Finbarr Murphy

Biography

Before taking up his position in UL, Finbarr was a Vice President of Convertible Bond Trading with Merrill Lynch London. Instruments traded included CBs, equities, equity derivatives and US Treasury Futures contracts to actively manage complex hedging strategies. This included the design and implementation of robust, multi-factor stochastic models for convertible bond valuation. More recently, Finbarr worked with UBS London on the Global Swaps Desk as a specialist in structured products and new product issuance. He was a quantitative systems analyst for the fixed income division with specialisation in risk and position management solutions and a role coordinating Fixed Income, Front Office Trading and Origination Desk requirements with IT systems development, risk management and middle office operations. Much of his career was spent working in Asia (Hong Kong and Tokyo) working within the investment banking industry. Finbarr has a primary degree in Computer Engineering and a Masters degree in e-Learning and Design. Finbarr's key teaching and research interests lie in the field of credit risk and derivatives. He completed his PhD at the University of Limerick in 2010 titled 'Credit and Credit Derivatives as Lévy Processes and Determinants in European Capital Markets'. The research focused on the generalised Lévy Processes (e.g. compound Poisson, variance gamma, CGMY), and their application in the pricing and risk management of corporate bonds and credit derivative products. These models offer potentially rich application for pricing non-standard credit products because of their tractability and ability to fit implied correlation structures. Finbarr is actively interested in econometrics and the application of these methodologies in explaining credit market behaviour and consequent statistical arbitrge opportunities.

Research Interest

Generalised Levy Processes Spectrally negative jump diffusions in credit derivatives Empirical tests of asset pricing models Option Pricing Financial Econometrics