Tutor Biographies

LONDON

Michael Dempster

Michael A H Dempster, Professor Emeritus, Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge.

Michael Dempster has taught and researched in leading universities on both sides of the Atlantic and is currently Editor-in-Chief of Quantitative Finance. He has been consultant to a number of global financial institutions and is regularly involved in executive education in financial engineering and risk management around the world. Author of over 100 published research articles in leading international journals; his books include Stochastic Programming, Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond and Quantitative Fund Management. He is currently Managing Director of Cambridge Systems Associates Limited, a financial consultancy and software company.

Malcolm Kemp

Malcolm Kemp is an Executive Director and Head of Quantitative Research at Threadneedle Asset Management.

Malcolm is a leading expert on derivatives, performance measurement, risk measurement, liability driven investment and other quantitative investment techniques. His paper Risk Management in a Fair Valuation World presented to the Institute of Actuaries in April 2005 covered many of these topics. Prior to joining Threadneedle, Malcolm was a partner at Bacon & Woodrow in their investment consultancy practice.

He holds a first class degree in Mathematics from Cambridge University and is also a Fellow of the Institute of Actuaries.

Threadneedle start date: 1996

Industry start date: 1981

David King

David King is Head of Multi Asset Quantitative Research at Schroder Investment Management, which he joined in 2000. His investment career commenced in 1989 and he has held a variety of roles encompassing portfolio management, quantitative analysis and portfolio analytics. He holds a BSc and an MSc in Mathematics, both from the University of Warwick.

Jean-Gabriel Prince

Jean Gabriel Prince, CAIA, is a member of BlackRock's Risk and Quantitative Analysis Group. He is responsible for providing portfolio construction and quantitative models for BlackRock's Multi-Asset Client Solutions Group in London. Mr. Prince began his career at BlackRock in 2007. He earned a Diploma in Applied Mathematics from INSA Toulouse (National Institute of Applied Sciences) in 2006 and an MSc in Engineering from Imperial College London in 2007.

Prior to joining IAM, Bernard spent 10 years in risk management at Goldman Sachs including roles as Margin Risk Manager for Prime Brokerage and Co-head of Firmwide Risk for Europe. Prior to Goldman Sachs, he had 20 years consulting experience using quantitative methods in marketing and finance with Coopers & Lybrand, Deloittes, Chase Econometrics and Scicon.

Bernard holds an MSc in Mathematics from University of London, BSc in Mathemetics and Statistics from University of Sussex and Certified Diploma in Accounting and Finance from ACCA.

Rishi Thapar

Rishi Thapar is Senior Quantitative Analyst at International Asset Management, working on quantitative investment research, hedge funds portfolio construction and quantitative methodology & tools development. Prior to this Rishi worked in Coronation Fund Managers, Commerzbank and Sungard in quantitative research and risk management functions. Rishi has over five years of experience in fund of hedge funds and front/middle office trading and risk management systems and over six years of work experience in IT/Telecom and Engineering industry.

Rishi has a Bachelors of Engineering degree in Electronic Engineering from India, an M. Sc in Finance from Stockholm School of Economics, Sweden, an MBA from the Indian Institute of Management, Bangalore, India.

Thorsten Neumann

Thorsten Neumann is an expert for quantitative asset management techniques. In particular, he is specialized on risk management and portfolio construction including risk modelling, risk analysis, risk budgeting and optimization techniques. Moreover, he is an expert for active quantitative investment strategies, portable alpha and investment process design. In 2005 he joined Union Investment as Head of Quantitative Strategies. Holding a Ph.D. in econometrics he started his career in finance in 2000 at DZ Bank and was with Deka Investment from 2003 to 2005 as Head of Quant Research and Investment Process Consulting.

Daan Potjer

Daan Potjer is founder and fund manager at Aethra Asset Management. Previously, Daan worked at ABN AMRO Asset Management, where he started as Investment Strategist and then founded and built out the Tactical Asset Allocation (TAA) team and products. He is co-author of the book Global Tactical Asset Allocation: exploiting the opportunity of return differentials across asset classes and financial markets. Daan has a Masters in economics from the Erasmus University Rotterdam and studied at the London School of Economics and Political Science. He is an Associate of the CFA Society of the UK (ASIP).

NEW YORK

Aleksey Leksanov

Aleksey Leksanov - PhD, FRM
Mr. Leksanov is currently a Portfolio Manager and a Director of Quantitative Development at Stone Tower Capital (STC). He is primarily responsible for creating quantitative models required for structural analysis and financial engineering of STC ABS portfolios. Previously Aleksey served as a Vice President of Invicta Advisors LLC - a Credit Derivatives Product Company (CDPC) - where he was mainly responsibility for design and implementation of the Economical Capital Model. He was also responsible for structuring and pricing of the first Invicta's transactions. Prior to that Aleksey was a Director in WestLB's product development team supporting interest rate derivatives, credit derivatives, money market and Latin American trading desks. He was also instrumental in providing quantitative support for the WestLB sponsored CDPC. Prior to his career in the financial service industry Aleksey was employed as a senior software engineer at Hughes Network Systems. Mr. Leksanov holds a Doctorate degree in Physics from the Pennsylvania State University and B.Sc. degree in Physics and Mathematics from the St-Petersburg State Technical University (Russia). Aleksey Leksanov is a Certified Financial Risk Manager.

