Erik C. Email & Phone Number

Philadelphia, Pa, Us

Philadelphia, Pa, Us

Bala Cynwyd, Pennsylvania, Us

I manage a small team of quantitative developers and software developers. I work alongside the trading desk head and other technology leads to guide the future of technology in Fixed Income, determining the projects that best advance our business priorities weighing the benefits with their financial costs and any resource constraints.I significantly improved our yield calculation for US Treasury, Corporate, and Municipal bonds in terms of accuracy, speed, memory profile, and code quality and maintainability. I designed and implemented from scratch a new library for bond valuation and risk handling the most common yield conventions for securities with a variety of features including but not limited to optionality (American, European, Bermudan) and sinking funds (pro-rata, lottery, and mixed). I also spent time improving our bond reference data through better leverage of existing datasets, tactical acquisitions of new data, and improvements to the data-model in our reference data system. These improvements greatly contributed to our electronic bond MM strategies and, in conjunction with other projects in the team, allowed us to decom Bloomberg TOMS dependency saving a significant subscription cost.I spreadheaded the LIBOR transition project for the rates desk from a technology perspective. I worked with our senior fixed income quant to validate and implement curves for a SOFR-based market. I transitioned our swap portfolio risk and valuation to SOFR discounting for cleared and OTC swaps to meet LCH's October 2020 deadline. I also transitioned our LIBOR swap and swaptions trading systems to SOFR, publishing and consuming a new SOFR volatility surface in accordance with the CFTC recommendation to dealers for July 2021.

Bala Cynwyd, Pennsylvania, Us

Fixed Income Quantitative Technology - Technology solutions for quants and traders

Bala Cynwyd, Pennsylvania, Us

Software development supporting the front office support team developing in C# and VBA/Excel.

Bala Cynwyd, Pennsylvania, Us

Bala Cynwyd, Pennsylvania, Us

The position involves free-lancing around the firm to which ever group can best use my skills. My current project involves revamping an existing report, which entails finding a new data source for increased speed as well as a complete redesign of the controlling excel program.My future projects will include but are not limited to reconciliation of swap calculations, consulting on automation for the sales team, aggregation and assignment of fees, and development for excel programs needed on the Equity Options and Fixed Income desks.

Bala Cynwyd, Pennsylvania, Us

I investigated and reconciled bond and swap trades and payment, modified corporate bond repo positions to minimize brokerage fees, and restructured group responsibilities to better balance work among team members.In addition to daily tasks I also created a new excel programs, two of which are described below. The first program was to direct the job's reporting and data management requirements; drastically reducing the workload and learning curve for new co-ops. The second was designed confirm trade details with counterparties. This minor step was an important in reducing our counterparty risk as well as discovers discrepancies that would later manifest as treasury failure charges or an increased capitalization charge.

Bloomfield, Ct, Us

Part time during school:Created Excel program to reduce case scrubbing time and phase out old infrastructure. Created Excel program to aggregate, compute, and format case experience data for external brokers through coordination with Pricing, Branding, and Underwriting.

Bloomfield, Ct, Us

Performed daily,weekly, and monthly responsibilities including but not limited to assisting underwriters, compiling case documents, managing case assignments, reporting, and updating or creating reporting and assignment programs.

Bala Cynwyd, Pennsylvania, Us

Part time during school:Created automation for the upload swaps and reconciliation between in house and broker positions through use of Excel and Outlook.

Bala Cynwyd, Pennsylvania, Us

Managed the error accounts for the desk, and reconciled option trades for the Equity Options Desk. Built Access and Excel programs for better workflow and data accuracy.Took on a second internship for 1 month, as well as extra responsibilities from full employees.