Michael Careem

Für einen Global Macro Hedgefonds messe ich Risiken, und prüfe Bewertungs- und Risikomodelle. Mittels Ausbau einer mächtigen Business Intelligence Plattform helfe ich der Firma Risiko- und Performanceeinsichten zu gewinnen.

Leitete Team von drei Performance-Analysten inklusive GIPS Office. Trieb Planung, Bau und Betrieb einer robusten Infrastruktur zur Vermittlung vertiefter Performance- und Risikoinformationen, um den Anlageprozess zu verbessern. Gestaltete entsprechende Aufbau- und Ablauforganisation. Handelte als Experte und Coach in Sachen Performance und Risiko. War stellvertretender Risikomanager für Vontobel Asset Management gegenüber der FINMA.

Led design, implementation, testing and education related to new instrument pricing models and new/enhanced risk measurement methods/models for the managed accounts platform using RiskManager from MSCI (formerly RiskMetrics Group). Recent examples: Forward Start Variance Swaps; CDS Options; ASCOTs; Unified credit sensitivity and stress testing framework across bonds and CDS using implied default probabilities; Cross risk factor stress testing; VaR parameterisation using LM-ARCH (RM 2006 Methodology).

Built and headed team of five risk managers for hedge fund managed accounts platform of USD 8 bn. Represented risk management internally (investment risk committee) and externally (clients). Elicited, defined and implemented the firms risk appetite by means of a limits framework (VaR, stress loss, concentration, liquidity) and associated processes. Directly managed market, counterparty and liquidity risks for emissions, power, energy and commodities portfolios. Conducted hedge fund manager due diligence.

Manager of risk engine subproject of an enterprise wide risk management implementation for market risks of the trading book and credit risks of the trading and banking book.

Consulted on market risk for various clients. Led business team in large market risk management implementation project in Australia.

Consulted/implemented for projects at various European client-sites: Enterprise-wide risk management, partial use implementation of internal models (IR and FX risk).

Headed production of VCV-matrix. Designed/Implemented related estimation and simulation procedures. Designed/implemented a delta-gamma normal VaR calculator for portfolios of non-linear contracts. Managed an investment fund (Protect Invest). Published research on equity-linked products.