Deutsche loses top forex quants
Deutsche Bank, which claims in promotional material to possess a foreign exchange options business that is “unsurpassed” by its competitors, has lost its head of foreign exchange products development William McGhee, and his deputy Andrew Jacobs. The pair ran the quantitative analysis unit at the bank.
While such high-profile departures will fuel speculation that all is not well at Deutsche’s foreign exchange operation, sources familiar with the situation said the quant defections are not related.
McGhee, who co-authored an FX options master class on pricing barriers in FX options under different model frameworks for Risk in May last year with Alex Lipton, will run foreign exchange products development at Citigroup, following a 13-week holiday. He will report to Steven Reiter, Citigroup’s global head of FX options.
Jacobs’ new role is unclear, but RiskNews learnt he resigned from Deutsche Bank yesterday.
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