Risk management

The collapse of State Bank Victoria and Tricontinental

A 1993 assignment on how a conservative savings bank founded in 1851 lost its capital twice over through a merchant banking subsidiary — written by someone who had been working in its Treasury.

An international asset allocation for a billion-dollar fund

A 1993 syndicate assignment: forecast total returns for twelve asset classes across seven markets under five world scenarios, then run them through a mean-variance optimiser and argue with the answer.

Two portfolio management case studies

The Common Fund’s tactical asset allocation scheme, and how Sanford C. Bernstein turned a dividend discount model into a stock selection discipline — written for Applied Portfolio Management in 1993.

What is banking business, and when may a banker speak?

Two questions from a 1993 Finance Law and Tax assignment: how the common law and the Banking Act define carrying on banking business, and the four circumstances in which a banker may disclose a customer’s affairs.

Distributed Computing and Risk Management: the original manuscript

The longer version of our 1990 Optech paper, with the sections SunTech Journal cut, the libraries described one at a time, and the figures as we drew them.

Distributed Computing & Risk Management

Our 1990 SunTech Journal article on hedging the risk in an options book, and the distributed trading system we built at Optech to do it on a network of Sun workstations.

1988 — 1989

Optech International

Systems Analyst

Option pricing and distributed risk management for Tesla, a foreign exchange options trading system built at Optech.

1992 — 1994

Macquarie University

Master of Applied Finance

Awarded the Australian Institute of Bankers Prize, and The Institute Prize for graduating top of the class.