Interest rate risk derivatives and swaps

Gary trained in physics and mathematics at the University of Natal where he obtained a Masters in astrophysics and a PhD in nuclear physics. He worked at the Atomic Energy Corporation but then transferred to finance after visiting the UK and working as a quantitative analyst at Goldman Sachs. He returned to South Africa and worked for ABSA in market risk management and then as an investment analyst at Old Mutual Asset Managers in Cape Town (when he obtained a Masters in market risk management).

In 2002, he migrated to the UK where he worked as in market risk for Standard Bank (during which time he obtained the Global Association of Risk Professionals Financial Risk Manager accreditation), then head of quantitative analytics at Ernst & Young, product control at Merrill Lynch, head of model validation at Fitch Ratings (when he obtained his PhD in cred-it risk) and finally as head of model validation for Aviva Investors.

He has worked as an independent consultant on quantitative and risk management projects for the European Central Bank and quantitative credit risk assessment and management in financial institutions in Antwerp (Belgium) and Utrecht (Netherlands). His current roles include: contracting for EY and RiskWorx (South Africa), a distinguished professor in risk management and head of the University of the Witwatersrand’s Fintech Hub, a visiting professor at the University of Pretoria, the University of Cape Town, North-West University, EDHEC and IESEG (France) and Brunel University, Metropolitan University and Sussex University (UK).