Greg Foggitt
Quantitative Investment Analyst
Cape Town, ZA
About
•Financial modelling •Portfolio construction and re-balancing •Research and development of quantitative systems •Performance and risk monitoring •Skilled in Excel, VBA, Access •Competent in Python, SQL •Attention to detail and accuracy •Questioning and critical thinking •Self-motivated •Ethical •Hard-working •Extremely organized
Work Experience
Quantitative Investment Analyst
Willis Towers Watson
Developed performance and risk reporting solutions, modern mean-variance optimization in Python, quantitative modeling including hierarchical clustering and PCA. Risk monitoring and research.
Education
PhD in Financial Risk Management
North-West University (Potchefstroom)
2015 - 2017
Thesis: Measuring systemic risk in SA and US banking sectors. Focus on systemic risk, Basel regulations, GARCH, extreme value theory, Monte Carlo simulations.
Languages
English - Native