Kevin DiCiurcio, CFA

CFA Charter holder who is an experienced investment strategist and fixed income investment risk and performance analyst. • Currently works in Investment Strategy group overseeing team of analysts and is responsible for the oversight of research, development, and operation of proprietary statistical model used for asset return forecasting and supports asset allocation decisions. • Previously responsible for designing portfolios using quantitative asset allocation tools leveraging the asset return forecasts. O Focus of research was steady state and time-varying asset allocation predicated on time-variation in long term asset returns. Prior to Investment Strategy, worked in the Risk Management group supporting fixed income investment risk. • Experienced at analyzing projected tracking error and Value at Risk using parametric risk models, HVAR, and DtS. • Responsible for custom benchmark construction using Barclay's indices based on sector, term structure, credit quality, and other fixed income characteristics using Barclays Point and PC Product applications. • Selection and Allocation credit risk decomposition using DtS model. • Risk factor exposure contribution to portfolio risk as explained by risk models. • Familiarity with interest rate, MBS, CMBS, Corporate, and Non-Corporate risk modeling using BlackRock Aladdin system. • Risk and market value weighted performance attribution using the Brinson Methodology. • Experienced at measuring portfolio volatility and risk contributions based on sector allocation decisions.