Track Record - Model Development

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Selected achievements across pricing, risk and capital model development — from model architecture and calibration through implementation, testing and production readiness.

Mandate
Build an institutional-grade pricing framework for commodity derivatives in low-liquidity markets.

Delivery
Led architecture and development across curve construction, volatility modelling and pricing, supported by replication, stress testing, benchmarking and governance controls. AI-assisted engineering supported coding, implementation, testing and documentation.

Outcome

Delivered a broad institutional-grade framework in under nine months, strengthening pricing robustness and validation readiness. 

Mandate
Strengthen front-office equity-derivatives pricing models for production use and model approval.

Delivery
Performed valuation-model testing and performance analysis, investigated model behaviour, supported remediation of findings and produced governance-ready documentation.

Outcome
Improved model robustness and validation readiness while strengthening the link between front-office development, testing and approval

Mandate
Turn economic-capital and RAROC methodology into a practical credit-decision framework.

Delivery
Developed and deployed the economic-capital framework, calibrated default and recovery models, led implementation and validation, and designed an automated loan-approval model.

Outcome
Increased automated small-loan approvals by around 400%, reaching approximately 70% under delegation; the model was validated by Credit Risk ExCo.

Mandate
Build advanced interest-rate modelling capability for derivatives pricing, embedded optionality and balance-sheet analysis.

Delivery
Developed a multi-factor BGM model calibrated to cap and swaption markets, together with IRRBB, EaR/EVE and sensitivity analytics.

Outcome
Delivered robust interest-rate pricing infrastructure and ALM analytics supporting senior management decision-making. 

Mandate
Create a reusable volatility-modelling component for markets with sparse and uneven option data.

Delivery
Developed the SABR framework independently ahead of the broader pricing mandate, covering smile calibration, volatility-surface construction and model controls. It was subsequently integrated into the institutional commodity pricing framework.

Outcome

Created a reusable accelerator that could be incorporated into wider pricing architectures rather than rebuilt for each implementation.

Mandate
Reduce duplicated development and improve consistency across a quantitative risk team.

Delivery
Built a shared VBA/XLA library of reusable quantitative components and standardised methodologies as part of a broader risk assignment.

Outcome
Improved reuse and methodological consistency, shortened development cycles and reduced duplicated implementation effort.