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Jeff Greco

Senior Director - Head of Strategy Research
Chicago, IL, US

Jeff is a portfolio manager with Milliman’s Financial Risk Management practice in Chicago. He implements managed risk strategies on market portfolios, and researches hedging methodologies, volatility and return distributions.

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Experience

Jeff’s expertise covers a wide range of applications, including portfolio modeling, risk management, trading strategy development, and derivatives pricing. He has more than 25 years of quantitative finance experience, including serving as a risk management professional at Citadel LLC, senior quantitative strategist at Deutsche Bank, and senior research analyst at Bank of America. Additionally, Jeff has been teaching as an adjunct professor for more than 20 years, currently for Carnegie Mellon University's Master of Science in Computational Finance (MSCF) Program and previously for the University of Chicago’s Financial Mathematics graduate program.

Publications

Read their latest work

Article

投資リスクの低減：Milliman Financial Risk Managementホワイトペーパー：2020年第1四半期

16 October 2020 - by Adam Schenck, Jeff Greco, Joe Becker, Ram Kelkar
2020年第1四半期の新型コロナウイルス発生時の市場の縮小は、リスク管理された運用商品の2008年の金融危機以降最大のテストとなりました。本紙では、この下落を歴史的背景に関連付けてMilliman FRMのプロダクツのパフォーマンスを検証します。
Article

Investment risk reduction: Milliman Financial Risk Management white paper Q1 2020

16 October 2020 - by Adam Schenck, Jeff Greco, Joe Becker, Ram Kelkar
The market contraction at the onset of the coronavirus pandemic in Q1 2020 was the biggest test of risk-managed investment products since the 2008 financial crisis. This paper puts the downturn into historical context and examines how Milliman FRM's products performed.
Article

Constructing discount curves under LDTI

22 April 2020 - by Josh Dobiac, Bill Matczak, Jeff Greco
This white paper examines the process of constructing discount curves in accordance with Long Duration Targeted Improvements, including the criteria that should be used, and assesses the quality of the different algorithms used to build out a complete curve (including interpolation, extrapolation, and smoothing).
Article

Milliman FRM Insight: June 2016 Market Commentary: Brexit

29 June 2016 - by Joe Becker, Jeff Greco, Adam Schenck
Leading up to the June 23 referendum vote, markets underestimated the strength and widespread nature of the sentiment held by Britons intent on leaving the European Union.
Article

Milliman FRM Insight：2016年6月のマーケットコメント：Brexit（英語版のみ）

29 June 2016 - by Joe Becker, Jeff Greco, Adam Schenck
6月23日の国民投票まで、イギリス人が持つEU離脱に向けた意思の強さと広がりを市場は過小評価していました。
Article

Milliman FRM Insight: April 2016 Market Commentary

08 May 2016 - by Joe Becker, Jeff Greco, Adam Schenck
After trending down through much of February and March, US volatility leveled off in April and remained low as investors absorbed incoming quarterly earnings data.
Article

Milliman FRM Insight：2016年4月のマーケットコメント（英語版のみ）

08 May 2016 - by Joe Becker, Jeff Greco, Adam Schenck
2月、3月の大部分を通して下げ基調の後、四半期収益データを投資家が織り込んだため、米国のボラティリティーは4月に横ばいとなりました。
Article

Milliman FRM Insight：2016年3月のマーケットコメント（英語版のみ）

08 April 2016 - by Joe Becker, Jeff Greco, Adam Schenck
3月は、2月後半の反転が継続しました。米国、先進国、新興国の市場が、全て着実に上昇し、（EAFEを除いて）年初来高値の領域に入ってきました。
Article

Milliman FRM Insight: March 2016 Market Commentary

08 April 2016 - by Joe Becker, Jeff Greco, Adam Schenck
March saw a continuation of February’s second half reversal as U.S., developed, and emerging markets all moved firmly higher and (with the exception of EAFE) into positive year-to-date territory.
Article

Milliman FRM Insight: February 2016 Market Commentary

07 March 2016 - by Joe Becker, Jeff Greco, Adam Schenck
In February, markets followed a path similar to the one they followed in January.