Senior Director at Fitch Ratings

Dr Gary Wayne van Vuuren

Dr Gary Wayne van Vuuren, senior director at Fitch Ratings, London, has a well established background in the City of London with companies including Goldman Sachs, Ernst and Young and Merrill Lynch.

His experience covers:

  • developing Basel II models for internal validation
  • explaining complex concepts to analysts, writing (and/or coordinate the production of) research reports
  • producing and coordinating research on regulatory and economic capital, develops research on Basel II IRB-models and validation (e.g. concentration risk, collateral treatment, ‘arbitrage’ opportunities)
  • updating and implementing market risk methodology
  • quantitative input for Joint Probability of Default policy
  • providing quantitative input for individual ratings (transition matrices, default studies)
  • reviewing use of existing models in the rating process and recommend improvements to existing models
  • ensuring analysts are familiar with IRB-Models and the validation process through regular training to non-quantitative personnel
  • developing and deliver a risk courses for analysts, copula modelling, CDO pricing modelling.

He is also an esteemed academic, a prestigious writer, professor and part time lecturer in the UK and his home country of South Africa and holder of two PhDs:

  • 2005 - University of the North - South Africa "Duration as a strategic interest rate risk management tool in financial institutions". Yield curve movement forecasting using new duration measurement techniques
  • 1993 - (Nuclear physics) - "High frequency modes in fusion devices" Analysis of very high frequency Langmuir probe data

Dr Gary Wayne van Vuuren
Senior Director at Fitch Ratings