Dr. Canabarro, Eduardo
Eduardo Canabarro is a Managing Director
in Quantitative Risk Management with
Morgan Stanley, New York from March ’07.
He is responsible for the quantitative
methodologies employed to measure Market
and Credit Risk. He has extensive hands-on
experience with implementation of
derivatives pricing and risk models.
Eduardo Canabarro is a Managing Director
in Quantitative Risk Management with
Morgan Stanley, New York from March ’07.
He is responsible for the quantitative
methodologies employed to measure Market
and Credit Risk. He has extensive hands-on
experience with implementation of
derivatives pricing and risk models.
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Risk Who's Who™
Prior to this Eduardo was with Lehman Brothers in New York for three
years as the MD and Global Head of Quantitative Risk Management. He
was responsible for all quantitative risk functions in the corporate risk
management organization including market, credit and operational risk
analytics, model validation and risk technology. He was also responsible
for the regulatory interface of the risk management organization and for the
implementation of the quantitative components of the firm’s frameworks
used for CSE, Basel II and CAD2 (VaR). Earlier to this he was an Executive
Director in the analytics modeling group with Morgan Stanley. He has also
worked with Goldman Sachs in New York as VP Fixed Income Derivatives
Research and Quantitative Modeling, with Salomon Brothers in New York
and with Scholes Consulting in San Francisco.
Eduardo has published papers in leading journals including by BIS, ISDA,
RISK and in a book by Wiley. His coauthored papers ‘Counterparty Risk:
Measurement and Pricing’ and ‘Analysing Counterparty Risk’ provide the
background text and analytical framework for the Basel rules on regulatory
capital on counterparty credit risk. He has spoken at leading events in the
US and Europe including by Wharton, BIS, ICBI, RISK, PRMIA and IAFE.
Eduardo holds a BS in Electrical Engineering/ MBA (Finance) from Brazil, &
a MS/ PhD in Business Administration (Finance) from UC Berkeley.
years as the MD and Global Head of Quantitative Risk Management. He
was responsible for all quantitative risk functions in the corporate risk
management organization including market, credit and operational risk
analytics, model validation and risk technology. He was also responsible
for the regulatory interface of the risk management organization and for the
implementation of the quantitative components of the firm’s frameworks
used for CSE, Basel II and CAD2 (VaR). Earlier to this he was an Executive
Director in the analytics modeling group with Morgan Stanley. He has also
worked with Goldman Sachs in New York as VP Fixed Income Derivatives
Research and Quantitative Modeling, with Salomon Brothers in New York
and with Scholes Consulting in San Francisco.
Eduardo has published papers in leading journals including by BIS, ISDA,
RISK and in a book by Wiley. His coauthored papers ‘Counterparty Risk:
Measurement and Pricing’ and ‘Analysing Counterparty Risk’ provide the
background text and analytical framework for the Basel rules on regulatory
capital on counterparty credit risk. He has spoken at leading events in the
US and Europe including by Wharton, BIS, ICBI, RISK, PRMIA and IAFE.
Eduardo holds a BS in Electrical Engineering/ MBA (Finance) from Brazil, &
a MS/ PhD in Business Administration (Finance) from UC Berkeley.
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