Peter Decrem
Director at Citi
- Role
- Director Rates Trading at Citi
- Location
- Irvington, NY, US
- LinkedIn followers
- 500 followers
Experience
Director Rates Trading
Aug 2011 — Present
As part of the Rates Trading Desk create Risk and Pricing models for Treasuries. Analyze data using both traditional statistical methods (logistic regression, svm, clustering, pca etc.) and advanced machine learning methods (rnn, lstm, gru neural nets). Methods are applied to both numerical and textual data.As part of the Automated Market Making team implemented the automated market maker for treasuries and futures, I was involved in the daily operations, many improvements to the pricing and hedging components of the program and started the futures component of the program.
Education
Vrije Universiteit Brussel
Master's degree
NYU Stern School of Business
Mba
Skills
- Structured Products
- Fixed Income
- Credit Derivatives
- Risk Management
- Interest Rate Derivatives
- Equities
- Valuation
- Capital Markets
- Derivatives
- Quantitative Finance
- Hedge Funds
- Trading
- Trading Systems
- Market Risk
- Fx Options
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