Alpha Exchange

With more than two decades of experience trading and managing risk in sell-side and buy-side roles, Mimi Duff has learned a thing or two about high finance. In the early 1990’s she cut her teeth writing research for agency and treasury securities at Goldman Sachs. She’d later move to trading, focused on making markets in the long end utilizing a framework for the relative value of securities across the curve.We review some of the prominent risk events she’s traded through including September 11th and the reverberations of volatility in market prices that resulted. Mimi makes the point that the emotional response to an event so tragic tests a trader’s capacity to manage risk. We also explore the GFC and the front row seat that Mimi had to this event. Running the swaps trading desk at Barclays, she was responsible for the interest rate exposure that came about through the Lehman acquisition, calculating first and second order risks and then implementing a hedging program in the market.Our conversation moves to