Eric Thuillier, CFA, FRM

Deep Wealth SA is a Geneva based advisory company founded in 2019. Activities of Deep Wealth SA : - investment consultancy : advising institutional investors (pension funds, funds of funds, foundations, family offices) on asset allocation, manager selection, due diligence, tender processes - private capital advisory : placement agent for private equity and private debt funds, club-deals and co-investments, GP stakes and vehicle structuring - liquid alternative investments : advisory, fund selection, fund raising - risk management practice, operated under the brand Fine Risk I lead the team in sourcing funds, managers and deals of significant benefit to our clients.

Investivity SA is a Swiss regulated independent asset manager, co-founded in 2015. Set up of the company ; regulation (OAR-G) as a wealth manager. Discretionary mandates and advisory o Discretionary mandates and investment advisory for institutional like and private clients (including a bond portfolio of institutional size and a variety of balanced mandates for Swiss and European clients) through selection of different direct bonds, equities, etfs and sophisticated structured products o Development of a full risk, asset allocation and asset management framework (in Python) o Creation of certificates to package and distribute innovative strategies (AMC) Strategic partnerships and new client acquisition. Onboarding and ongoing relationship management for clients. Relationships with banks, brokers, funds and structured products providers.

Proprietary trading for KS&T, subsidiary of Koch Industries, one of the largest privately held global companies. Key focus on equity derivatives, trading strategies, portfolio management, asset allocation. Leading team of 3 including quantitative developer and analyst/trader. Spectrum of short term trading, behavioural finance, macro, technical and fundamental approaches. Portfolio management, multi-asset research, implementation/coding. June 13-present: PM of the equity derivatives book within the "Derivatives Trading" group o Devising and implementing directional, intraday, relative value and volatility trading strategies, in a C# platform shared with the volatility arbitrage team. o Research on trading strategies, out of sample strategy/portfolio robustness, intraday dynamic scaling/hedging December 09-May 13: PM within the "Tactical Futures Trading" group o Multi-strategy multi-asset futures book of about 60 markets (US/Europe/Asia). o Multi-asset research o Portfolio allocation across strategies and asset classes (self-coded a dedicated Matlab tool).

- Researched, developed and run model based systematic trading strategies. - Price-based and non-price based mid-frequency strategies, traded through futures - Nexgen S&P Edge: day-to-day trading execution and operations manager for this Luxembourg SICAV-SIF fund. - Head of Quant - For the business introducers/marketing partners of Nexgen: Head of Quant. Member of the investment committee. Advisory to High Net Worth Individuals (Middle East and Europe).

Quant for interest rate exotics, in the Paris dealing room of Hsbc. - Quantitative research and implementation (mainly C++) in the global structured rates pricing library. - Quant contact point on HSBC markovian model for multicallable products, and on inflation model. - Handling of new products and payoffs, enhancement of existing code and pricing techniques. - Developments relate to model-linked features including calibration, pricing algorithms (PDE), “control variate” techniques to match reference coupon prices, tools to monitor how models recover market quantities. - Business support (exotic traders and structurers) on their use of the models and new structures needs.

My work, within the « Market Risk Modelling and Product Analysis » team, at Abn Amro, Amsterdam, focuses on the analysis and the validation of the models themselves and of their implementation as done in internal or external systems, before their use in front-office. Products dealt with includes exotic options (FX), and rates products. This encompasses an understanding of the basis of the models, and a comparative check against independent implementations I realize in C++. I then find myself in a position to report, along with the team, on the adequacy of the model for pricing and risk management, its possible limitations or shortcomings, and reserves to be held on top of it.

- Client-focused consultant, helping front and IT people at American and European banks to use the Murex pricing and risk management system. Explained computations internal to the system and pricing methodologies. - Worked on improving methodologies and data, and reconciliation of PnL and greeks for version upgrades.

Fixed Income Strategy intern in the dealing room. Redaction of notes used by sales/strategy. Econometrics modelling (Fed rates decisions, time-series of sovereign spreads).

DEA MASEF

DEA 104

Deug, Licence, Maitrise (complementary to Engineering school)