1. Tam´as M´atrai
Budenz ´ut 32/a, Budapest, Hungary, H-1021 • +36 1 88 33 276 • tamas.matrai@msci.com • www.renyi.hu/∼matrait
Profile:
Problem-solving oriented, multi-award winning researcher. Five years of experience as quant modeler, de-
veloping market & credit risk management analytics tools. Detail-oriented and analytical, experienced in
planning and managing research projects with several participants. Recognized by colleagues as an excellent
collaborator and team player. Fluent in English, French and Hungarian, experienced with German. Active
in various areas of mathematics, including partial differential equations, author of 36 scientific publications.
Experienced professor with excellent organizational, planning, communication and presentation skills, in-
vited speaker of 10+ conferences. Very smart in learning, adaptable, work experience with 10 institutions
of 6 countries.
Relevant employment:
• Vice President, MSCI, Budapest, 2011–
Projects: - Development of integrated market-credit model
- Development of real-time portfolio credit risk analyzer module for CreditManager
- Design of variance reduction techniques for CreditManager: The Semi-Analytic Method
- Modeling correlated recovery for bond portfolios in the CreditMetrics framework
- Development of credit risk model for (non-agency) RMBS in the CreditMetrics framework
- Development of market risk model for non-agency RMBS using ABX indexes as risk factors
- Development of macroeconomic home price index model, macro-credit model
- Design of variance reduction techniques for Monte Carlo pricing & VaR calculations for MBS
- Design & implementation of VaR backtesting framework for RiskManager
- Implementation of Intex based mortgage data mining & visualization suite
- Enhancements to a Vega risk model for equity options
Education/Other employment:
• Visiting researcher, Rutgers University, New Jersey, 2009–2010. Subject: mathematical finance,
descriptive set theory
• Postdoctoral fellow, University of Toronto, 2008–2010. Subject: descriptive set theory
• Postdoctoral fellow, Alfr´ed R´enyi Institute of Mathematics, Hungarian Academy of Sciences,
2006–2008. Subject: descriptive set theory
• Postdoctoral fellow, Universit¨at Karlsruhe, 2006, 2008. Subject: PDEs and numerical methods
• Summa cum laude PhD degree in mathematics, Central European University and Alfr´ed
R´enyi Institute of Mathematics, Hungarian Academy of Sciences, Budapest, GPA 3.98/4, 2006
• Summa cum laude Mathematics MSc and French Translator MSc, Lor´and E¨otv¨os Uni-
versity of Sciences, Faculty of Sciences, Budapest, 2002
• Baccalaureate in the advanced mathematics program, Mih´aly Fazekas Secondary Grammar
School, Budapest, 1997
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2. Accomplishments:
Finance:
• Credit & market risk modeling experience with portfolio credit, integrated market-credit,
risk attribution, macroeconomic models, agency and non-agency RMBS, equity options, home price
dynamics
• Banking regulation covering the Basel regulation for the Banking and Trading Books, Funda-
mental review of the Trading Book, and stress testing (CCAR, DFAST)
• Mathematical aspects of curve modeling (short-rate models, factor models); derivative pricing
(non-structural option pricing, structural option pricing, stochastic volatility and jump models);
CDO and CDS pricing; counterparty credit risk; risk measures (VaR, expected shortfall, drawdown);
extreme value theory; efficient computation; non-Gaussian econometrics
• Experienced in econometrics (macroeconomic models, impulse-response & VAR models); data
mining & visualization; statistical analysis & model validation
Computer skills:
• C++, Matlab, Mathematica, experienced programmer
• MS Office, LATEX, experienced user
Awards:
• 1st
Prize of the Best Dissertation Award, Central European University, 2008
• Junior Prima Prize for Excellence in Mathematics, Prima Primissima Foundation, 2007
• Gr˝unwald G´eza Prize, J´anos Bolyai Mathematical Society, 2006
• Excellent PhD student, Central European University, 2004
• R´enyi Kat´o Prize of Young Researchers, J´anos Bolyai Mathematical Society, 2003
• 1st
prize, National Research Conference of University Students, 2003
Management:
• Co-founder, co-organizer, Descriptive Set Theory Research Group of the Alfr´ed R´enyi Institute
of Mathematics, Hungarian Academy of Sciences, 2006
• Co-organizer, Descriptive Set Theory Problem Solving Seminar, Lor´and E¨otv¨os University of
Sciences, 2006
• Reviewer, American Mathematical Society Mathematical Reviews and Zentralblatt Math
Database
• Co-editor, Real Analysis Problem Book
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