Youssef Elouerkhaoui

Managing Director, Global Head of Markets Quantitative Analysis at Citigroup

Speaker

Dr. Youssef Elouerkhaoui is a Managing Director and the Global Head of Markets Quantitative Analysis at Citi. His department supports quant modelling, product development and data science activities across all markets businesses. Before his current role, he ran the Credit and Commodities Quantitative Analysis teams and he was in charge of CVA, Funding and Regulatory Capital for his businesses. Prior to Citi, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for the Structured Credit Desk. And before UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting Interest Rates Exotics. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University. He is well-known for his work on credit correlation modelling with the Marshall-Olkin copula and has published a book on the topic: “Credit Correlation: Theory and Practice”. His current research interests include: Machine Learning applications in Finance, and in particular, using Deep Learning methods in traditional derivatives pricing models.