Experience

Realm Investment House

• Australia
• Investment Management
• 1 - 100 Employee

• Portfolio Manager

  • Jul 2022 - Present



AMP Capital

• Australia
• Investment Management
• 500 - 600 Employee

• Senior Portfolio Manager

  • Dec 2012 - Jun 2022



Cutwater Asset Management

• United States
• Financial Services
• 1 - 100 Employee

• Portfolio Manager, Quantitative Analyst

  • Dec 2003 - Dec 2011

  Designing and implementing a next generation risk analytics model using Monte Carlo simulation of fixed income portfolios over medium term horizons; the model is used to help analyse, construct and optimise portfolio sector allocations according to risk/reward expectations. • Applied and adapted the risk model to a number of fixed income portfolio types:US Corporate and Public pension portfolios: analysed 3 separate pension portfolio case studies to estimate ongoing contributions required for funding ratio studies, comparing current portfolio composition vs. Cutwater proposed fixed income portfolio composition; Total return portfolios: analysing risk and relative performance of Cutwater’s Core and Core+ total return portfolios against the benchmark Barclays Agg. Specifically my responsibilities included risk factor all model research and design, model calibration and parameterisation including: o Credit spread jump diffusion (for 20+ fixed income industry sectors); o “Real World” adaptation of the Brace-Gatarek-Musiela (BGM) interest rate model for use in long term fixed income horizons; o Obligor ratings migration; o Equity Total Return index model; o Stochastic inflation model. I solely designed and implemented Excel/VBA model version; conducted testing and finalising work with programmers to implement into C# application. Portfolio manager on the asset desk for Cutwater’s London based, FSA regulated subsidiary, jointly responsible for managing Cutwater’s non-US portfolios, including the SIV, with approximately $4 billion assets under management. Responsible for credit analysis and monitoring of non-US structured finance investments; sector focus included UK/European/Aussie RMBS/ABS and European SME securitisation/CLOs. Show less



Dresdner Kleinwort Wasserstein

• Capital Markets
• 1 - 100 Employee

• Quantitative Analyst

  • Aug 2000 - Dec 2003



WestLB

• Banking
• 200 - 300 Employee

• Quantitative Analyst

  • Dec 1997 - Aug 2000