Worked within a team of 3 to develop quantitative trading screens for a systemic strategy that performed very well in the volatile environment that accompanied 2008-2011, returning the fund 21%, 52%, and 9% in 2008, 2009, and 2010 respectively from our strategy. Primarily responsible for managing and executing trading strategies in products including, but not exclusive to, single name credit default swaps, credit default swap indices, credit default swap index tranches, and equity index… Show more Worked within a team of 3 to develop quantitative trading screens for a systemic strategy that performed very well in the volatile environment that accompanied 2008-2011, returning the fund 21%, 52%, and 9% in 2008, 2009, and 2010 respectively from our strategy. Primarily responsible for managing and executing trading strategies in products including, but not exclusive to, single name credit default swaps, credit default swap indices, credit default swap index tranches, and equity index futures. Developed a risk and PnL system that was later leveraged by IT to report trading activity and risk for the entire firm. The firm ceased operations in the fall of 2011. Show less

Assisted the Portfolio Manager in managing single name credit risks using a combination of synthetic credit indices, single name credit default swaps, and single name loan credit default swaps based on our analysis of the underlying credits. Executed trading strategies to take tactical views on correlation in both IG and HY tranches based upon our correlation exposure in bespoke tranches as well as our view on the richness or cheapness of correlation. Developed a risk calculation… Show more Assisted the Portfolio Manager in managing single name credit risks using a combination of synthetic credit indices, single name credit default swaps, and single name loan credit default swaps based on our analysis of the underlying credits. Executed trading strategies to take tactical views on correlation in both IG and HY tranches based upon our correlation exposure in bespoke tranches as well as our view on the richness or cheapness of correlation. Developed a risk calculation service for credit default swaps, bonds, and interest rate derivatives. Extended the single name credit default swap solution to calibrate base correlations across both on-the- run IG and HY portfolios, price on-the-run synthetic CDO tranches, and map bespoke synthetic CDO tranches to the appropriate base correlation curves using portfolio overlap and maturity as criteria.The firm ceased operations in the spring of 2008. Show less

Transitioned the Agency Callable desk from an Excel based system to a faster more stable Java client-server architecture integrating multiple third party transaction system with an implementation of a real time Java based pricing and risk solution for vanilla and exotic option embedded bonds.Created a real-time cross-desk aggregated front end risk solution in Excel, allowing traders to integrate their existing processes with the new Java based processes without losing the familiarity of… Show more Transitioned the Agency Callable desk from an Excel based system to a faster more stable Java client-server architecture integrating multiple third party transaction system with an implementation of a real time Java based pricing and risk solution for vanilla and exotic option embedded bonds.Created a real-time cross-desk aggregated front end risk solution in Excel, allowing traders to integrate their existing processes with the new Java based processes without losing the familiarity of ease of use in Excel. Worked with Agency Bullet desk to develop a pricing and risk sheet displaying real-time relative richness and cheapness of bullet issues versus several modeled curves in Excel utilizing an add-in developed in VB.Net. Show less