Moody's Analytics
Director of Research & Strategy (2017-2022)
Strategy lead for a new credit-market risk integrated issuer-level credit portfolio tool creating a new 7-figure revenue stream:
Negotiated across lines of business to secure buy-in from management and access to IP from 5 legacy products
Managed a research team to build customized PD/LGD, correlation, spread and fixed income pricing models.
Built (90% my own code) and commercialized a beta simulation tool (C#/C++) and sold to 3 new clients.
Developed and calibrated models to capture the interaction of credit (PD/LGD), spreads, and interest rates to price vanilla and callable/structured securities accounting for industry diversification.
Cut calculation time by 75% using introducing new technologies e.g. Spark/CUDA, to solve model estimation and simulation problems.
Presented five sessions on risk analytics & modeling for the Society of Actuaries and at 3 global diversity events.
Lobbied senior leaders to secure enhanced and equitable surrogacy benefits for >5000 US-based personnel as chair of the Pride BRG.
Associate Director – Research (2015 – 2017)
Technical Lead for the ‘Own Views’ Agile team.
Led a team of two quants and four developers to create an automated solution to calibrate risk, finance, and pricing models in line with the client’s capital market assumptions.
Significantly reduced delivery costs for consulting projects by connecting automated optimization techniques with financial and economic theory.
Developed multi-start, stochastic, and up-hill step enhancements for in-house implementation of Levenberg–Marquardt optimizer, more than halving analyst interventions during calibration processes.
Leveraged hybrid analytics (stochastic optimization, ML and Bayesian Statistics) to build asset allocation and optimization tools, creating non-standard, efficient risk-return frontiers e.g., maximizing return on equity for a given level of VaR/EC.
Recognized that emerging negative interest rates would require a significant change to core models and convinced senior leaders to prioritize this work.
Directed a multi-disciplinary team to establish the benchmark models for negative rates (displaced multi-factor Black-Karasinski, LMM, and CIR models) in the insurance risk management sector, positioning Moody’s Analytics as an industry leader and secured a $10M+ revenue stream.
Awarded the company-wide create confidence award, globally six winners out of 10,000 staff.
Defined and coded a VAR/ARMIA-based macroeconomic modeling framework for the Economics Scenario Generator. Sold to 5 clients adding $2M in annual revenue.