the regular investment risk reports by
automating generation of reports using Excel / VBA and SQL. Trained the junior
members of the team so they could help in this endeavour.
Investigated internal and client risk limit breaches. Approved temporary
extensions of existing limits if deemed appropriate.
Provide 2nd Level Risk oversight of the Fixed Income Funds (Govies, IG Credit,
High Yield). Working closely with the PEG (Portfolio Engineering) team on
portfolio construction issues, quantitative risk analysis and stress testing.
Represent Investment Risk in the regular local committee meetings.
Interim Head of Investment Risk. After 2 weeks of knowledge transfer with the
outgoing head of risk, managed the investment risk function for the UK
perimeter until his replacement could start. Managed 2 junior team members.
Produce regular risk reporting including stress testing using a number of
packages including Risk Metrics RiskManager, UBS Delta, Northfield and Factset.
Streamlined the production of these reports within the applications.
Improved the production efficiency of the regular investment risk reports by
automating generation of reports using Excel / VBA and SQL. Trained the junior
members of the team so they could help in this endeavour.
Investigated internal and client risk limit breaches. Approved temporary
extensions of existing limits if deemed appropriate.
Provide 2nd Level Risk oversight of the Fixed Income Funds (Govies, IG Credit,
High Yield). Working closely with the PEG (Portfolio Engineering) team on
portfolio construction issues, quantitative risk analysis and stress testing.
Represent Investment Risk in the regular local committee meetings.
Local Availability
Only available in these countries:
United Kingdom
