Visiting Lecturer and Thesis Supervisor
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Mathematical modelling of Potential Future Exposure (PFE), derivative Valuation Adjustments (XVA) and Initial Margin.
Rough Paths Theory and its application to time series analysis of financial data streams.
I am a Senior Manager in the Counterparty Credit Risk Modelling team at Lloyds Banking Group, where I am responsible for the validation of PFE, XVA and Initial Margin models.
XVA modelling as part of the Quantitative Risk Management module of the MSc courses in Mathematical and Computational Finance (full-time) and Mathematical Finance (part-time)