Dario Villani (MFIN '02) Wins the 2016 Buy-Side Quants of the Year Award

Dec. 14, 2016

Dario Villani was named "Quant of the Year" by Risk Magazine, in recognition of Flylets and invariant risk metrics published in Risk.net and co-authored by Santhanam Nagarajan of Tudor and Kharen Musaelian (with research support by Deepika Pyla MFIN *15 and Joanne Im '15). The paper helped address the long-standing problem faced by fixed-income traders who typically hedge against parallel shifts, steepening and convexity in the rate curve, but struggle to hedge more localised changes. This has been achieved by augmenting a global PCA based invariant risk metric with a novel flylet basis for representation of localised risk. "The brilliancy has been the ability to connect the dots between linear, non-linear and invariant measures of risk," says MFIN Alum Raffaele Ghigliazza, now at Boston asset manager Wellington Management.