Curriculum Vitae

Personal

Education and Qualifications

1976                     B.Sc. (Sussex) in Mathematics with Experimental Psychology (First Class)

1980                     Ph.D. (Sussex) in Algebraic Number Theory (Supervisor – Prof. Walter Ledermann)

1985                     M.Sc. (LSE) in Mathematical Economics and Econometrics

 

Appointments

1977 – 1978      Editor, John Wiley (one-year, interim PhD research)

1981 – 1982      Postdoctoral Research Fellow, University of Amsterdam

1982 – 1983      Bond Analyst, UBS Phillips and Drew, London

1983 – 1985      Part-Time Teaching and Research Assistant, London School of Economics

1985 – 1996      Lecturer in Mathematics and Economics, University of Sussex

1996 – 1998      Lecturer in Mathematics, University of Sussex (Part-Time)

1996 – 1998      Academic Director, Algorithmics Inc., London (Part-Time)

1998                     Director, Head of Market Risk Modelling, Nikko Securities, London

2007 – 2008      Risk Research Advisor, SAS

1999 –  2012     Chair of Financial Risk Management, ICMA Centre, Henley Business School

2012 –                  Professor of Finance, University of Sussex

 

Consultancy

1990 – 1991     First generation GARCH models, Hill Samuel Bank, London

1992                     Volatility trading models, Equitable House Investments, London

1994 – 2003     Hedge-fund software design, Pennoyer Capital Management, New York

1996 – 1997      Spot-futures arbitrage models, EDF Man, London

1996                     Internal VaR model implementation, Shell Pension Fund, Den Haag, Holland

1997 – 1998     Orthogonal GARCH models, Robert Fleming, London

1998 – 1999      Academic Director, Algorithmics Inc., Toronto

2003 – 2006      Expert witness, Richards Butler, London

2009 – 2010      VaR model design, Credit Agricole Asset Management, London

2012                     Model Validation, ICE Clear, Europe

 

Research GRANTS

1981                     Leverhulme post-doctoral research grant, University of Amsterdam

1986                     Nuffield award for new lecturers in science, University of Sussex

1994                     ESRC grant for time series analysis in financial markets

2003                     FDMR grant for research into hedge funds

2003                     British Academy grant with Simon Burke, Henley Business School

2003                     International Financial Risk Institute Award

2005                     Australian Prudential Regulatory Authority grant with Elizabeth Sheedy, Macquarie

2008                     Europlace Institute of Finance grant with Steve Ohana, ESCP-EAP

 

HONOURS, PATENTS and AWARDS

1996                     Winner, First International Non-Linear Financial Forecasting Competition
(with Sussex MAPS postdoctoral research student, Ian Giblin)

2002                     Honorary Professorship, Academy of Economic Sciences, Bucharest

2003                     International Financial Risk Institute (IFRI), 9th roundtable award

2007                     Professional Risk Managers International Association (PRMIA)
Annual higher standard award (jointly held, with Prof. Robert Merton)

2009                     U.S. Patent Number 7,571,130: Hedging exchange traded mutual funds or other portfolio basket products www.google.com/patents/US20030233302

2011                     U.S. Patent Number 7,979,336: A system for pricing financial instruments
www.google.com/patents/US7979336

 

PRMIA

Voluntary activities with the Professional Risk Managers’ International Association

2002 – 2009      Chair of the Academic Advisory Council

2009 – 2012      Board Member

2009 – 2011      Chair of Publications Subcommittee

2009 – 2012      Member of Education Committee

2010 – 2012      Chair of Board

 

OTHER EXTERNAL ACADEMIC ACTIVITIES

1999 – 2000      Visiting Research Fellow, OCIAM, Oxford University

2003 – 2006      Expert Witness, Richards Butler, London

2007 – 2009      Editorial Board, Journal of Banking and Finance

2007 – now       Editorial Board, Journal of Portfolio Management

2011 – now       Editorial Board, Journal of Investment Strategies

2011                   External Assessor, PhD Finance, St. Gallen University

2011 – 2015       Member of CFA Advisory Council

2013 – now       Managing Editor, Journal of Banking and Finance

2015 – now       Advisory Editor, Journal of Commodity Markets