If you are interested in this candidate, please contact Simon Blau via email sblau@cerfinancial.co.uk or call on 0207 626 6065.

00356919

PROFILE:

Senior market risk professional with 15+ years of experience across market risk, portfolio risk, model governance and regulatory capital within global financial institutions. Deep expertise in multi-asset risk analytics, stress testing, scenario analysis, VaR, model validation and portfolio risk drivers, with strong buy-side relevance across equities, credit, rates, FX and derivatives. CFA charterholder with advanced quantitative and programming skills (Python, SQL, VBA).

SKILLS:

• Market Risk & Portfolio Risk
• VaR, Stress Testing & Scenario Analysis Credit, Rates, FX & Derivatives
• Model Risk & Governance
• Regulatory & Capital Frameworks (PRA, ECB, SEC) Multi-Asset Risk Attribution
• Quantitative Research & Forecasting Python, R, SQL, VBA, Bloomberg

TECHNICAL:

Python | SQL | R | VBA | Bloomberg | Reuters | Risk Models | Portfolio Analytics

EDUCATION:

2014

CERTIFICATE IN QUANTITATIVE FINANCE, GPA – 95%

2004-2006: University

MBA; Double Major in Finance & Accounting

• Awarded merit-based Wharton Grant
• Fund Analyst for the Investment Management Club

2006 - Present

CFA ® CHARTERHOLDER

1995-2000: University

Bachelor Degree, major in Finance with a concentration in Maths, top 5% of class

• Awarded TEMPUS Scholarship for an exchange programme in the Netherlands based on academic excellence

CAREER HISTORY:

February 2023- Present

Investment Banking

Market Risk Analytics (Credit & XVA) Vice President

Senior quantitative risk lead responsible for credit and XVA market risk models supporting multi-asset trading portfolios

• Lead ownership of Credit (CR) and XVA market risk models across the EMEA Credit and XVA Market Risk Analytics team
• Drive (S)VaR, Risk-Not-in-VaR (RNIV) and Pillar2A (P2A) frameworks used for capital, risk oversight and portfolio governance.
• Produce RNIV and P2A capital submissions and risk reports for regulators and internal investment committees
• Partner with regulators, Model Risk Management (MRM), Front Office quants and Risk Managers to ensure robust model governance.
• Analyse key portfolio drivers, P&L explains and concentration risk across credit and derivatives portfolios
• Deliver new trade and portfolio impact analysis for senior stakeholders

Banking

2017 – 2023

Risk Vice President

2022 – 2023

Market Risk Stress Testing

Senior risk specialist responsible for stress-testing, portfolio risk and tail-risk analysis across global trading and banking books

• Designed and maintained stress scenarios and portfolio-level shock analysis across all asset classes
• Identified desks and portfolios with non-linear and tail risk exposure. Migrated books from sensitivity-based to full- revaluation P&L risk frameworks
• Supporting ongoing stress scenario creation and analysis for internal risk management, regulatory compliance and ad hoc purposes.
• Built Python, R and VBA tools to automate scenario expansion and portfolio-wide stress aggregation
• Supported regulatory stress tests, internal capital adequacy and risk appetite frameworks.

2017- 2022

Banking

Benchmark and Index Control Group

Second-line oversight of systematic investment strategies and index products (equities, credit, rates, FX, commodities) and LIBOR submissions.

• QIS business: Analysed complex index strategies across all asset classes as a second line of defense to the DB proprietary index structuring business known as QIS (Quantitative Investment Strategies). Worked with key stakeholders (structuring, DBIQ, strats, legal) and performed index reviews to make sure that indices are compliant with regulations. Validated index models and backtested DB proprietary indices in Python to check the results produced by the benchmark administrator - Deutsche Bank Index Quant (DBIQ).
• LIBOR submission reviews: Automated the LIBOR submission review process by developing a python tool to challenge and validate the production implementation of the LIBOR rate calculation submitted daily to ICE. The python tool became a core control in the bank’s rate-setting governance framework and was classified as a critical EUDA (End- user developed application), materially strengthening model risk, auditability and regulatory assurance.

2011 – 2017

Financial Services

Research Analyst, Associate Director

Quantitative risk and research role at the global FX settlement house

• Built econometric models and scenario analysis for FX market activity
• Produced stress tests and forecasts for liquidity and settlement risk
• Led the FX Settlement Risk Survey covering global bank
• Delivered portfolio-level and systemic risk analysis to regulators and senior management

2007- 2011

Financial Services

Derivatives Specialist

• Provided pricing, portfolio and risk support to buy-side and sell-side investment teams across all derivatives.

References Available Upon Request

If you are interested in this candidate, please contact Simon Blau via email sblau@cerfinancial.co.uk or call on 0207 626 6065.

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