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A mathematician by training, I am a risk professional with 20 years of work experience in banks and consulting, with various roles in IT development, risk modelling and valuation. I co-authored the books "Discounting, LIBOR, CVA and Funding" (with Chris Kenyon) and "Modern Derivatives Pricing" (with Lichters and Gallagher). My specialties are the Open Source Risk Engine (ORE), see opensourcerisk.org, XVAs, and risk models (design, implementation, validation).
I am interested in
Speaking engagements, Business deals, Expertise requests
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