Algorithmic and quantitative trading: best practices workshop

Ben Watson is the chief executive of Maroon Analytics Australia, a quantitative analytics consultancy that helps banks and financial institutions with all aspect of their quant requirements. Maroon has been helping it clients with some of the more complex issues that they face today, such as OIS discounting, XVA pricing, risk management, initial margin modelling, market and credit risk management and portfolio modelling. Ben has successfully been running Maroon Analytics consulting business for the past 11 years.

Ben has recently developed a full featured analytical risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, provide full profit and loss attribution along with powerful analytic tools that perform risk and relative value modelling of instruments and portfolios. Ben is expanding Quantic’s capabilities by incorporating machine learning algorithms for analytical tasks such as factor analysis, relative value analysis, risk management and algo trading.

Ben came to the Maroon business with 17 years working for investment banks as a quantitative analyst. Up to 2012 he was the APAC regional head of the quant function for RBS, and before that he was the local head of quantitative analytics at ABN AMRO Australia.  Working directly with traders he has a long track record of building real time pricing and risk management systems. He has built credit, bond, swaps, FWD FX, swaptions, inflation bonds and swaps, MBS, CDS pricing and trading systems for the front office. While at ABN Amro, Ben also ran a successful quantitative trading book based on relative value trading strategies in interest rate swaps and futures.