Skills

Programming Languages

Frameworks

Knowledge Background

Tools

Education

Foundations of Data Science for Finance @Advanced Risk and Portfolio Management

2019

  • Distributions, Copulas and Linear Factor Models

Master in Mathematics @University of Birmingham

2012 - 2014, First Class Honours

  • Modelling collective behaviour in the presence of non-local interaction potentials

  • Finite-time solutions to the Navier-Stokes Equations

Bachelor in Mathematics @University of Queensland

2010 - 2012

  • Mathematics of Acoustic Wave Scattering and Optical Tweezers

Work Experience

Senior Treasury Model Developer @Nationwide Building Society

May 2019 - Present

  • Responsible for developing, implementing and maintaining quantitative models to manage Interest Rate Risk, Concentration Risk and Operational Risk

  • Provide analysis to inform hedging strategy decisions manage reprice risk

Retail Model Developer @Barclays

Oct 2017 - May 2019

  • Responsible for developing the Forecasting and Stress Testing models for the UK Credit Cards portfolio

  • Maintain and enhance the suite of capital and provision models

Risk Analyst Lead @Nationwide Building Society

Jul 2014 - Oct 2017

  • Responsible for providing insight on the performance of Nationwide's Prime Mortgage portfolio to inform our policy and pricing strategy

Projects

Interest Rate Monte Carlo Simulator @Nationwide Building Society

Exponential Vasicek / PCA / Monte Carlo Simulation / SONIA

  • Redeveloped the Monte Carlo Interest Rate model as part of the LIBOR-SONIA transition
  • Simulated the principle components of the yield curve via an stochastic Vasicek model

Operational Risk Economic Capital Model @Nationwide Building Society

Distributions Fitting / Copula / Extreme-Value-Theorem / Simulation / Sensitivity

  • Redeveloped and optimised the Operational Risk economic capital model in Python
  • Built a front end GUI to support the models integration in the business and assist with sensitivity analysis

Funding Spread and Product Margin Simulator @Nationwide Building Society

Stochastic Short Rate Model / Monte Carlo Simulation

  • Redeveloped the Funding Spread and Product Margin Simulator
  • Simulate Credit Default Swaps and Bond Spreads to assess the likelihood and severity of shocks, which are used to manage our hedging strategy, re-price risk and product optionality risk

Forecasting and Stress Testing Model @Barclays

Time-Series / Optimisation / IFRS 9 / Stress Testing

  • Developed the Forecasting and Stress Testing models for the UK Credit Cards porfolio, which are used for the EBA and PRA stress testing exercises and financial planning
  • Optimised the implementation of the IFRS 9 feeder models to ensure an efficient and accurate forecast

Prime Mortgage Application Scorecard @Nationwide Building Society

Logistic Regression / Scorecard / Clustering / Cutoff Optimisation

  • Supported the redevelopment of the Prime Mortgage Main Advance application scorecard to improve lending decisions and reduce the risk profile of the book

Prime Mortgage Policy Rules @Nationwide Building Society

Risk Appetite / Policy

  • Developed a suite of Prime Mortgage application policy rules to enhance decision making and improve the risk appetite controls