Track Record — Analytics & Advisory
Quantitative Insight. Operational Impact.
Selected achievements across risk analytics, reporting, P&L explain, ALM, senior decision support and embedded quantitative delivery.
Counterparty Exposure & Regulatory Reporting
Mandate
Improve counterparty exposure analytics and regulatory reporting while reducing a lengthy production cycle.
Delivery
Designed ES, EPE and PFE exposure engines, developed reusable CCP credit-risk components and strengthened the associated production and validation controls.
Outcome
Reduced the reporting cycle from two days to 30 minutes, creating faster and more reusable counterparty-risk infrastructure.
Market Risk Monitoring & Reporting
Mandate
Make daily market and credit-risk monitoring faster, more consistent and easier to control.
Delivery
Automated VaR, IRC, CRM and stress-monitoring workflows, including reconciliation, exception handling and production reporting.
Outcome
Brought daily reporting forward by around three hours, improving the timeliness of risk oversight and exception management.
Market & Liquidity Risk Analytics
Mandate
Improve daily market and liquidity-risk reporting while supporting time-critical investigation of risk-limit breaches.
Delivery
Automated production reporting, investigated VaR and stress-limit breaches and supported UAT of a proprietary liquidity-reporting platform.
Outcome
Reduced daily production time by around two hours and improved responsiveness to limit and stress exceptions.
P&L Explain & Structured-Risk Analytics
Mandate
Improve transparency of P&L and risk across complex structured-exotics portfolios.
Delivery
Built P&L explain frameworks and replicated VaR contributions at risk-factor level. Formalised monitoring of risks outside standard VaR, including vanna/volga and cross-asset correlation, and introduced dedicated inflation-risk analytics.
Outcome
Improved understanding of daily P&L and risk drivers, strengthened monitoring of risks not captured by standard VaR and supported trader sign-off.
ALM & Executive Risk Analytics
Mandate
Provide senior management with clear analysis of interest-rate and balance-sheet risk.
Delivery
Produced IRRBB, EaR/EVE and sensitivity analytics across banking and trading books and developed automated new-business projection frameworks.
Outcome
Provided ExCo-level analysis of earnings, economic-value and balance-sheet sensitivity to support ALM decisions.
Embedded Quantitative Support
Mandate
Provide specialist quantitative support on complex live trading and risk issues.
Delivery
Worked directly with front-office teams on structured trades involving Monte Carlo convergence, calibration instability and model behaviour, while supporting risk analysis, trader sign-off and global UAT.
Outcome
Connected quantitative diagnostics directly to live trading decisions, model improvements and controlled production rollout.
Quantitative Advisory & Business Rollout
Mandate
Turn quantitative risk methodology into a practical decision framework that could be implemented and adopted across multiple locations.
Delivery
Led implementation and validation with a 13-person team, coordinated six months of testing, supported a three-month pilot across five cities and trained 50 managers across seven countries.
Outcome
Moved the methodology from quantitative design into controlled operational use and broad organisational adoption.
Selected Outcomes
- Counterparty exposure production reduced from two days to 30 minutes
- Daily VaR, IRC, CRM and stress reporting brought forward by around three hours
- Market and liquidity risk production reduced by around two hours
- P&L explain and specialist risk analytics supporting trader and senior-management decisions
- Quantitative advisory translated into operational rollout across seven countries, including training for 50 managers