Seven years at HSBC, Exiom, and Mazars covering rates, FX, equities, and inflation across model design and production engineering. Built XVA calibration frameworks, simulation engines, and monitoring infrastructure to production grade: from the mathematics through to automated pipelines and AI diagnostics.
End-to-end cross-asset XVA frameworks on Rates, FX, Equities, Inflation and Credit, aggregating counterparty risk through netting and collateral structures. Assumptions, limitations, and diagnostic tests built around the three that bite: calibration instability, parameter drift between recalibrations, and discretisation and Monte Carlo error in the exposure simulation.
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.
Derivations, calibration logic, and production architecture are written up in full.
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, and for speaking and desk education at banks, trading houses, and quantitative funds.