Goldman Sachs
I worked 13 years as a quantitative analyst in the "strats" group at Goldman Sachs. The team combined mathematical modeling with engineering. The strats role originally centered on the pricing and risk management of financial derivatives, but expanded over time to include data science and machine learning.
I managed the team of PhD analysts responsible for modeling corporate bankruptcies and credit risk for the credit trading desk during the height of the 2008 financial crisis.
Projects
- ISDA Standard CDS Model — I was one of the principal contributors to establishing the ISDA standard credit default swap model, now the industry reference for CDS pricing. Usage examples →
- Flight to Quality — Using Gaussian process kernel methods, I identify non-linear flight-to-quality factors in financial returns, enabling novel approaches to risk management of extreme market events.
- Option Portfolio Risk Reports — A personal project: simple reports for option risk exposures and scenario P&L projection.
- CVA, FVA, KVA and all that — A talk I gave on derivatives valuation adjustments for the UC Berkeley Risk Seminar.