Lior Menzly

Dr. Menzly serves as the Director of Quantitative Research in Nomura Asset Management since August 2008, where he develops models to assess the profitability and risk of investments across different asset classes. From 2004 to 2008 he served as the Director of Quantitative Research and Risk Management in BBVA’s alternative investment division (Proxima Alfa). Prior to joining Proxima Alfa, he was an Assistant Professor of Finance at the University of Southern California (2002-04), a lecturer at the University of Chicago (2000-01), and an Assistant Trader at Oppenheimer Funds (1996-7). From 1989 to 1995, he served as the financial officer for the Dolphin submarine project. Dr. Menzly has published research papers in several financial industry journals including a lead paper in the Journal of Political Economics (2004). His current research focuses on gradual diffusion of information due to market segmentation. Dr. Menzly has an MS in Economics and an M.B.A in Finance (Summa Cum Laude) from the Hebrew University, and a Ph.D. in Finance from the Graduate School of Business, The University of Chicago.

Douglas Martin

Dr. R Douglas Martin is Co-founder, CEO and Chairman of FinAnalytica, Inc. He is on leave from his position as Professor of Statistics, Adjunct Professor of Finance and Director of Computational Finance at the University of Washington. Dr. Martin was a consultant in the Mathematics and Statistics Research Center at Bell Laboratories for ten years, a position created on the recommendation of J.W. Tukey, whose influence resulted in Dr. Martin switching his research focus from Electrical Engineering to Statistics. In 1987 Dr. Martin founded StatSci, Inc. to develop and market the S-PLUS system for data analysis and statistical modeling, based on an exclusive publishing license for the S language from Bell Laboratories. In 1993 Dr. Martin sold StatSci toMathSoft, Inc. and remained with MathSoft, subsequently renamed Insightful, Inc., in various roles until 2003. He has authored numerous publications in the areas of time series and robust statistical methods, including two Royal Statistical Society Discussion papers and one invited Annals of Statistics Discussion paper. His recent research focus has been applications of statistical methods in finance and investment, including the application of robust statistical methods and Bayesian modelling. Dr. Martin is co-author of two recent books: Modern Portfolio Optimization (2005, with Bernd Scherer, Springer) and Robust Statistics: Theory and Methods (2006, with Ricardo Maronna and Victor Yohai,Wiley). He holds the B.S.E. and Ph.D. degrees in Electrical Engineering from Princeton University

Joseph Masri

Joseph Masri joined the Canada Pension Plan Investment Board in July 2008 as Head of Investment Risk Management. He is responsible for overseeing all elements of the investment risk management function. This includes Market, Credit and Liquidity Risk Management as well as Model Validation. Prior to joining CPPIB, Mr Masri was Global Head of Investment Risk Management with Barclays Global Investors. With over 20 years of financial experience, Joseph previously held senior positions at ABN AMRO Inc., JP Morgan Chase & Co and Union Bank of Switzerland.

Joseph holds PhD and Masters degrees in Engineering Economic Systems from Stanford University along with a Diplôme d’ Ingénieur from École Centrale de Paris.

Elliot Noma

Dr. Noma is the president of Garrett Asset Management a provider of systematic investment strategies and advisor on portfolio construction and risk management methods. Dr. Noma is a member of the Financial Risk Manager (FRM) examination committee within the Global Association of Risk Professionals (GARP). He is also a member of the editorial board of The Investment Processional, the journal of the New York Society of Security Analysts. Prior to founding Garrett Asset Management, Dr. Noma was the portfolio manager at Asset Alliance Corporation for the BTOP50 fund, a diversified portfolio of systematic, discretionary and hybrid managed futures programs. He was a member of the Asset Alliance Investment Committee that oversaw all fund of funds investments for Asset Alliance. Dr. Noma was also responsible for the risk oversight of Asset Alliance's single- and multi-manager product offerings. Prior to joining Asset Alliance, Dr. Noma was Senior Risk Analyst, Fixed Income Products, Merrill Lynch Investment Managers (2000-2003). Earlier in his career, Dr. Noma was Director of Corporate Risk Management overseeing derivative and fixed income products within Deutsche Bank, Americas (1995-1999), and developed fixed income market strategies at, J.P. Morgan Securities (1993-1995). Dr. Noma also spent four years in the psychology faculty at Rutgers University (1983 – 1986) and his research has been published in numerous industry journals and scholarly periodicals. Dr. Noma graduated from Dartmouth College in 1972 with a BA in Mathematics. He received M.A’s in Mathematics and Psychology in 1979 and a Ph.D in Mathematical Psychology in 1982 from The University of Michigan. In 1990, Dr. Noma received an Advanced Professional Certificate in Finance from New York University.

Colm O'Cinneide

Colm O’Cinneide heads the Quantitative Strategies Portfolio Engineering Group at Deutsche Asset Management. He focuses on portfolio construction for quantitative equity and tactical asset allocation products and statistical methodologies to support manager selection and asset allocation decisions. He joined Deutsche in 2000 after an 18-year career in academia. He is the author of over 40 refereed publications and has taught quantitative equity management as an adjunct professor at Columbia University. He is currently serving as the vice president of the Society of Quantitative Analysts. He holds a PhD in statistics from the University of Kentucky.

Kevin Blocker

Mr. Blocker, CAIA, is the Quantitative Strategist at Horizon Investments. One of the original developers of the firm’s investment process, Mr. Blocker specializes in quantitative analysis and portfolio construction using traditional and alternative investment strategies. As a member of the firm's Investment Committee, Mr. Blocker is responsible for screening investment opportunities and portfolio optimization.