Terry Benzschawel is a Managing Director in Citigroup's Institutional Clients Business. Terry heads the Quantitative Credit Trading & Data Science group which develops and implements quantitative tools and strategies for credit market trading and risk management, both for Citi's clients and for in-house applications. Some sample tools include models of corporate default and recovery values, relative value of corporate bonds, loans, and credit default swaps, credit portfolio optimization, credit derivative trades, capital structure arbitrage, measuring and hedging liquidity risk, and cross-credit-sector asset allocation.
Terry received his Ph.D. in Experimental Psychology from Indiana University (1980) and his B.A. (with Distinction) from the University of Wisconsin (1975). His Ph.D. thesis concerned development of a neural model of the human visual system. Terry has done post-doctoral fellowships in Optometry at the University of California at Berkeley and in Ophthalmology at the Johns Hopkins University School of Medicine and was a visiting scientist at the IBM Thomas J. Watson Research Center prior to embarking on a career in finance. He currently serves on the steering committees of the Masters of Financial Engineering Programs at the University of California at Berkeley and the University of California at Los Angeles and Carnegie Mellon University's Computational Finance Program.
In 1988, Terry began his financial career at Chase Manhattan Bank, building genetic algorithms to predict corporate bankruptcy. In 1990, he was hired by Citibank to build the first neural networks to detect fraud on their credit card portfolios and to predict credit card attrition. In 1992 he moved to investment banking at Salomon
Brothers where he built models for proprietary trading in bonds, currencies and derivative securities in Salomon's Fixed Income Arbitrage Group. In 1998, he moved to the Fixed Income Strategy department as a credit strategist with a focus on client-oriented solutions across all credit markets and has worked in related roles since then. Terry was promoted to Managing Director at Citi in 2008.
Terry is a frequent speaker at industry conferences and events and has lectured on credit modelling at major universities. In addition, he has published over a dozen articles in refereed journals and is author of two books: CREDIT MODELING: FACTS, THEORIES AND APPLICATIONS and CREDIT MODELING: ADVANCED TOPICS. In addition, Terry has been the instructor for courses in credit modelling for Incisive Media and the Centre for Finance Professionals. Finally, Terry has taught a course on credit modelling at Russia's Sberbank in Moscow.