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Eric Dennis is Head of Portfolio Analytics at PGIM Multi-Asset Solutions, leading development on a state-of-the-art platform for strategic asset allocation leveraging Prudential’s intensive asset-liability simulation capabilities.
Prior to joining PGIM, Mr. Dennis was Head of Quantitative Strategy & Research at Aflac Global Investments where he founded and led the front office quant team and drove development of a modern, cloud-based analytics platform. Built around a proprietary economic scenario generator adapted to Aflac’s unique and dynamic risk profile, this platform enabled multiple cycles of ALM-integrated strategic asset allocation for a $100 billion multi-asset portfolio, as well as major enhancements of hedging strategy and income projection.
Previously, Mr. Dennis was brought in to lead the Core Assets modeling team within Investment Analytics at AIG in the aftermath of the financial crisis, as a more rigorous approach was demanded for portfolio analytics. The team productionized the firm’s official platform for risk measurement and scenario analysis covering $200 billion in fixed income assets, including dynamic simulation of credit migration and default and a multi-factor credit asset allocation model.
Mr. Dennis has also built models for credit and foreign exchange derivatives at such places as Morgan Stanley, Goldman Sachs, and Swiss Re’s Capital Management and Advisory, where he developed a second generation of portfolio credit derivatives models, going beyond the bell curve loss assumptions required in copula models. He holds a BS in physics, with honors, from Caltech and a PhD from UC Santa Barbara involving critical early work on the theory of topological error-correction for quantum computers.
