Model development

経験内容

I have been involved with all stages of risk model development from research and planning, through implementation and testing, to internal governance and model validation. Some examples:
- Responsible for research and development of multiple internal risk factor simulation models e.g. Commodity Futures, Inflation, Interest rate basis, correlation products, Implied Volatility model for equity, FX and swap rates
- Designed and implemented studies in response to questions from regulators. Presented, explained and defended results to the effect that the items could be decisively closed.
- Miscellaneous methodology development work e.g. efficient simulation of square-root and Jacobi processes, general wrong-way risk estimation, applications of finite difference methods and American Monte Carlo for counterparty credit risk (CCR) exposure calculations, yield curve and no-arbitrage IV surface regularization, estimation of CCP initial margin requirements under extreme stress, efficient estimation of ISDA standardised initial margin over CCR simulation life cycle

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