Alex Ioannides's Email Addresses & Phone Numbers

• Highly motivated PhD level Data Scientist / Quantitative Analyst; • 9 years experience building and applying statistical models in a commercial environment; • Competent object-oriented programmer (R, C++, Node.js/JavaScript, SQL, HTML5, Excel VBA); • 8 years experience using R to develop packages and scripts for modelling/visualisation/data-wrangling; • Familiar with major machine learning & data mining approaches...

• Highly motivated PhD level Data Scientist / Quantitative Analyst; • 9 years experience building and applying statistical models in a commercial environment; • Competent object-oriented programmer (R, C++, Node.js/JavaScript, SQL, HTML5, Excel VBA); • 8 years experience using R to develop packages and scripts for modelling/visualisation/data-wrangling; • Familiar with major machine learning & data mining approaches (regression, SVMs, trees, clustering); • Fluent in statistics, stochastic processes, time-series analysis, copula and Monte Carlo methods; • Background in Banking and Financial Services - especially credit derivative pricing and credit risk; • Adept at communicating quantitative concepts to non-technical audiences;Head of Data Science and Trading Mechanisms @ At Perfect Channel we design and deliver cloud-based enterprise auction platforms for a diverse set of clients and business needs (business-to-business, business-to-customer, etc). My role as Data Scientist and Marketplace Engineer is to use the data that these auctions produce to: • Optimise auction algorithms for maximising seller prices - 'data driven Auction Theory'; • Identify and model patterns in bidder behaviour and preferences enabling clients to optimise bid-flow (and price-discovery) across all lots, and ultimately to perform 'data driven auction curation'. We make heavy use of advanced statistics and data mining/machine learning algorithms (e.g. GLMs, decision and regression trees, association rules, network/graph analysis), and deliver insights via impactful data visualisations, business intelligence reports and interactive dashboards. From July 2013 to Present (2 years 4 months) London, United KingdomQuantitative Analyst - Credit and Structured Note Model Risk @ Produced analysis aimed at quantifying the risks of a derivative pricing model mis-pricing trades - either through the error involved in the statistical estimation process for calibrating pricing models to market prices; and/or, through the choice of instruments to calibrate to. The approaches I developed to address these issues include: • Bootstrapping (or resampling) methods for quantifying the uncertainty in statistical model parameters estimated from market data; • Statistical analysis, review and visualisation frameworks for market data used to estimate pricing model parameters from, and for quantifying the impact of using alternative data sources; • Systematic identification all risks present in a trade before execution (i.e. pre-trade analysis), and making sure these are captured and priced accordingly. From June 2012 to June 2013 (1 year 1 month) London, United KingdomQuantitative Analyst - Credit Exposure & CVA @ Research analyst making extensive use of stochastic processes, advanced statistics and Monte Carlo simulation to compute, aggregate and report on credit exposure risk in portfolios of OTC derivatives. Responsibilities: • PFE/EPE for repos, FX, IR, inflation, commodities, energy, and credit derivatives; • CVA computation for African IR and FX swaps; • Structured trade analysis: margined/collateralised lending, hybrid credit (CCDS, contingent IR & FX products), option collars/spreads, Asian commodity swaps, caps/floors, etc; • Stochastic process specification, calibration and simulation (GBM, Vasicek, etc); • Pricing function validation and mark-to-market valuation testing for credit derivatives (CDS, CDS indices, nth-to-default swap, CDS options), bond futures, and quantos. New Methodology Developed: • Maximum-likelihood (Bayesian) calibration and backtesting framework for multi-factor PCA IR model; • Wrong-way risk modelling: repos (first-passage-time default model), credit and bond derivatives (default contagion model), and all other asset classes (Brownian-bridge process); • Stochastic process for simulating pegged FX rates (regime-switching jump-diffusion model); • Multi-factor stochastic process for simulating EM hazard rates (i.e. credit products); • CVA VaR calculation for the global trading book (setup of Advanced Basel III method). From January 2010 to June 2012 (2 years 6 months) London, United KingdomQuantitative Analyst - Algorithmics Credit Advisory @ Monte Carlo CLO cash-flow simulation used to price commercial property notes, and copula methods for modelling non-Gaussian statistical dependency inherent in mortgage portfolio prepayment risk. From August 2009 to December 2009 (5 months) London, United KingdomQuantitative Analyst - Credit Portfolio Modelling @ Advised a British bank on the use of Monte Carlo simulation models for credit risk aggregation and credit VaR measurement; research into importance-sampling methods for accelerating Monte Carlo simulations of credit portfolios; and, a 'quantitative benchmarking' of commercially available credit portfolio models (KMV, CreditMetrics, CreditRisk+, CreditPortfolioView, and Algorithmics). From April 2009 to July 2009 (4 months) London, United KingdomQuantitative Analyst - Credit Derivatives @ Quantitative CDO ratings, research and analysis, making heavy use of structural (or Merton) models and copula methods for modelling non-Gaussian statistical dependency in Monte Carlo simulations of credit portfolios underlying exotic derivative trades. Experience with: basket CDS, synthetic CDOs, CLOs, EDS, CMBS, and longevity swaps. From July 2007 to March 2009 (1 year 9 months) London, United KingdomQuantitative Analyst - Equity Portfolio Analytics @ Bespoke mean-variance and VaR portfolio optimisation for institutional investors, hedge funds, and private banks; construction and testing of multi-factor linear (regression & PCA) models for stock returns; and statistical back-testing of equity trading strategies. From February 2006 to July 2007 (1 year 6 months) London, United KingdomPhD, Computational Neuroscience & Artificial Intelligence, Pass @ University College London, U. of London From 2003 to 2006 MRes, Modelling Biological Complexity, Pass @ University College London, U. of London From 2002 to 2003 MSc, Theoretical Physics, Pass @ Imperial College London From 2001 to 2002 BSc, Physics with Astrophysics, 1st Class Honours @ King's College London, U. of London From 1998 to 2001 Alex Ioannides is skilled in: Derivatives, Monte Carlo Simulation, Credit Derivatives, Credit Risk, VBA, R, Data Mining, Counterparty Risk, SQL, Machine Learning, Quantitative Analytics, Time Series Analysis, Structured Finance, C#, ElasticSearch, Auction Theory, Github, Unix, PostgreSQL, Scala, C++, Stochastic Processes, CVA, Risk Management, Risk Analytics, Quantitative Finance, Algorithms, Apache Spark, SparkR