Nicolas Vassalli

Head of Portfolio Management, Structured Portfolio Management (SPM)


Mr. Vassalli joined SPM in 2003 and works closely with SPM's CIO to run the portfolio management team. His primary responsibilities include trading Agency and non-Agency RMBS, CMBS, rates volatility and various other non-mortgage securitized products . Mr. Vassalli is also experienced in risk and modeling, and before joining the portfolio management group, he was focused on SPM's quantitative models and strategies, including prepayment modeling, credit modeling and hedging strategies. Prior to his career with SPM, Mr. Vassalli was a ratings analyst in the Structured Finance Group at Moody's Investors Service where he was responsible for rating new securities and developing quantitative credit-risk models. Mr. Vassalli had previously been 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 Master's degree in Economics with a concentration in Quantitative Finance.


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