Raphael Douady
Dr. Raphael Douady is a respectable economist and mathematician specializing in financial mathematics, data science, and chaos theory. He has over 20 years of experience in the banking industry, where he focused on risk management, option models, and trading strategies. Having spent 35 years of research in pure and applied mathematics, Dr. Douady is renowned for his highly sophisticated quantitative solutions and statistical analysis. He has a particular interest in researching portfolio risks, for which he has developed especially suited powerful nonlinear statistical models and systemic risk.
Raphael Douady Professional Experience / Academic History
Professional Experience
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Research Professor
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Frey Chair Professor of Quantitative Finance
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Consultant
Academic History
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PhD, Pure Mathematics
- Dr. Douady became strongly involved in finance in 1993.
- An alumnus of Ecole Normale Supérieure in Paris, he was awarded a gold medal at the International Mathematical Olympiads.
- With Nassim Taleb and Robert Frey, he has founded the Real World Risk Institute, aimed at educating the industry on extreme risks.
- He is a member of the Praxis Club, a New York-based think tank advising the French government on its economic policy.
- He sits on the board and the investment committee of Friends of IHES, a foundation supporting the Institut des Hautes Etudes Scientifiques.
- He has lead and organized numerous academic, as well as practitioner conferences around the world.
- He has appeared as a guest on Real Vision.
RESEARCH
- His current research focus is systemic risk and the anticipation of financial market crises.
- He is also interested in the use of advanced data science and statistical techniques for long-term investment.
- His background in pure mathematics is in dynamical systems, chaos theory, and symplectic geometry.
- His work in mathematical finance has focused on extreme risk, for which he developed the theory of poly models.
- He authored a seminal article on infinite-dimensional interest rate models and a rating-based credit derivatives model that introduced the notion of “rating surface."
APPOINTMENTS
- University of Paris I: Panthéon-Sorbonne - Research Professor
- Research in economics, econometrics, and financial mathematics
- NM FinTech - Chief Research Officer
- Responsible for algorithmic design
- QuantsUnited - Senior Scientific Advisor
- Education and consulting on quantitative trading strategy design and selection
- Ninety One - Chief of Data Science Committee
- Advise the company on mathematical methods and AI in medicine and precision medicine
- Matrics - Senior Consultant
- Overseeing the design of AI and Data Science methods for asset management and risks
- Riskdata - Research Director
- Designed almost all mathematical algorithms of the system (data processing and filtering, statistical models, asset pricing, simulations, risk measurement, optimization)
- Citigroup - Consultant
- Senior architect for the building of a cross-product margining system for Citigroup prime brokerage division.