Quantitative Excellence
Quantitative Analyst • LIBOR Specialist
PhD in Quantitative Finance
Delivering rigorous quantitative solutions for interest rate derivatives, LIBOR transition, and risk analytics across global financial institutions.
[ 01 ] About
Jonathan Schachter, PhD
With over two decades in quantitative finance, Jonathan Schachter brings deep expertise in interest rate derivatives, LIBOR transition strategies, and advanced risk analytics to the world's leading financial institutions.
His work spans the full spectrum of quantitative analysis — from building multi-curve pricing engines to advising on regulatory compliance for benchmark rate transitions affecting trillions in notional value.
A published researcher and sought-after consultant, Jonathan combines academic rigor with practical market insight to deliver solutions that perform under real-world conditions.
Years Experience
Notional Analyzed
Publications
Global Institutions
[ 02 ] Expertise
End-to-end advisory on benchmark rate transitions — SOFR, SONIA, €STR. Multi-curve framework design, fallback provisions, and basis risk quantification for portfolios exceeding $500B notional.
Monte Carlo and lattice-based pricing engines for exotic interest rate derivatives. Swaptions, caps/floors, CMS products, and path-dependent structures with calibrated volatility surfaces.
Value-at-Risk frameworks, stress testing suites, and regulatory capital optimization. Historical and Monte Carlo VaR with full backtesting, Basel III/IV compliance, and FRTB implementation.
[ 03 ] Selected Work
Designed multi-curve modeling architecture for SOFR migration across a $2.4T notional derivative portfolio at a top-10 global bank.
Built a Monte Carlo pricing engine for path-dependent exotic derivatives including autocallables, snowballs, and TARNs.
Developed comprehensive Value-at-Risk framework with historical simulation, Monte Carlo, and regulatory stress testing for Basel III compliance.
"Jonathan's quantitative rigor and deep understanding of rate markets made him indispensable during our LIBOR transition. His models didn't just work in theory — they performed under stress."
Senior Managing Director — Global Investment Bank
[ 04 ] Contact
Whether you need quantitative modeling, LIBOR transition advisory, or risk analytics expertise — I bring two decades of institutional experience to every engagement.
Describe your quantitative challenge. I typically respond within 24 hours to discuss scope, approach, and timeline.