Seven years at HSBC, Exiom, and Mazars in quantitative finance covering rates, FX, equities, and inflation across investment banking, model design, and production engineering. Built XVA calibration frameworks, simulation engines, and monitoring infrastructure to production grade: from mathematics through to automated pipelines and AI diagnostics.
Development of end-to-end cross-asset XVA frameworks on Rates, FX, Equities, Inflation and Credit. Extend the framework to quantify and aggregate counterparty risk through netting and collateral structures. Establish model assumptions, limitations, and diagnostic tests around these dimensions, continuously refining methodologies to address instability, bias, and quantifiable model shortcomings.
Design and implementation of cross-asset stochastic models including Hull-White 3F for rates, Heston for equities, correlated FX dynamics, and local volatility surfaces, with end-to-end calibration pipelines from market data to production-ready parameters.
LLM-based diagnostics identifying calibration instability and parameter drift, BiGAN-driven synthetic scenario generation to enhance stress test coverage, and automated monitoring pipelines with assumption-level alerts.
I documented the core derivation, calibration logic, and production architecture in the writing page.
Two series: Interest Rate Modeling builds the curve and calibration foundations, then XVA Computation takes those building blocks into exposure simulation, aggregation, and counterparty risk valuation adjustments.
Most of the institutional knowledge in XVA lives in internal presentations that never see daylight. This material deserves a permanent, public record; every formula derived, every chart reproducible, every code snippet tested.
From curve bootstrapping and swaption volatility surfaces through stochastic short-rate models, Hull-White calibration, and Monte Carlo pricing of interest rate derivatives.
Exposure simulation, netting-set aggregation, CVA computation, and beyond: taking the rate models into production-grade counterparty risk valuation adjustments.
Available for consulting on XVA methodology, model calibration, and AI-augmented risk infrastructure. Also open to speaking engagements and desk education at banks, trading houses, and quantitative funds.