SUMMARY

• 7 years of experience with dealer side capital market on fixed income, derivatives, e - trading and regulatory initiatives.
• Experienced in writing API add-ons around trading and data systems like Bloomberg, ION, Broadway and Calypso.
• Implemented pricing library for bond, interest rate derivatives and ETF like total return swaps.
• Working knowledge in various future, swap and interest rate derivative products from CME and Montreal Exchange
• Experienced in implementing credit risk stress testing models.
• Liquidity risk model implementation with impact on position size and per tick execution data from KDB
• Experience with the following trading product:
• Sovereign Government Treasury Bill/Bonds, Corporate Bonds, Convertible Bond, Structured Notes
• Short term Money Market, Commercial Papers, Bankers’ Acceptance Note, BDN
• Interest Rate Swaps, Rates derivatives like bond futures/options, CDS, FX Swap
• FRA, CAD float basis swap, Cross-currency basis swap, special swaps like Semi-Bond vs 3month CDOR
• Programming in Java, C++ and C#.NET.
• Java containers, JMS, Hibernate, multithreading and client-server structured applications.
• Java implementation of Model-View-Controller frame works using Spring MVC
• DAO classes in persistence layer using Spring and Hibernate for DB interactions.
• Bloomberg TOMS, AIMS, ECPX, ALLQ, ION Marketview/Anvil and Sungard Apama
• Broadway Dealer, Calypso Report Java API, ION Java API
• Writing C++ as COM dll to be called by Excel VBA. Visual Studio Tools for Office
• SAS ETL, Oracle 11G, SQL Server 2008, Netezza database, PL/SQL, stored procedure, linked server.

PROFESSIONAL EXPERIENCE

Confidential

Technical Business Analyst

Responsibilities:

• Rectified on the pricing/risk of callable security, inflation-linked security fixed-to-float and MBS pools.
• Write customized code that publish and subscribe data from common data chain
• Adhoc fix on DV01(Bond duration) of cash and derivative securities.
• Candeal negotiation protocol upgrade from DPL to FIX, initiation of list trading on Candeal.
• Creating adhoc report of best executable price, position size impact from KDB versus RFQ deal-done price
• Implement and fix bugs in trade split and trade swing that bring trade across different entities
• Matching when-issue and re-issue Canadian Treasury bill, and replace off-the-run treasuries on quarterly rolls.
• Improved electronic reply on customer inquiries (RFQ) on liquid cash product.
• Fixed straight-through processing issues for Espeed electronic market FIX post trade feed
• Implemented a multi-threaded trade entry validator with ION Java API.
• Publish external benchmark (DEX yield) for less liquid corporate securities.
• Added the generic pricing program for Columbia and Mexican bond tickers and derivatives
• Processing MarketAxess, BrokerTec, Espeed, MX, Tullet, CBID,BGC post-trade feed with strategy and special rolls
• Improved the reply of RFQs (request for quote) from Bloomberg BTS and Tradeweb.
• Write custom spreadsheet Tcl/Tk functions to enable function calls from Excel plugins to the pricing engine.
• Resolving the quote unit difference between the dealer-to-dealer, dealer-to-institutional and retail customer
• Maintain interest rate derivatives offerings on Bloomberg GDCO monitor page via ION MMI.
• Using CME last settlement price to overwrite ION closing price for US treasury and Euro-dollar futures
• Customized RFQ frame for irregular forward settlement inquiry (more than T+3)
• Adhoc support to repo trading platform and mortgage back security underwriting platform
• Regular code housekeeping via Github

Confidential

Senior Developer

Responsibilities:

• Implemented PD, LGD and EAD models for the buy-side asset management business.
• Focusing on customized PD, LGD (loss given default) and RWA (risk weighted assets) related models implementation for MBS, Repo and derivative product, according to regulatory requirement like ICAAP, CCAR and DFAST (Dodd-Frank).
• Integrated result of base/adverse/severe adverse scenarios calculation. Mapped macroeconomic variables with models, risk factors. Re-evaluate holding as trading security, held-for-sale security and held-to maturity categories.
• Incorporated proprietary liquidity risk model to existing LGD and EAD models.
• Coded a Java controller that processed the query object between the risk engine and the front-end interface.
• Using ETL tools that periodically update wholesale LGD data cubes
• Built capital stress testing and valuation adjustment library for credit default swap, collateralized mortgage loans.

Senior Developer

Confidential

Responsibilities:

• Real-time market data relay interfaces from TOMS to Oracle database and Broadridge Impact.
• Worked on AML, MSRB, Dodd Frank initiatives for compound product (butterfly/multi-leg trades).
• Creating KDB report that compares the correlation of equity and corporate bond price on debt level change.
• Coded an auxiliary trade processor that decomposes compound product trade from Bloomberg.
• Coded the periodic updater that calibrates the pricing of real return bond upon rates reset.
• Fixed bugs in fixed-to-float, amortizing bond, treasury WI (when-issue) problems in pricing P&L library.
• Using Broadway TOC API to build benchmark yield curve, carry/roll calculation to support swap spread arbitrage trading
• Designed analytics cubes for liquidity ratio reports that in corporate bonds price volatility and trading volume.
• Integrated cash/derivatives trades and market data into a OLAP cube.
• Created desktop Winform Excel application upon adhoc request from traders with TOC CabinetClient32.
• Built an Excel based offer/price negotiation for money market ECNs: ECPX BOOM on a client-server structure.
• Create mark-to-market, matrix and customized security price that feeds to TOMS and AIMS.
• Built desktop app (client-server based) to push/pull market risk data via Bloomberg API/Data Licenses and SAPI.
• Writing interest rate derivative report using Calypso Report Jave API. ePLRS: Reconciliation with legacy Rolfe-Nolan system on treasury futures and options
• Sales commission report for tri-party repo, floating rate note, MBS and Yankee bond, cross-currency swaps.
• Lead interns and contractors in Bloomberg TOMS related improvements.