Barclays Capital prises Shelton from Citigroup

David Shelton has quit his position as a director in Citigroup’s global credit derivatives research unit in London, and is to join Barclays Capital.

Currently seeing out his gardening leave, Shelton will resurface on March 20 as a senior credit derivatives quantitative specialist at Barclays Capital in London.

Shelton will report to Jon Gregory, head of global credit derivatives research at the British investment bank.

Shelton's research has covered topics such as the conditional normal approximation for pricing collateralised debt obligations (CDO) and CDO-squared products, and more recently, advanced term structure approaches to consistent pricing of structured credit with non-standard payoffs.