Changing hats – June 2013
Arrivals and departures in the operational risk, compliance and regulation businesses
London Whale quant now working for Deutsche Bank
Deutsche Bank has hired the quant behind the retooled value-at-risk model used to disguise exposure at JP Morgan’s chief investment office (CIO) last year. The unit went on to lose an estimated $6 billion during 2012, as a result of positions built up by a trader dubbed the “London Whale”.
Patrick Hagan, also known as one of the inventors of the stochastic alpha beta rho (SABR) model that is the benchmark for interest rate derivatives, has a short
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