Career began in physics: studied at the University of Natal (South Africa): Honours in mathematics and physics, Masters in astrophysics, PhD in nuclear physics. Worked at the Atomic Energy Corporation as a physicist, then Goldman Sachs (London) for two years as a quantitative analyst. This precipitated a migration from physics to finance and risk management in 1997.
Returned to South Africa and worked for ABSA (Johannesburg) as a market risk manager, then Old Mutual Asset Managers (Cape Town) as a risk analyst until September 2002. Transferred to the UK on the Highly Skilled Migrant Program. Obtained a Masters in market risk management, PhD in credit risk management and the GARP Financial Risk Manager qualification. Worked in market risk for Standard Bank (London), as a quantitative analyst at Ernst & Young and then Merrill Lynch in product control. Transferred to Fitch Ratings as a quantitative analyst in January 2006 till 2015, then Aviva Investors (model validation) for two years.
For the past two years, worked as an independent consultant on projects for the European Central Bank’s TRIM (targeted review of internal models).
Focus has been on quantitative credit risk assessment and management in financial institutions (principally the Basel regulatory accords).
Roles: credit risk modelling (PDs, credit loss distributions – ELs, ULs, asset and default correlations), understanding the mechanics of the Basel accords and explaining these to new graduates (and existing team members), model validation, quantitative modelling, PD and LGD modelling (using logit and other statistical models), joint probability analysis, extreme value applications, CVA analysis, Basel’s procyclicality rules, expected shortfall (VaR changes), etc.