CHANNEL CAPITAL ADVISORS LLP
(2007 - 2011)
Channel Capital Advisors is a firm specializing in the managing and investing in Credit Derivatives. During my time at Channel Capital I worked on the design and specification of the Capital Model. The Capital Model is a crucial component as it provides analysis on the ability of the company to continue to trade without adversely affecting the ratings of any of its issued notes. Maintenance of ratings is of fundamental importance to this class of investment firm as it obviates the need to post collateral.
(1997 - 2007)
I spent 10 years at Barclays Capital below I provide details of my work in Credit Derivatives, Model Validation and Risk Management
I was involved with the building of various parts of the library, specifically the building of the pricing functions for CDO (Collateralized Debt Obligation) and CDO2 structures using the market standard Gaussian copula approach. I was also involved in modelling and implementing a number of non-standard exotic payoffs including Long-Short swaps, Variable sub-ordination, Variable maturity, conditionally decreasing subordination, and Forward starting CDOs.
I spent considerable time investigating and implementing alternative approaches to valuing synthetic CDOs. In particular we looked at replication and Markov transition matrix methods. The latter approach was extremely fruitful in allowing us to value Leveraged Super Senior tranches.
I also worked on modelling some structured credit products including the Gap risk for Cppi trades, and implementing the payoff structure for a managed CPDO structure for ratings determination.
I worked on the implementation of the pricing models using Monte-Carlo, Lattice and PDE techniques in order to verify the prices. I also did extensive work on various ways of incorporating the smile effect on the price of options (some of this work was documented in the book by Riccardo Rebonato - Volatility and Correlation). I investigated the use of the "Generalised Beta" probability distribution for modelling the returns and hence leading to better calibration of the volatility smile. I also used static-replication methods for handling the volatility smile in pricing barrier options.
I worked in Risk Management for a number of years helping develop the methodologies for evaluating and aggregating the Credit Risk and Market Risk of the bank. In the Credit Risk area I worked on the specification of the counterparty credit risk, basically the exposure based measures. In Market Risk area I worked on the specification of the Value at Risk methodology using both Variance/Covariance and Historical Simulation approaches. The risk is calculated on a daily basis for the complete global position of the bank. It requires the calculation of risk of individual trades which can be simple foreign exchange futures or complex structured products that are normally priced using Monte Carlo methods, followed by a mechanism for aggregating the risk into composite portfolios and ultimately the total risk for the bank's global portfolio.
(1995 - 1997)
I was responsible for the development of the risk engine used in the Global Value at Risk system. The aim was to develop a Risk Engine to provide support for Marking to Market the trading book on a daily basis. The Risk Engine also calculated the sensitivities to the main risk factors and then using these sensitivities to evaluate the Daily Value at Risk.
(1994 - 1995)
I was responsible for the development of a Quasi Monte Carlo engine for evaluating general payoffs for contingent claims, using a payoff description language.
Credit Derivative PayOff Descriptions
Loss Tree for pricing exotic Credit Derivatives
CPPI (Constant Proportional Portfolio Insurance) Gap Risk
CPDO (Constant Proportional Debt Obligation) Payoff Descriptions
I have over 25 years of experience working in the financial sector. My main work has been related to introduction of both market and credit risk management systems at a number of large European banks (DG Bank, ABN Amro, Barclays Capital). I have been involved in the development of the validation processes of models used in pricing exotic derivative products trying to address the robustness of the models to both user errors and to misspecification of parameters. I have also worked on proprietary pricing models for a large number of structured Credit Derivatives.