Daniel G. Brown Cragmoor Road, Boulder, Colorado Education. Career Summary

Transcription

1 Daniel G. Brwn 2355 Cragmr Rad, Bulder, Clrad Educatin Oxfrd University, Magdalen Cllege. D. Phil. in Mathematics, September 1993 Crnell University, Ithaca, New Yrk. B.A. Summa cum Laude, May 1990 Career Summary Leeds Schl f Business Instructr Bulder, CO August 2012 present Instructr teaching Financial Markets and Institutins and Derivatives curses. Mrgan Stanley Managing Directr Lndn September 2009 t July 2011 Lndn head f Equity Derivative Strats managing diverse team f 19 in Lndn and 5 in Budapest CQS Chief Operatin Officer Lndn May 2008 t August 2009 Newly created rle respnsible fr: Risk management team Margin and Cunterparty relatinship management team Technlgy and Facilities team Credit Suisse Managing Directr (since 2001) Lndn & New Yrk 1993 t May 2008 Single Stck Extics Trading Lndn 2007 t 2008 Head f Technlgy Strategy fr Equity Derivatives New Yrk Glbal Mdeling & Analytics Grup (GMAG) Lndn & New Yrk Risk Management and Quantitative Analysis Department Lndn Career Histry & Achievements Leeds Schl f Business Instructr 2012 present Financial Markets and Institutin The primary markets cvered are bnd, freign exchange and equity. Central Banking and the Federal Reserve are the key fcus frm an institutinal perspective. Derivatives This is an intrductry curse n financial derivatives. The primary gal f the curse is t teach the students t think critically abut the risks inherent in financial markets and hw derivatives can be used t hedge r gain expsure t thse risks. Mrgan Stanley MD & Head f Lndn Equity Derivative Strats Brught in t manage an existing team in Lndn. Structured the team putting frmal respnsibility fr the quant library under ne team leader, tactical trading tl develpment under anther and quantitative mdeling under a third. The resulting wnership imprved delivery t the trading desks and allwed me t fcus n strategy and prper resurce allcatin with senir business leaders

2 Engaged team in Budapest t allw utsurcing f key mdel cntrl prject Cleaned up significant mdel cntrl issues fr Equity Derivatives Shrtly after jining the lack f prper dcumentatin and review f apprximately 1000 existing trades were identified as having significant cntrl issues fr Equity Derivatives business. Wrte prject plan fr clean up and brught in 2 external cnsulting firms and MS s Budapest team t cmpete fr the prject. Was able t present t senir business management a fixed cst ne year slutin. The team in Budapest was engaged t d the wrk. Supervised the prject cmpleting it in 11 mnths and n budget. The team in Budapest has since been engaged by ther MS grups t slve similar prblems. Cllateral Based Discunting Wrked n firm wide prject t implement cnsistent yield curves acrss divisins f the firm. Set and managed glbal equity derivatives strategy fr rllut. Wrked with business management, quant grups and technlgy n strategy. Key decisins were: Hw t present value uncllateralized, cllateralized and exchange traded psitins. Hw t integrate fixed incme yield curve methdlgy int equity systems What changes needed t be made t risk management systems t accmmdate multiple yield curves per currency Implementatin and rll ut strategy Rlled ut phase I f prject fr EUR, GBP and CHF currencies in March Phase II f glbal prject was t implement fr USD handed management f this t NY head f strats. CQS Risk Management Team 2009 Chief Risk Officer and risk management reprting lines changed in January t COO Charged with changing risk management fcus frm a reprting fcused activity t a mre qualitative assessment f the risks. Created Trading Management Cmmittee bringing tgether senir prtfli managers, Michael Hintze, the prprietr f CQS, the CRO and myself t fcus n key risk issues acrss the funds. Initial successes were: Creatin f internal limit framewrk with prper management f excesses Implementatin f risk management framewrks acrss key risk areas f the funds: Within cnvertible bnds fcus n management f idisyncratic risks and cncentratins in risks acrss the prtfli. Fr the vlatility trading prtfli fcus n scenari and sensitivity limits fr the primary trading activities. In additin, mnitring trading activities t ensure that new expsures are understd and, if f significant size, limit structures put int place.

