Mark Aarons

Mark Aarons is Head of Portfolio Risk and Solutions at VFMC. He is also an Adjunct Associate Professor in the Centre for Quantitative Finance and Investment Strategies at Monash University. Prior to his current role, Mark was global Head of FICC Structuring at the National Australia Bank from 2010 to 2017, where he built a leading securitisation swap business in both Australia and the UK.

Mark holds Bachelor degrees in Law and Science (both with Honours) from Monash University and a PhD in Mathematics jointly from the Max Planck Institute for Gravitational Physics and the Free University of Berlin, Germany. Mark is also the co-author of a book on securitisation swaps which was published by Wiley Finance in 2019.

Articles by Mark Aarons

Original research

Optimal foreign exchange hedge tenor with liquidity risk

The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.

25 Feb 2021

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