Dennis has over 20 years experience in risk management and finance, most recently as group chief risk officer at LCH. He joined LCH from Aon, where he was the CEO for Innovation and Analytics and where he introduced and developed an entirely new suite of analytics to the insurance industry. Prior to that, he was a managing director in Risk and Finance at Merrill Lynch, and was Director of Capital, Global Consumer Group at Citigroup. Dennis started his finance career as a consultant in the Global Risk Management practice at McKinsey, where he focused on the risk management of Traded Products and the development of risk systems and analytical algorithms for fixed income and equity products. Prior to that Dennis was a professor at Princeton University where he taught mathematics and quantitative finance.
Dennis has an MBA from Wharton School, University of Pennsylvania, a Ph.D. in Mathematics from Brown University and a MA in Mathematical Science from University College Dublin.
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.