Mortgage Backed Securities:
The Assessment and Management of Risk

Lecturer

Radu Tunaru has a PhD in Probability and Statistics and he has developed the MSc in Quantitative Finance at Cass Business School, City University in London. He worked in the City for Bank of Montreal (2006-2007) in Structured Credit Investments dealing with the cash-flow risk management models for two SIVs and the launch of one CDPC, and for Merrill Lynch (2007-2008) in Structured Finance, EMEA RMBS, dealing with prepayment models, default models, hedging products such as balance guaranteed swaps, property derivatives, equity release mortgages; working with model validation and quant teams for product development and testing. His expertise includes: probability and stochastic calculus, mathematical finance, Markov Chain Monte Carlo and Monte Carlo simulation methods for finance, derivatives pricing, credit risk, market risk, inancial engineering applications for structured products, portfolio credit derivatives pricing, volatility modelling related to investment opportunities in emerging markets.

He is the recipient of Multinational Finance Journal Best Paper Award, vol 5, 2001, for the paper “Emerging Markets: Investing with Political Risk”, Eastern Finance Association prize for the Outstanding Paper in International Finance for the paper “Modelling Political Risk with a Doubly Stochastic Poisson Process”, Charleston USA 2001; and SMEED prize awarded for the best young researcher in the field, 31st UTSG Annual Conference, York 1999. He has published over 30 articles and book chapters.