In his role, Dr. Gatarek will work closely with the existing quantitative and development teams, offering his unparalleled expertise for the further enhancement of NumeriX model implementations. He will spend time leading NumeriX's BGM implementation with proprietary extensions that will differentiate and advance theirs beyond competitors, in addition to working on enhancing numerical techniques to better price the latest complex derivatives structures being transacted in the marketplace.
Dr. Gatarek is internationally known for his work on "Libor Market" models, in particular the Brace-Gatarek-Musiela (BGM) model, which is used by leading investment banks worldwide, and is becoming a benchmark model for valuing interest rate derivatives. The BGM model has the unique ability to represent a yield curve with directly observable forward Libor rates and incorporate as many factors as required to price a trade. Dr. Gatarek is also known for his work in applying analytical methods to problems of credit risk and credit derivatives.
He joins NumeriX from Deloitte & Touche where he advised on issues such as managing financial risk, evaluating risk management strategies and hedging objectives. He also specialized in the valuation of derivatives and other financial instruments and in designing risk management systems for capital adequacy.
"With his work on the BGM model Dr. Gatarek is a leading market name who brings with him an outstanding knowledge in advanced derivatives pricing and risk measurement," says Dr. Gregory Whitten, Chairman and CEO at NumeriX. "His inventive and intuitive understanding of complex analytical methods makes him a crucial asset to our company for future product development."
"A key underlying business objective has always been to help our clients solve their analytical problems when faced with pricing and risk managing their structured and exotics derivatives positions," says Steven O'Hanlon, President and COO. "We are committed to building the best quant team outside of the dealing community as a means to maintain and extend our leadership position in analytics. Dariusz joining NumeriX shows our commitment to being the best analytics software company on the Street."
"I joined NumeriX because it is the only independent company in the market to really have the sophisticated math and applications necessary for pricing complex derivatives and with the development plans to satisfy the future 'hybrid' model demands of cross-asset structures," says Dr. Gatarek. "NumeriX was the first vendor to implement the BGM model and has the intellectual capital and product vision to maintain its leadership position in the financial derivatives domain."
Prior to joining Deloitte & Touche, Dr. Gatarek spent six years with BRE Bank during which he created equity warrants in the Polish market, and was responsible for implementing modern risk measurement methods such as Value-at-Risk (VaR). Before BRE Bank, Dr. Gatarek served in the Faculty of Mathematics at the University of New South Wales and in the Polish Academy of Sciences, where he still is an Associate Professor.
Dr. Gatarek has published a number of papers on financial models and holds a Ph.D. and D.Sc. in Applied Mathematics from the Polish Academy of Sciences.