3 Margin and Cunterparty Relatinships 2008 t 2009 Team created in August 2008 t fcus n cunterparty expsures and margin management. In the lead up t Lehman s cllapse, CQS was meeting daily t discuss ur expsure and reduce where pssible. After its cllapse, the team reprted daily t senir management n the levels f expsures. Wrked clsely with legal t understand the cmplexity f the expsures due t trading with multiple legal entities acrss a firm as well as the rights given t such entities thrugh prime brkerage agreements and ther agreements. As CQS redemptins ccurred, significant effrts were made t manage the prtfli efficiently s as t minimize the reductin f investment. Cnsiderable effrt was made understanding and implementing the prime brkerage margin framewrks t becme mre efficient at deplying margin. In additin, effrts were successful in equity derivatives t reduce the intensity f margin usage fr the business. This was dne primarily thrugh shifting the business frm OTC t listed expsures where pssible and managing the cunterparty market risks where pssible t ffset risks and thus reduce the level f margin required. In 2009 added respnsibility fr cunterparty relatinships t the team with a fcus n setting lng term strategy cvering: Overweight prime brkerage relatinships in Eurpe and underweight in US T many prime brkerage relatinships fr the size f business ur redemptin prfile implied Fcused n renegtiating terms with key prviders Reducing the expsure t weaker r nn cre prviders Wrking t build new relatinships thrugh nn standard financing trades. Technlgy 2008 t 2009 When I jined CQS the technlgy team cnsisted f 63 peple. The CTO had 15 direct reprts. Significant cmplaints were made frm bth the frnt ffice and the back ffice abut pr quality and timeliness. Instituted a clear rganizatin creating FO develpment, BO develpment, supprt and infrastructure. Recruited a develpment manager externally t imprve versight f develpment prjects: After multiple runds f headcunt reductins there were: 26 team members split between develpment, RAD, supprt and infrastructure. Clear gvernance structure bth frm the business and within technlgy Few cmplaints abut delivery and a slid priritizatin prcess acrss the frnt and back ffice. Credit Suisse MD & Single Stck Extics Trading, Lndn 2007 t 2008 Brught in t ensure a fcused delivery f technlgy t desk and develp trading skills. Lss f key staff n desk meant that the rle became a purely trading psitin. Jintly respnsible fr multi underlying single stck extic derivatives. The business raised rughly $20m in marketing revenues. Respnsible fr pricing and initial hedges fr all prducts. The primary prducts were trigger redeemables, yield ntes, individually capped baskets and ther knck in put varieties sld t private and retail banks as well as a variety f dispersin prducts sld t hedge fund clients.

4 Risk managed single stck Mnte Carl trading prtfli PL was rughly flat. Wrked with IT t stabilize the risk management platfrm used acrss all f extics trading. Als wrked t imprve quality f risk tls fr the trading desk. Wrked with Glbal Mdeling and Analytics Grup and IT t bring tgether pricing technlgies and risk management platfrm. MD & Head f Technlgy Strategy fr Equity Derivatives, New Yrk Brught in by head f business as technlgy seen as key t allwing the business t grw while reducing peratinal csts and risks. Respnsible fr develping strategy fr glbal business cvering derivatives trading and structuring. Prepared and presented strategy t CS Grup Bard Audit Cmmittee The initial strategy cnsisted f tw main fcus areas Deplyment f strategic frnt t back architecture in US based entity fr flw and lightly structured prducts and the stabilizatin f the extics derivative infrastructure in Lndn. The gal f delivering the strategic frnt t back architecture was t revamp the derivatives business platfrm in the US giving the business a better risk management platfrm (previusly the business used spreadsheets), and als a frnt t back architecture in which new prducts culd be easily integrated. Wrked clsely with departments frm prduct cntrl, risk management, trading etc t ensure that the systems wuld deliver the needed functinality and cntrls Initial delivery f the platfrm was in mid 2007 Tk decisin t reduce investment in a failing risk management system. The headcunt allcated t this prject went frm 40 t 8 during Extics trading business was and cntinues t be run ff f spreadsheets. Initial gals t: Standardize the trading spreadsheets s that they used the same market data surces, cnstructed market bjects identically, priced trades in the same way and cmputed risk identically. Develp distributed valuatin service as a key cmpnent in the migratin away frm spreadsheets. MD & New Yrk Head f Glbal Mdeling and Analytics Grup (GMAG) Transferred frm Lndn t NY after resignatin in NY. Respnsibilities were t develp relatinships with the NY businesses and als t recruit and train the team in NY Managed Equity Derivatives mdeling glbally since 2005, invlving the management f senir relatinships acrss flw and extic derivatives businesses glbally and mdeling team f apprximately 15 members glbally. Managed the GMAG relatinship with IT. Frm mid 2004 wrked clsely with senir management t set the strategic directin f GMAG s relatinship. Managed the Architecture and Delivery grup in GMAG (GMAG AD), a team created in 2005 f 16 prfessinals in Lndn, New Yrk and Hng Kng fcused n the delivery f GMAG analytics t the trading flr Managed Credit Derivative mdeling glbally , cvering credit derivatives, emerging markets and CDOs. Invlved managing senir relatinships acrss the business lines as well as supervising tw senir members f GMAG wh individually managed prduct lines. Team f 14 in New Yrk and Lndn. Member f CSFB Managing Directr Prmtin Cmmittee Member f Fixed Incme Directr Prmtin Cmmittee

5 Directr, Lndn and New Yrk GMAG Managed Credit and Equity Derivative pririties glbally Key develper f credit derivative mdels and emerging market technlgy Vice President, Lndn GMAG Develper f lcal vlatility smile mdel fr equity derivatives Head f Quantitative Analysis Grup Risk Management and Quantitative Analysis Department Verified pricing mdels used at CSFP Develped market risk mdels used at CSFB