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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

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: 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: 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.
Article

Milliman FRM Insight: January 2016 Market Commentary

08 February 2016 - by Joe Becker, Jeff Greco, Adam Schenck
Economic weakness and market turmoil in China along with the continued decline in the price of oil rattled global markets in January.
Article

Milliman FRM Insight: Mid-January 2016 Market Commentary

21 January 2016 - by Joe Becker, Jeff Greco, Adam Schenck
The S&P’s decline over the first 10 days of the year is the worst start to a new year that the index has experienced over its history, which dates back to 1928.
Article

Milliman FRM Insight: December 2015 Market Commentary

08 January 2016 - by Joe Becker, Jeff Greco, Adam Schenck
After being in positive territory for much of the first half of the year, the second half of 2015 proved to be a more challenging environment.
Article

Milliman FRM Insight: November 2015 Market Commentary

10 December 2015 - by Joe Becker, Jeff Greco, Adam Schenck
The S&P 500 finished November largely unchanged, but not without oscillation along the way.