Welcome
Janiele Custodio
Vice President · Fixed Income Quant

I build quantitative models, pricing tools, and data infrastructure for fixed income products. I hold a PhD in Systems Engineering from the George Washington University, where my research applied operations research to emergency response, drone logistics, supply chain optimization, and power systems optimization.

Education
George Washington University
PhD in Systems Engineering · Aug 2016 – May 2022
Concentration: Operations Research and Management Science
Thesis: Optimization Models to Aid the Reduction of Deforestation in the Brazilian Amazon: Sustainable Diets and Drone-Based Environmental Emergency Response  [link]
University of Brasília
BSc. in Production Engineering · Jul 2010 – Jul 2016
Senior Thesis: An analytical method for short-term energy portfolio optimization  [link]
Purdue University
Visiting Student · School of Industrial Engineering · Aug 2013 – Aug 2014
Skills

Languages & Tools

KDB/Q Python SQL Git

Quantitative Methods

Mixed Integer Nonlinear Programming Stochastic Programming Queueing Theory Convex Optimization Machine Learning Portfolio Optimization

Domains

Agency MBS Fixed Income E-Trading Risk Management Emergency Response Energy
Work Experience
Morgan Stanley

Quantitative research and model development for fixed income products. Work spans pricing models, trading analytics, risk management frameworks, and data infrastructure.

Vice President, Agency MBS Strat Jan 2024 – Present
Associate, Agency MBS Strat Jun 2021 – Jan 2024
Summer Associate Jun 2020 – Aug 2020
George Washington University

Research in operations research and stochastic optimization, with applications to emergency response systems, healthcare logistics, and power systems optimization. Instructor for graduate-level probability and statistics.

Graduate Teaching Assistant (Probability & Statistics) Jan 2019 – Jun 2021
Graduate Research Assistant Sep 2016 – Dec 2018
Publications
J. Custodio and H. Abeledo — Drone-Based Environmental Emergency Response in the Brazilian Amazon
Drones · 7, 554 · Aug 2023  [link]
J. Custodio and M. Lejeune — Spatiotemporal Data Set of Out-of-hospital Cardiac Arrests
INFORMS Journal on Computing · 34(1):4–10 · Jun 2022  [link]
J. Custodio, A. Zavaleta, M. Lejeune — Note on 'A Chance-Constrained Programming Framework to Handle Uncertainties in Radiation Therapy Treatment Planning'
European Journal of Operations Research · v.275, pp.793–794 · Jun 2019  [link]
R. Garcia, J. Contreras, V. Gonzalez and J. Custodio — Applying Modern Portfolio Theory for a Dynamic Energy Portfolio Allocation in Electricity Markets
Electric Power Systems Research · v.150, pp.11–23 · Sep 2017  [link]
↗ Google Scholar profile
Peer Review

Reviewer for Risk Analysis and Manufacturing & Service Operations Management.

Contact
janiele at gwu dot edu
in  LinkedIn Scholar