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Marshall Alphonso

Lecturer; Principal Global Lead Engineer, MathWorks

Marshall Alphonso specializes in quantitative finance and is currently the principal global lead engineer at MathWorks for the top tier 1 banks. He has a passion for teaching and has over 10+ years of experience training clients at over 250 companies, including top hedge funds, banks, and other financial institutions around the world. In addition to US-based finance, he has had significant experience working closely with the middle east for a number of years in multi-asset class portfolios with complex value-based optimizations.

As an advisor to the CIO of McKinsey and Co. Investment office, Marshall was responsible for the design and implementation of a multi-million dollar complex foreign exchange portfolio of derivative products during the euro crisis. During this time, he was responsible for all strategic quantitative work at the firm to manage the $8.5 billion dollars of exposure and identify new alpha opportunities during the crisis. In addition, his extensive experience includes advisory responsibilities to the CRO of McKinsey & Co. Investment Office to design and implement a fund liquidity framework, stress testing framework, and a multitude of quantitative risk and investment tools, enabling evaluation of exposures for risk and attribution.

Prior non-finance experience included the use of artificial intelligence and advanced statistical signal processing in communication and geostationary satellite systems. In addition, he has designed imaging and tracking algorithms for high inclination comets in support of a European Space Agency project. 

Education

M.S., Electrical Engineering, George Mason University

B.S., Electrical Engineering and Mathematics, Purdue University