Information technology and finance professional with over 15 years’ experience working in domestic and international financial institutions. For ten years, served as information technology professional developing and implementing fixed income derivatives models, as well as supporting interest rate derivatives, credit derivatives, municipal and MBS desks: working closely with traders, risk control, middle office and IT. Experience working extensively on front to back trading systems such as Summit (including Summit API), Murex, Polypaths. Since 2008, independent consultant, working on market/credit/liquidity risk systems with a strong focus on derivatives for investment banks, pension funds and insurance companies, in projects motivated by new regulations (FRTB: Fundamental Review of Trading Book, CCAR) or related to counterparty credit risk management (EPE, CVA, XVA), interfacing with Front Office quants, risk managers, risk analytics and developers.
• Manage projects end to end from specifications (BRD) to delivery (timeline, dependency on other workstream, impact on existing applications, converting high level specs into low level action items, check implementation post deployment) • Front office quantitative analytics: use of MQA libraries: dp, Ark, Scooby for IR products, Comlib for commodity products, CFX library for FX spot, FX option and Digital Asset to validate risk calculation • Risk quantitative analytics: correlation matrix for VaR and CCR, outlier detection on time series (in python), time series filling (in python), MCVaR calculation, HVaR calculation, PFE calculation.
• Design Front Office intraday risk system for various business lines in New York, London, Tokyo, Singapore: global macro rates (interest rate & FX & inflation derivatives), global credit products (credit derivatives), securitized products (MBS), CVA desk and emerging market desks. • Analyze impact of the new regulation FRTB (standard rules and internal model) on Front Office risk measures, valuation models, market data (index) and reference data for all asset classes (IR, FX, Credit, Equity, Securitized Products) • Design a Front Office application for FRTB-MDM work-stream (Market Data Modelability) in order to prove that a given market data or “risk factor” is actively traded.
• Review and document the use of various risk and performance analytics in different groups across TIAA. These groups include Valuations, Market Risk, Credit Risk, Front and Middle Office in Asset Management, Finance, Actuarial and various business units under Diversified Financial Services. • Implement CCAR like stress tests in Citi YieldBook and Barclays Point. Work with these two vendors to setup horizon analysis and model macro-economic factors required for CCAR.
• Implementation of FRTB-SA using greeks: delta, vega and curvature, JTD calculated by Front Office system (Murex, Polypaths, Bloomberg analytics) for all asset classes in python 3.8 • Comparison/reconciliation between local calculator charge (SBM, DRC) and charge provided by global application (Matsuri) • Document fields required for SBM/DRC CRIF input file, based on shock records provided by FO • Integrate new asset class, new typology (ex: commodity index) or new risk measure (ex Murex JTD) • Review of FO quantitative analytics (pricing, greeks) of FX option (vanilla, digital, barrier, TARN, reverse knock out,..), IR swap/option and equity options (ex: autocall) in Murex, • Analysis of shock records/reference data performed in SQL
Reengineering of RBS credit risk engine (trading book) motivated by the regulator (FSA). • Create business requirement documents and functional requirement documents in order to deploy a PFE approximation engine for complex trades as well as a module to compute PFE of vanilla fixed income derivatives. • Project management: write terms of reference and project initiation document.
Validate the booking of over 250 exotic interest rate and FX trades (target swaps, volatility bond, hybrid FX-IR, hybrid Equity-IR). • For each trade, analyze the term sheet, check the payoff entered in the system as well as the model selected to price and hedge. Use of internal GRFN (general risk function) language to book complex trades.
Implementation of RiskWatch (Algorithmics) for Solvency II. • Modeling of diverse products (inflation swap, index CDS, CDO, callable bond) in RiskWatch (RW): setup structured trade using the SPM module, finalize specs (for vanilla products) and data feed (market data, trade data and model parameters). • Analyze term sheets for complex deals (CDO, exotic inflation swaps). • Build prototypes in Excel to validate RW model, with FINCAD pricing library.
Developed and tested quantitative models used by NATIXIS trading desks in the trading platform Summit. This involved writing specs, designing the software, coding, testing, documenting the results, writing directions for use and coordinating between Front Office (swap/option desk, credit derivatives desk), IT and Risk Control.
Built pricing models for fixed income products in Visual C++.
