CONFERENCE SPEAKERS
Nic Vassalli
Principal & Senior Portfolio Manager, Structured Portfolio Management
Mr. Vassalli is responsible for the co-management of SPM's non-agency fund, SSH, as well as certain managed accounts and the firm's mortgage credit strategies. He has also managed stand-alone funds focused on shorting subprime mortgages. Mr. Vassalli joined SPM in 2003, focusing on SPM's quantitative models and strategies, including prepayment modeling, credit modeling and hedging strategies, before joining the portfolio management group in 2005. Prior to his career with SPM, Mr. Vassalli was a ratings analyst in the Structured Finance Group at Moody's Investors Service (2002-2003). At Moody's, he was responsible for rating new securities and developing quantitative credit-risk models. Before Moody's, Mr. Vassalli was a researcher at the Swiss Institute of Banking and Finance, where he conducted research on high-dimensional American derivatives pricing. Mr. Vassalli graduated from the University of St.Gallen (Switzerland), where he received a Masters degree in economics with a concentration in quantitative finance.
