Laurent Hoffmann

Joined Shell's Crude Oil Trading desk - Europe, East of Suez & Derivatives as Quant Analyst / Strategist to lead development and management of the physical options platform and quantitative strategies: option volatility and other strategies in crude oil derivatives, and serve as driver of P&L generation.

Key Responsibilities

• Lead efforts in building a state-of the-art in-house pricing and risk management platform for physical options to improve business efficiency by allowing physical traders to structure and manage their own options, thereby boosting time-efficiency of the options execution team.
• Lead efforts in developing a new speculative paper options trading book, with the objective to build a portfolio of derivatives strategies, including futures and swap strategies. In my position I have VaR decision-making rights and PnL accountability.
• Mentoring and development of junior traders and trading analysts.

Key Achievements

• Single-handedly redesigned/reimplemented the business' existing pricing and risk management platform for physical options (IMA options).
• Leveraging previous work in power and gas quantitative analytics, contributed key building blocks to an existing backtesting framework used in quantitative trading strategies development: risk and performance metrics, walk-forward and simulation analytics. The framework which is linked to real-time data is also used for hedging and risk management by the options execution team.

Joined Shell Energy Trading as Quant Analytics Lead to lead SE-EA's (Shell Energy - Europe & Africa) efforts to build out and centralize quant and trading analytics capabilities across Power, Gas and Emissions to support Trading, Origination and Deal Structuring.

Key Responsibilities

• Led efficient and motivated quant team of analysts and developers, responsible for delivering models, methods and tools for pricing, hedging and decision-making to support deal structuring, trading and origination businesses. Quantitative developments and implementations cover key components in both power and gas value chains, including forward curve shaping, PPA, CCGT, interconnectors, gas storages and swing options, gas transportation and pipeline capacity.
• Led quant analytics team in building energy and cross-commodity derivatives and structured products system and related ecosystem of tools and services including pricing and hedging libraries and their interfaces.
• Led gas trading desk quant team in successfully supporting gas trading, including all proprietary trading, and fundamental analysis teams with model development and real option analytics for pricing, hedging and trading of gas storages, swing options, transportation and pipeline capacity options, financial gas options, and risk premium calculations.
• Leading manager in driving collaboration with LNG trading business and firm-wide market & credit risk management.

Key Achievements

• Seeded, hired and built SE-EA's quant analytics team (12 quants & quant devs) with strategic and clear vision for scalability and efficiency to support SE-EA and Environmental Product Trading Business' growing businesses.
• Supported by senior management, successfully spearheaded efforts to develop and structure new SE-EA Quant-IT framework with objective to centralise quant analytics within SE-EA.
• In 2022 and 2023 led gas quant team, spearheaded R&D of new real option models, and was involved in all modelling and implementation aspects supporting SE-EA's successful gas trading business in natural gas transportation, capacity, storages (including LNG), and gas sales agreements. Gas quants made significant contributions in 2022, the business' best trading year to date ($1.5+bln).
• In 2021 & 2022 led R&D, design and delivery to the business of a platform for quant libraries and services for valuation, decision making, and portfolio analytics. Developed and implemented the first version of the quant library before hiring a lead quant developer for the library work.

Quantitative researcher, portfolio manager and advisor to hedge funds and alternative investment managers.
May 2016 - January 2021: Proprietary trading managing a systematic portfolio strategy, and advising hedge funds on quantitative credit strategies.
February 2018 - January 2019: Partnered with Amadeus Investment Partners ($250mln), a Toronto-based hedge fund, as a quantitative researcher and portfolio manager, to develop systematic credit strategies to complement the firm’s data-driven equity strategies. My collaboration with AIP ended after the firm’s decision to shelve the credit fund following a difficult end of year 2018. AIP stopped trading in 2020.

Key Responsibilities

• R&D and implementation of value, momentum, low-risk and carry factor investing and other systematic strategies (index inefficiencies, market timing) for US IG & HY corporate bonds and global credit indices.
• Developed data models and risk & portfolio analytics for asset allocations built on leading technology stacks.
• Led team (2-4 analysts, data scientists) in credit investment research at AIP.

Key Achievements

• Successfully pitched credit investment strategies and data analytics to AIP and other investment managers (credit and global macro hedge funds [each AUM $3+bln]) and spearheaded researchers and data scientists into developing in-house systematic credit investment capabilities.
• Successfully assisted AIP raise capital ($15mln) for the systematic corporate credit fund.
• Profitably managed with 2 portfolio managers a small hedge fund strategy ($2+mln): dynamic & globally diversified portfolio strategy (min leverage) of index funds & ETFs driven by value and momentum factors, generating net-of-cost annualized nominal returns of 10.2% (Vol: 7.2%, SR: 1+) between 2016 and 2021. Stopped trading the strategy after unsuccessful attempts to raise target capital.

Initially recruited to model and develop pricing and hedging strategies for DePfa Bank's multibillion proprietary structured rates carry portfolio before being promoted to bank's proprietary credit arbitrage desk (internal hedge fund) and later to DePfa/FMS-WM's asset management unit as senior quantitative analyst, researcher and portfolio manager (PnL accountability).

Key Responsibilities

• Researched, analyzed and modelled drivers of global economic and political environment to identify profitable fixed-income & credit trading opportunities in developed & emerging markets; all credit asset classes: cash and derivatives (including CDS, swaps, options); flow & structured.
• Key member of portfolio management team that worked alongside German Agency (FMS-WM) in tactically & strategically winding down legacy assets (€130+bln) originating from various banks and their associated hedges in most value preserving manner.
• Modelled and co-managed European structured products (SF CDO, RMBS, CMBS, CLO )(€3+bln), and sovereign CDS-bond basis arbitrage portfolios (€1+bln) and made key contributions to strategy structuring of financials portfolios, involving bonds, swaps, CDS and options.

Key Achievements

• Led team of 2-4 quants in R&D of proprietary asset/derivatives pricing and risk and portfolio management systems that played a key role in successfully delivering profits of €100+mln during Global Financial Crisis 2008 and navigating the challenging market conditions of the European Sovereign Debt Crisis (2009-2014).
• Spearheaded trading strategy research (relative value, risk premia, quantamental, macro) and development of risk and portfolio management systems that contributed significantly to proprietary trading business' success.
• Delivered key insights, research and analytics that drove strategy structuring and decision-making pivotal to successes of portfolio management that included €1.5+bln value enhancement (P&L) through restructurings and investments, €20+bln portfolio reduction through sales and €15+bn portfolio reduction through buy-backs, redemptions and maturities.
  

Key Responsibilities

• Performed model validation of risk management systems and implemented pricing and hedging models for fixed income and structured credit derivatives as part of client mandates and in-house projects.
• Designed and implemented stochastic cashflow and risk measurement models for structured finance products clients specializing in transport (Aviation, Shipping) and real estate finance (ABS, cashflow CDOs, CMBS, RMBS).
• Performed corporate (IG&HY, leveraged loans) and distressed debt analysis as part of financial and credit risk modelling mandates.

Key Achievements

• Data models and complex risk systems built for structured finance clients exceeded expectations, improved risk management performance and generating new business for d-fine.