Dmitry Green Email: [email protected] Phone: (646) 220-4779

Solving complex problems and bridging the gap between research, technology and execution.

EXPERIENCE Rokos Capital Management, co-Global Chief Risk Officer 11/20-present, NYC RCM is a $17bn is a macro fund employing strategies across multiple asset classes and geographies. Responsible for all aspects of investment risk within a multi-asset fund structure, including risk analytics and portfolio optimization. Asset classes include rates, equities, credit, FX, EM, commodities and mortgages.

Mariner Investment Group, Managing Director and CRO 6/15-6/20, NYC M.I.G. is a $10bn asset manager as of 6/20, focused on and credit relative value and private credit. Active in all aspects of the investment process: capital allocation, managing and developing new scenarios, identifying and quantifying tail risks, trading strategy development, hedging, analytics and risk infrastructure. Focus on market, counterparty and liquidity risk. Oversee multiple portfolios, both liquid and illiquid, including structured products. Asset classes include rates, credit, mortgages, munis, and equities. Member of Investment Committee and Risk Committee.

● Capital allocation: worked with CIO to improve and systematize capital allocation process and guidelines. Goal was to help the fund move out the risk curve without jeopardizing the business. Variables include trader performance, tail risk, correlations, leverage, liquidity, margin, convexity and others. Ensured that infrastructure and analytics would support the process and worked with PMs to get buy-in. Evaluated potential new traders / strategies. Helped the CIO manage the center book, which consisted of supersizing “best-of” trades as well as generating new ideas.

● Credit: Introduced a framework to quantify and aggregate credit exposures, isolating and idiosyncratic factors, across the and liquidity profiles. Partnered with CIO and traders to formalize guidelines and scenarios to help allocate capital and size trades. Worked with fundamental credit PMs to incorporate quantitative factors and signals, including corporate debt, ETFs and CEFs. Designed and implemented hedges.

● Fixed income: Built a customized heat-map to aggregate and visualize both upside and downside across multiple fixed income relative value strategies, e.g., rates bases, curves, break-even inflation, mortgage basis, credit spreads. Incorporated drill-down to trades. Backtested and iterated with CIO, PMs to make scenarios relevant and practical.

● Risk: Initiated and restructured fund-level views to focus on net equity during extreme events (incorporating P&L, cash, financing). Led the build-out of risk technology in a way that was practical for managing risk and optimizing the portfolio (e.g., centralizing data, integrating third-party software, and developing proprietary tools). Integrated a complex equity/FX volatility strategy that did not easily fit into the existing risk process and infrastructure.

● New strategy development: Developed 1) a systematic cross-asset long- strategy (credit, rates, equity, commodities, and 2) a systematic sovereign bond trading strategy. Partnered with traders on execution.

● Counterparties: responsible for repo counterparty risk, monitoring financials and reviewing business models. Initiated and built a “wallet” data tool to manage cp relationships. Renegotiated contracts with third-parties.

Saba Capital. Managing Director and CRO 9/10-5/15, NYC Saba is a multi-asset class global focused on credit and volatility, $5bn at peak. Recommended hedges and portfolio allocation, developed trading tools, oversaw infrastructure and analytics across the firm, challenged PMs. Member of Investment / Risk Committee.

● Portfolio: Regularly challenged PMs’ portfolio construction and exposures with independent analyses, including historical scenarios, liquidity assumptions and other macro factors. Helped assess potential trades and built screens for opportunities, e.g., CDX tranches, CMBS, CDS and capital structure trades.

● Technology and analytics: Created a “matrix” framework to aggregate and visualize risk across different instrument types, down to position-level. Managed the build-out of a front-end to visualize positions, which was used by PMs/traders daily. Built systems to screen for and rotate trades within an active credit derivatives trading strategy and partnered with the technology team to ensure that the data was useful for actual trading.

● Work with prospects and clients to explain the portfolio, trades and risk and assisted with investor relations.

1 BlueMountain Capital - Head of Risk Management 10/07-9/10, NYC - Head of Risk & Trading Analytics 5/07-10/07, NYC BlueMountain was a $15bn multi-asset class global hedge fund at peak, focused on credit and volatility. Expanded Risk’s role from pure reporting to value-added participation in the investment process. Key success factor was an ability to execute complex projects across multiple teams (Trading, Research/Quant, IT, Ops).

● Modeled and backtested complex synthetic structured products, including forward exposures, jump and curve risk (e.g., CDX, Itraxx and bespoke tranches, variance swaps, correlation swaps). Introduced a set of internal CDS and ABX indices to help manage synthetic credit exposures.

● Managed the build-out of the technology for P&L attribution, scenarios, and daily risk tools. Ensured that data was accurate and practical. Identified gaps in risk management. Promoted to Head of Risk Management from this role.

● Optimized PB margin by replicating margin rules, running what-if scenarios, and shifting trades accordingly.

BlackRock. Vice President - Product Manager, Credit Derivatives and Quantitative Credit 7/05-4/07, NYC - Vice President, Advisory Services 11/04-6/05, NYC Built and marketed the credit derivatives platform, working within BlackRock Solutions, which provides the centralized investment platform and advisory services for BlackRock and external clients.

● Designated as the Quantitative Credit Specialist internally at BlackRock and with external clients.

● Was the first to hold a project management role within BlackRock Solutions given my ability to work and execute across a variety of teams, including data, technology, analytics and reporting teams. Product consisted of an end-to-end solution for credit derivatives, including trade capture, trade analysis, and cash management tools. Worked with PMs to hone the tools and with the Relationship Management team to help market the solution and support clients.

● Advised external clients on balance sheet issues, particularly on rates and mortgages. Partnered with internal PM and quant teams to analyze clients’ balance sheets (e.g., forward cash flow and net income) and synthesize the analysis into board-level strategic recommendations.

McKinsey & Co. Engagement Manager, Financial Institutions Group 9/01-10/04, Stamford, CT Sample engagements: redesign and optimization of accounting and operations, development of a new service framework in Private Banking, redesign of payments and recordkeeping systems at a , development of a firm-wide client retention strategy in Asset Management.

EDUCATION Yale University. PhD, Theoretical Physics (2001). Publications have 3,000+ citations and used in Quantum Computing efforts (e.g., at Microsoft). Continuing to publish and give talks on Condensed Matter Theory and Quantum Computing.

Cambridge University. MS, Applied Mathematics and Theoretical Physics (1995)

University of Chicago. BA, Physics (1994)

NEC Research Institute (Princeton, NJ). Researcher (2000-2001). Biophysics of protein folding.

Awards National Science Foundation Fellow, 1995-98. One of sixty-one national winners. Winston Churchill Fellow, 1994-95. One of ten national winners. Yale Gibbs Physics Fellow, 1995. Single winner. Merit Scholarship, Full tuition for four years, University of Chicago, 1990-94. One of two winners.

OTHER Board of Trustees, Winston Churchill Foundation. Co-founder of a start-up in scientific publishing. Varsity Fencing Team, University of Chicago; Alternate Squad, Cambridge University (Foil) Full fluency in Russian and reading knowledge of French.

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