Deutsche loses top forex quants

The development is the latest instalment in a series of high-profile defections from the German bank’s foreign exchange exotics team, with Andrew Simon, global head of foreign exchange options strategy, quitting for Lehman Brothers, and Matt Desselberger, head of corporate structured products, departing for HSBC, in the past few months.

While such high-profile departures will fuel speculation that all is not well at Deutsche’s foreign exchange operation, sources familiar with the situation said the quant defections are not related.

McGhee, who co-authored an FX options master class on pricing barriers in FX options under different model frameworks for Risk in May last year with Alex Lipton, will run foreign exchange products development at Citigroup, following a 13-week holiday. He will report to Steven Reiter, Citigroup’s global head of FX options.

Jacobs’ new role is unclear, but RiskNews learnt he resigned from Deutsche Bank yesterday.