Stuart Royden-Turner, PhD.

Developed and managed the delivery of the core retail multi-asset investment product for distribution via the retail channels of a large retail bank. Developed and managed multi-asset investment process and framework. Built up a team of quantitative experts for portfolio strategies as part of an exciting build within an established asset management firm. Implemented fund-of-fund CIS structure and developed the investment strategy as part of the product continuum for the wealth management advice offering. Responsible for the portfolio construction and investment strategy design of the multi-asset global strategies (GBP, EUR, USD) for UHNW clients. Key business sponsor in the development the analytical hub for reporting client exposures, product analytics, finance reporting, risk analytics and research modelling. Developed a portfolio strategy and stress testing methodologies and techniques for private debt as an alternative asset. Responsible for delivering quality quantitative research and developed a full factor investment framework. Managed the implementation of key vendor software including Moody’s DBALM, MSCI Barra and Barclays point. Key Contributions: • Developed the asset allocation technology through effective financial research and coding in MATLAB; • Implemented a research led suite of investment strategies designed for a competitive institutional market in a pooled vehicle on insurance entity’s balance sheet; • Sponsored and directed the development of an asset manager data lake for reporting and analytics.

Hired as credit risk manager modelling strategic credit risk. Promoted to head of strategic credit risk for the wealth segment responsible for the active credit portfolio risk management of the largest South African private banking loan book at the time. Delivered on managerial and strategic leadership in a technical position which included design, build, monitoring of models, data modelling, credit system architecture for banking loan book. Leadership role responsible for the regulatory reporting and statutory reporting for credit risk positions to FirstRand group, credit risk management reporting and business intelligence. Set up and maintained the credit risk appetite and strategy for optimizing the segment balance sheet and redesigned and built the end-to-end credit risk business systems, risk data warehouse (PECDC compliant), reporting front-end and architecture. Developed an automated reporting system which included econometric modelling for balance sheet forecasting. Key Contribution: • Developed and implemented a coherent risk appetite framework that was integrated to the group framework for credit risk framework; • Developed and led the Strategic Credit team (8 full time staff), developed the strategic credit portfolio strategy, risk quantification of advance Basel II models, loan provisioning models, risk based loan pricing framework and balance sheet optimization. • Part of leadership team responsible for hiring and developing quant graduates; • Delivered high quality quantitative research projects to solve business challenges using machine learning solutions for client segmentation, product strategy, customer value management, targeted marketing, ATM network optimisation, sales team geospatial optimisation and econometric modelling.

Provided financial and risk modelling advice to a diverse clientele regarding complex standards including IAS39, IFRS9, Basel II, Solvency in insurance, and economic capital in banking Key Contribution: • Played a key business analyst and project management role in a three-year engagement project that implemented Basel II in all of Barclays African operations (12 countries) and led the successful deliver of Barclays Basel II project including re-engineered the credit process to account for Basel II changes and required enhancements, served as senior manager for the team that developed the end to end Basel reporting system for Barclays Africa Middle east. Managed the engagement in 6 of the 10 countries on their Basel II program; • Collaborated with cross functional teams to develop frameworks and solutions propositions including credit risk rating methodologies and validation, rating model development, economic capital methodologies; • Introduced a process methodology for Banking Loss data in collaboration with the Pan European Credit Data Consortium “PECDC”. This placed ABSA in a position to populate an integrated credit loss history database for the bank.

Macro-finance, investments, private debt, machine learning and credit risk

The qualification is a mathematical research only program. My research covered many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, auto-regressive models, moment-matching models, stochastic jumps and mean reversion models. The question asked in this study is, in the context of investing for South African individuals in a multi-asset portfolio, whether an active investment strategy is significantly different from a passive investment strategy. The passive strategy is built using stochastic programming with moment matching methods and is optimized in a framework using a downside risk metric, the conditional variance at risk. The active strategy is built with forward forecasts for asset classes using a time-varying transitional-probability Markov regime switching model. The active portfolio is finalized by a dynamic optimization using a two-stage stochastic program with recourse, which is solved as a large linear program.