Andrey’s career in finance spans 22 years, 18 of which he has been a quant. In different positions and organizations, he dealt with modelling of most asset classes and wide range of derivative products, and he also contributed to the risk-side quantitative developments.
Having started in the structured credit team at Dresdner Kleinwort Wasserstein, he later was Head of Credit Quantitative Development at HSBC, covering all flow and structured credit and credit/rate hybrids. He also ran Equity Financing desk strat team in London at Goldman Sachs.
As Head of CVA and CCR(IMM) Analytics at RBS Andrey created of the front office XVA team. He has designed and lead implementation of the least intrusive extension of the RBS global quant library, risk-neutral hybrid model framework and infrastructure to support holistic XVA calculation and risk in a forward evolution/backward American Monte-Carlo simulations, and using holistic regression-based valuation methodology.
At RBS Andrey was also responsible for the entire quantitative modelling stream of delivering the P-measure market factor evolution methodologies for the greenfield Basel III/CRD4-complient internal counterparty risk system. Markets modelled were equities, rates, fx, inflation and credit; in most cases both underlyings and market implied volatilities, all evolved consistently in a long-term parametric Monte-Carlo simulation. The production system utilizing these methodologies was awarded the 2013 Internal System of the Year by Risk.
Over the past 4.5 years Andrey has been with L1 Treasury, the financial investment and liquidity management arm of LetterOne, a $25bn private investment vehicle, formed in 2013. As original Head of Risk, Andrey designed, implemented and ran the quantitative risk function at L1 Treasury. He then became Head of Modelling and Quantitative Analytics, responsible for all aspects of quantitative infrastructure supporting active and passive investment management, trading (cash and derivatives), and risk at L1 Treasury.
Andrey has been a regular presenter at Global Derivatives conference on the subjects of XVA and P-measure modelling of markets. At Global Derivatives 2016 he delivered a specialized session at the newly created stream for junior quants. He has also tought the subject courses and delivered workshops for Risk and WBS in the past.