Leopold S.

Skills

TWR, TTWR, IRR, Advanced equity attribution with smoothing algorithms
Fixed Income attribution: KRD and weighted duration models
FX attribution: Karnosky & Singer model
Illiquid/PE asset performance: IRR
GIPS
VaR, ES, ICAAP, IRRBB. Stress test, FX, Equity, Fixed income, commodity market, Economic Analysis, P&L, MtM GARCH, EWMA, Greeks, Sensitivities, IRRBB/CSRBB
Advanced Asset Allocation, Black Scholes, Bloomberg, R

About

A seasoned investment & risk professional, my track record includes: Providing support and reporting to the CIO on a $25 billion AUM discretionary portfolio through quantitative and qualitative analysis, asset allocation, and advanced performance attribution.
Developed and implemented from scratch EMEA discretionary portfolio performance attribution & risk reporting at Barclays Wealth & Investment.
Advanced performance attribution multi-asset Equity, Fixed Income, & FX
Quant Asset allocation and portfolio construction (Black-Litterman)