Twenty years each, inside the banks.

Quantitative risk and regulatory delivery

Twenty five years in the capital markets divisions of tier one investment banks across London, Zürich, Frankfurt, New York and Johannesburg. Front office trading background. MSc in advanced stochastic processes.

Recent. Basel 3.1 programme manager for market risk at a global bank in New York. SR 11-7 validation of front office equity and hybrid books in London. VaR, CVA VaR and risk not in VaR in Zürich. Quantitative valuations for a Big Four firm in Johannesburg, including review of its own pricing tools in Excel, Python and C++.

FRTB, SIMM, XVA, CECL, IBOR transition, model risk, IRRBB, SA and IRB credit risk, stress testing, regulatory capital.

XVA and counterparty credit

Fifteen years in the City of London. Cross-asset derivatives pricing, with deep specialism in XVA, funding, SA-CCR and FRTB analytics. MSc in financial engineering, graduate engineer of the École Polytechnique.

Recent. Lead delivery manager for an XVA framework end to end at a global bank in London, concept through to production go-live, including imperfect CSAs and an FVA model at group and entity level. FRTB internal model approach subject matter expert at a United Kingdom investment bank. Validation of MVA, KVA and clearing cost models at a United Kingdom banking group.

Published in Risk Magazine on SA-CCR and on solving SABR in exact form. Presented at a Risk.net XVA masterclass.

Funding, liquidity and capital planning

Sixteen years in tier one investment banks, hands-on quantitative background applied to regulatory programmes and capital planning. Three master's degrees, from the École Polytechnique, the École Nationale des Ponts et Chaussées and the University of Marne-la-Vallée.

Recent. Variation margin and CSA modelling with CVA impact analysis at a global bank in London. IBOR transition and FRTB workflows for equity hybrids, with model benchmarking in C++ and MATLAB. Model documentation for interest rate futures pricers, equity margin loan pricers and conditional variance swaps.

Enterprise and liquidity risk

Twenty years across global banks and rating analytics, in London and Johannesburg, spanning enterprise risk, liquidity, counterparty credit and commodities.

Recent. Enterprise risk management at a global bank in London, including validation of liquidity premium and liquidity risk models and IBOR to risk free rate transition impact. Liquidity risk modelling covering initial margin specification and MVA exposure, with data analysis in Python. Commodities risk modelling on a large oil and gasoline intermediation deal.