SUMMARY:

• Derivatives’ desk analyst and front office developer, authoring applications in C#, C++, Python & MS SQL Server.
• Act as a team lead on the Interest Rate and Credit trading desk which supported the real - time valuation & risk management of all of our derivatives' products. This team manages the trade blotter environment for all of our traders for over a decade. This blotter environment comes equipped with various real-time c# applications and spreadsheet pricers that call into C++ valuation dlls, maintained by my team.
• Code primarily in C#, C, C++, and Python; as well as Excel & VBA, when prototyping.
• Interface with the major market data providers’ APIs (Bloomberg, Reuters, & BrokerTec) for real-time market data feed subscription/poll client application development.
• Fully functional on the Bloomberg terminal, for real-time interaction with traders, marketers, and/or risk managers.
• Work with IBM WebSphere MQ for queue-based transfer logic, as well as broadcasting/subscribing to Topics.

PROFESSIONAL EXPERIENCE:

Confidential, New York, NY

Front Office Analyst

Responsibilities:

• Authoring risk management & middle office reports, written in C++, Python and Quartz DB (BOA’s object DB)
• 2nd Day Pricing and P&L Verification of Rates, Credit, and Muni Bond deals

Confidential, New York, NY

Vice President/Team Lead

• Collaborate with global interest rate and credit quant analyst teams, designing collateral based valuation engine.
• Authored all of our valuation and risk mgmt tools: most have been written in-house, while others have been written collaboratively with Tokyo developers.
• Authored all of our main valuation and risk mgmt reports, in conjunction with the Market Risk group
• Led team in developing and introducing a global collateral valuation front-end tool (C# 2012) to Interest Rate Traders & Marketers. The tool exhibited the following:
• Real-time CSA valuation engine, building xccy curves to track OIS in various currencies.
• Supported products are: IRS, CRS, IRG, IR Options (Euro and Berm), and FRA.
• Feeds real-time risk to the traders' hedge mgmt system, for proper intra-day portfolio risk mgmt.
• Written in C# utilizing DevComponents toolkit, and poles Reuters framework for real-time market data feed.
• Main Risk Report - designed, coded, back-tested, released to production
• Authored the main Risk Report (c# 2012) given the aforementioned csa curve components and traded products.
• The report exhibits the various traded products & currencies, given the curve components.
• All views exhibit component-level aggregates, as well as full term structure view using a global term structure approach
• Additional views that exhibit day-over-day risk factor differences
• Written in C# utilizing MSOffice components, to produce new MS Excel spreadsheets (report requirements).
• P&L Explain Report - designed, coded, back-tested, released to production
• Authored the P&L Explain report (c# 2012 & sql server).
• This report satisfied the Volcker P&L attribution requirement for our various desks.
• The report forecasts P&L within a small threshold, given the various trade life-cycle activities within portfolios.
• The report exhibits the various p&l attributes, given the numerous curve inputs and their corresponding risk outputs.
• Risk Metrics Valuation Coordinator - designed, coded, released to production
• Led team who developed the feed to interface our trades and market data to Risk Metrics servers.
• Coordinated all: curve builds, including market data back-fill when necessary; proper remote representation of our deals for effective 3rd party valuation and risk mgmt of our deals; deal life-cycle valuation discrepancy management
• Trade Blotter - designed, coded, released to production, maintained for years
• Authored an Interest Rate and Credit Default Swap Trade Blotter (c# 2008, 2012).
• Provides real-time mtm and risk measures: delta, ccybasis, tenor basis, libor-ois basis, as well as cva.
• Utilizes real-time Bloomberg market data.
• Utilizes background threaded curve construction, for consistent "almost real-time" curves.
• Written in C# utilizing datagridviews for easy copy/paste to excel.
• Calls into various C++ based dlls, both from the C# tools as well as various spreadsheets.
• All of the various intra-day trader reports are available within the application
• Migration from Summit to official head-office global derivatives booking and operations system
• Spearheaded the export of our Interest Rate and Credit Derivatives from our then-current Summit derivatives system, to the newly available head-office global booking and operations system
• My team was responsible for the proper aligning of expectations in valuation done in the new system
• There were several complications we faced: poor curve interpolation, in the new head office system, made for extremely poor valuation results
• This necessitated the development of the aforementioned Trade Blotter, where we had incorporated the various popular curve interpolation approaches: monotone convex, cubic spline, etc..

Confidential, New York, NY

AVP

• Various in-house interest rate derivatives valuation applications, including historical simulation VAR Was responsible for calibrating expectations from our VAR, given our Interest Rate trading portfolio. Authored several PowerBuilder screens, going against the in-house database schema, which provided the following:
• Interest Rate Swaps, Caps, Floors, and European Swaption valuations
• Market data management, post middle office snap and database commit
• Pulled market data from Telerate real-time feed