Michael Zaslavsky, CFA, CAIA
Summary
Senior quantitative investment strategist with 15 years experience in research, design and implementation of systematic derivatives-based portfolios emphasizing asymmetric payout functions incorporating options and variance. Unique expertise that couples both volatility surface modeling rigor at bank proprietary options trading desk with institutional asset management functions encompassing trading, legal, regulatory, third-party negotiation and back office operations. Extensive relationships with pension, endowment and foundation community in addition to sell-side purveyors of OTC QIS.
Overview
15
15
years of professional experience
1
1
Certification
Work History
Senior Investment Strategist
Parametric Portfolio | Morgan Stanley
11.2015 - Current
- Serve on Liquid Alternatives Investment Committee overseeing $17 Billion in Volatility Risk Premium assets owned by public and private pensions, endowments and foundations.
- Research, design, and develop derivatives-based risk management and alpha strategies tailored for individual institutional clients.
- Enhance continuously existing derivatives mandates by taking advantage of market evolution and regime change.
- Collaborate with legal to ensure compliance with regulatory requirements and internal policies.
- Drive thought leadership and research as a member of the Parametric Liquid Alts Investment Committee and Portfolio Management Team.
- Generate new business relationships through speaking at conferences and authoring white papers.
Proprietary Options Trader
Citigroup
06.2009 - 10.2015
- Managed risk and proprietary trading of equity, index and commodity options on electronic and floor-based exchanges for Citigroup's US market-making operations.
- Commanded and executed speculative strategy based on trends in options volatility, flow, volume and inventory to maximize profitability of proprietary positions.
- Execute electronic market-making system through modeling volatility curves, calibrating algorithms, hedging, researching datasets and seeking arbitrage opportunities.
- Directed the Chicago and New York-based floor traders in daily strategy, goals and limitations.
Education
Bachelor of Science - Finance
Bowling Green State University
Bowling Green, Ohio12-2008
Skills
- Volatility Risk Premium Investment Strategies
- Portfolio Theory, Research and Analysis
- Option Modeling / Backtesting / Simulation
- Futures / Options / Swaps / Market Making / Arbitrage / Trading / QIS
Certification
Chartered Financial Analyst, CFA Institute, September 2018
Chartered Alternative Investment Analyst, CAIA Association, November 2019
Series 56 FINRA
Timeline
Senior Investment Strategist
Parametric Portfolio | Morgan Stanley
11.2015 - Current
Proprietary Options Trader
Citigroup
06.2009 - 10.2015
Chartered Financial Analyst, CFA Institute, September 2018
Chartered Alternative Investment Analyst, CAIA Association, November 2019
Series 56 FINRA
Bachelor of Science - Finance
Bowling Green State University
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