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

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.