Felipe de Souza Valladão, CFA

I am a Chartered Financial Analyst with extensive experience in quantitative finance and risk management. My passion is to solve challenging problems and explore new ideas. I combine my knowledge of Maths, Finance and Programming to simplify complex issues and find the optimal solution.

Experience

Senior Risk Analyst

Risk

Tibra Capital

London/Barcelona

UK/ES

Oct/2018

Mar/2025

  • Lead the development of Risk’s Python related projects including:
    • Created a risk factor model to explain the Equity portfolio daily pnl using statistical and clustering analysis
    • Developed an internal market data library for the team, consolidating the different data sources into a common API to speed the team’s developments in other projects
    • Developed parsing libraries to ingest external data (xls, txt, pdf, ...) into the company’s databases so it could be used by the internal tools
    • Replicated and reversed engineer the margin models used by the firm’s counterparties to improve trading decisions, by predicting the desk’s capital usage given their strategies, allowing traders to optimize their return on capital
    • Monitoring tools for the team combining internal and external data
  • Develop and maintain in-house models, reports and tools with a diverse technological stack:
    • Python (pandas, numpy, scipy, numba)
    • SQL
    • git
    • Docker/K8S
  • Responsible for handling operational issues covering:
    • Data extraction & cleaning
    • Analysis & reconciliation
    • Report monitoring & presentation
  • Collaborate with trading to optimize the firm capital allocation
  • Execute FX hedges to manage balance sheet exposures
  • Monitor trading limits and approve limit extensions

Quantitative Researcher

Events

Tibra Capital

London

UK

Apr/2022

Oct/2022

  • Research a new alpha in the M&A space to be used by the firm's Equity strategies
  • Responsible for data extraction, manipulation and analysis used in the research
  • Develop the framework to analyse the data with statistical and machine learning models (Gradient Boosting Trees)

Associate Director

Stress Testing Methodology

UBS

London

UK

Feb/2016

Oct/2018

  • Developed a stress market risk model in R and C++ with statistical techniques:
    • Time series modelling
    • GARCH processes
    • Elliptical copulas
    • Monte Carlo simulation
  • This project was so successful it was the reason I was promoted from analyst to associate director.
  • Created an interactive visualization tool with R (Shiny/ggplot2) to explain the model's results to senior management which facilitated understanding the outputs.
  • Executed model confirmation and documentation adhering to FED's guidance on model risk management (SR 11-7) and general regulatory requirements.
  • Responsible for the team's market risk piece submission of the annual MAS Industry Wide Stress-Test.
  • Collaborated with Tech teams in the development of new functionalities within the market risk infra-structure.

Market Risk Analyst

Equity Derivatives

Santander

London

UK

Dec/2014

Feb/2016

  • Responsible for daily reporting
  • Automated several processes bringing more efficiency to the team.
  • Assisted with enquiries from audit and trading

Junior Analyst

Market Risk

Modal Asset Management

Rio de Janeiro

Brazil

Nov/2012

Sep/2013

  • Developed a VaR model based on Extreme Value Theory
  • Developed new spreadhseets to improve the information provided to the traders
  • Executed and optimized operational tasks with Excel and VBA

Certifications

  • CFA® charterholder, CFA Institute.

Education

Msc in Finance

Grenoble Graduate School of Business

London

UK

2013

2015

  • Dissertation: Bayesian Asset Allocation
  • Graduated with distinction

Bsc in Applied Mathematics

Universidade Federal do Rio de Janeiro

Rio de Janeiro

Brazil

2008

2013

  • GPA: 88%
  • Research projects:
    • The First Fundamental Theorem of Asset Pricing
    • Numerical Solutions of Stochastic Differential Equations

Skills

Mathematics

Probability

Time Series

Statistics

Linear Algebra

Econometrics

Finance

Value at Risk

Stress testing

Equities

Fixed income

Derivatives

Programming/Technologies

Excel

Python

git

SQL

Rust

R

VBA

C++

Matlab

Latex

Docker

Bash