Igor Falkovich, PhD – Founder and Principal
Dr. Falkovich holds Master of Science degree in Computational Finance from Carnegie Mellon University and PhD in Theoretical Mathematics from Rostov State University (currently known as Southern Federal University) in Russia.
Dr. Falkovich has been working in various capacities in financial markets for over 25 years. In this time he has witnessed and been part of various major financial institutions overseeing the transition from pre- to post-recession changes in financial derivatives valuation, market, credit and model risk management.
Over these years, Dr. Falkovich has worked on the regulatory side as the Senior Model Adviser at the National Futures Association where he was tasked with designing and driving the approval process of major banks’ initial margin models required to comply with Margin Regulations. He has also worked for the industry’s largest investment banks and hedge funds – including Barclays, Morgan Stanley, Tudor Investment Corp and others. His responsibilities at these institutions included but were not limited to the following:
- Managing market risk of multi-asset portfolios;
- Validating pricing and risk models for derivatives portfolios;
- Developing and implementing valuation adjustment methodologies – CVA and FVA for various IR and Credit Derivatives portfolios;
- Reviewing and validating CVA, FVA, and MVA models for various other types of financial products;
- Designing methodologies and performing independent price verification of Commodities/FX/IR vanilla and exotic derivatives portfolios.