Gorazd Brumen

Quantitative developer and financial engineer with two doctorates - a PhD in Mathematics (University of Ljubljana, 2007) and a Dr. oec. in Quantitative Finance (University of Zurich, 2009) - plus an MSc in Quantitative Finance from ETH Zurich. Career spans front-office and risk quant/engineering roles: Morgan Stanley (commodities model validation, C++ skew simulation), Bank of America (USD swaps desk strat and Risk Optimization Desk, SOFR yield curve), the quant-technology firm Beacon Platform, the hedge fund Millennium as a Quantitative Developer, and Fidelity Digital Assets Services. Skills span quantitative analytics, derivatives, options, fixed income, commodity risk, and Python/Rust/CUDA low-latency and GPU development.

Notes13

• Quant employment verification: CONFIRMED. Gorezd Brumen has actual past/present quant-finance employment, not merely student programs. Verified quant roles: Quantitative Developer at Millennium (index-only, 2025), Vice President on the USD swaps desk strat / Risk Optimization Desk at Bank of America (2017-2022, index-only), VP in commodities model validation at Morgan Stanley (2014-2017, index-only but independently corroborated by the SFI 2008-09 activity report naming 'Gorazd Brumen, Morgan Stanley Risk Management Group, London'), Client Engineering at quant-technology firm Beacon Platform (2022-2025, index-only), and Principal Software Engineer at Fidelity Digital Assets Services LLC (2026-, index-only). Employer classification: Millennium Management LLC is a global multistrategy hedge fund (quant strategies, ~$92bn AUM); Bank of America and Morgan Stanley are global banks whose roles here are desk-strat/quant-risk; Beacon Platform is a financial-technology firm providing quantitative development/trading and risk infrastructure; Fidelity Digital Assets Services LLC provides crypto trading and custody. Identity is supported by the IMO 1995 Slovenia record, Math Genealogy, SFI, ResearchGate, and his own GitHub bio. Caveat: the detailed role list and dates come from LinkedIn enrichment (an index/aggregator), not independent primary-source confirmation; the Millennium and Fidelity roles in particular are index-only and not confirmed by a primary source.2026
• His self-authored GitHub bio reads 'PhD University of Zuerich, Quantitative Finance. Worked for Morgan Stanley, Bank of America, Beacon Platform, Millennium, and Fidelity Digital Assets.' This is a primary, self-written corroboration of the employer list.2026
• Named in the Swiss Finance Institute 2008-09 Activity Report as 'Gorazd Brumen, Morgan Stanley Risk Management Group, London' - an independent, non-index confirmation of Morgan Stanley employment in the risk/quant area at that time.2009
• At Bank of America he worked on the USD swaps desk strat and the Risk Optimization Desk, contributed to the implementation of a SOFR-based yield curve, and managed daily trade-flow operations for book PV and risk - a front-office quantitative-engineering role.2017-2022
• The current title 'Principal Software Engineer, Fidelity Digital Assets Services LLC, Jersey City NJ (2026-)' is index-only and not confirmed by a primary source; an older ResearchGate profile still shows Morgan Stanley (London) as his institution, illustrating that index/aggregator profiles go stale and should not be read as current-employment confirmation.
• Holds two doctorates: PhD in Mathematics at the University of Ljubljana (2007, dissertation 'Models of Financial Networks', advisors Franc Forstneric and Mihael Perman) and Dr. oec. at the University of Zurich (2009, dissertation 'The effects of networks and informations on asset pricing', advisor Rajna Gibson Brandon).2009
• At Morgan Stanley (VP, 2014-2017) he worked in the model validation group for the commodities asset class, automating model reviews and building a benchmark pricing/risk-management system; earlier as Associate he wrote a C++ multi-processing commodity skew market simulation model.2014-2017
• Fidelity Digital Assets Services LLC provides crypto trading and custody for institutional investors - the Fidelity unit behind the Fidelity Crypto product - so his Principal Software Engineer role there is in a crypto trading/custody firm rather than a classical hedge fund.
• Co-authored SSRN paper 'Pricing Credit Risk in Buyer-Supplier Networks' (with Paolo Vanini, University of Basel), proposing a structural model of firm dependence in vertically connected networks and deriving formulas for corporate debt, CDS and CDOs.May 13, 2008
• Authored SSRN paper 'Pricing Effects of Crossholdings in a Network Environment' (University of Zurich - Swiss Banking Institute; Princeton - Bendheim Center for Finance), a structural model of debt pricing and contagion in crossholding networks.2008
• IMO 1995 (Slovenia): awarded an Honorable Mention with 7 points (all from Problem 1), rank 329 of the field (20.4th percentile).Jul 1995
• Was a visiting student at Princeton's Bendheim Center for Finance in spring 2008 while a PhD candidate at the University of Zurich; LinkedIn lists a Princeton 'Visiting Scholar Research Collaborator, Quantitative Finance' role 2008-2009.2008-2009