Richard Martin

CEO

United Kingdom26 yrs 7 mos experience

Highly Stable

Key Highlights

Pioneered CDO modeling and Merton-based models.
Most published author in RISK for two decades.
Expert in both systematic and fundamental credit strategies.

Stackforce AI infers this person is a Fintech expert specializing in quantitative credit strategies and risk management.

Contact

Skills

Core Skills

Credit TradingRisk ManagementQuantitative FinanceFixed Income TradingQuantitative Research

Other Skills

correlation tradessynthetic CDOrisk participationCVA tradescredit derivative pricingportfolio managementsystematic tradinginvestment processdata capturerelative value analysisportfolio optimisationsystematic trading modelsstatistical characterisationoptimal tradingcredit derivatives pricing

About

Credit PM/ quant/ trader who has worked in quant credit since the dawn of the credit derivatives era. Expert in systematic and model-driven credit, also fundamentally-driven strategies, risk management and portfolio construction. Unusually for credit quants I am strong in fundamental research both in developed markets and EM, and have done pioneering work in CDO modelling and in Merton-based models for debt-equity trading. I am also an experienced trader. My publications list is pretty extensive, covering mathematical finance, physics and also occasionally other areas of mathematics such as combinatorics. I have been RISK’s most published author for two decades. Visiting Professor at Imperial College London

Experience

26 yrs 7 mos

Total Experience

4 yrs

Average Tenure

2 yrs 2 mos

Current Experience

Jain global llc

Credit PM

Apr 2024 – Present · 2 yrs 2 mos · London, United Kingdom

o structured credit: correlation trades in synthetic CDO; tranches vs options; nonstandard tranches (coupons or recovery) in FRTB risk recycling
o risk participation (RPA) in CVA trades
o SRT
o some single-name trading

correlation tradessynthetic CDOrisk participationCVA tradesCredit TradingRisk Management

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Independent Consultant

Jan 2019 – Mar 2024 · 5 yrs 2 mos

Consulting on credit derivative pricing, credit trading and portfolio management; also on other matters in quantitative finance such as systematic trading

credit derivative pricingcredit tradingportfolio managementsystematic tradingQuantitative FinanceRisk Management

Apollo global management llc

Principal

Oct 2013 – Dec 2018 · 5 yrs 2 mos · London, United Kingdom

o EM corp/sov PM/trader/quant
o Built investment process for EM credit mandates
o Built all analytics for data capture, relative value analysis and portfolio optimisation
o Personally traded ca $1Bn EM credit each year
o Total AUM managed: ca $2.5Bn
o New method for understanding fair value in EM corporate credit: publ. in RISK Jul 2018 (also on arXiv)

investment processdata capturerelative value analysisportfolio optimisationFixed Income TradingQuantitative Research

Longwood credit partners

Founding Partner

Jul 2012 – Sep 2013 · 1 yr 2 mos · London, United Kingdom

o Built all analytics for risk management, relative value etc.

risk managementrelative value analysisFixed Income TradingQuantitative Research

Man

Head of Quantitative Credit Strategies

Oct 2008 – Mar 2012 · 3 yrs 5 mos · London, United Kingdom

o Developed systematic trading models in credit and fixed income
o Studied the statistical characterisation of moment trading returns and its influence on system design (papers in RISK, Aug and Nov 2012)
o Solved the problem of optimal trading in the presence of proportional transaction costs (papers on arXiv)

systematic trading modelsstatistical characterisationoptimal tradingQuantitative FinanceRisk Management

Credit suisse

Managing Director (Quantitative Credit Strategy)

Jun 2003 – Jul 2008 · 5 yrs 1 mo

o Credit derivatives pricing models, strategy and risk management
o Developed the first model to consistently capture CDO correlation skew across maturity and across the capital structure. Used for strategy and proprietary trading
o Developed the Merton model by extending it to jump-diffusions and making it work "in practice".
o Fused this with risk management models

credit derivatives pricingrisk management modelsMerton modelQuantitative FinanceRisk Management

Bnp paribas

Quantitative Analyst

Apr 1998 – May 2003 · 5 yrs 1 mo · London

o Member of FIRST (Fixed Income Research and Strategy Team) and latterly Fixed Income Capital Management Team (May 2000-)
o Developed credit portfolio models and was awarded Quant of the Year by RISK in 2002 for this work
o Developed credit derivatives and CVA pricing models, also counterparty credit risk management tools

credit portfolio modelsCVA pricing modelscounterparty credit risk managementRisk ManagementQuantitative Research