• Worked with a team of Quants’ and BAs in the implementation, model review and testing of calypso v15.1 for Interest Rate Products including IRS, Basis and XCCY Swaps as well IR Options to support OTC pricing within industry standard valuation framework for a large London based hedge fund • Reviewed Calypso financial models and assist in testing within Calypso Derivative system for 1) IRS Tenor Basis calculation 2) OIS Basis discount calculation (“dual curve stripping”) 3) Vanna Volga adjustment for Exotic FX options 4) Single name CDS pricing • Increased OTC pricing coverage of derivatives i.e. CDS, LCDS, CDX, CDX Tranches, VarSwaps, Equity Derivatives, Exotic Options and Cash Bonds i.e. ABS/MBS, CDOs, Leveraged Loans / Bank Debt• Developed internal policy and guidelines to evaluate and reverse-engineer ABS / MBS prices sent by Brokers, Investment Managers and Vendor prices• Charged with the Quarterly pricing and resolution of large MTM variances for approximately 15,000 OTC derivatives and Cash instruments i.e. IRS, Muni-Swaps, Swaptions, Cap/Floors. CDS, CDX, ABX, Variance Swaps, Converts, Loans, Distressed and HY bonds for 30 Billion Institutional Stat Arb Fund • Implemented Risk based Tolerance Methodology of OTC cash instruments and derivatives across entire Fund Accountant teams • Established key relationships with the product and business development areas of SuperDerivatives, Reuters CLO & Loan Pricing Corp Services, IDC, markIT, Sungard Reech, and BLOOMBERG to drive innovation amongst vendor applications / analytics, facilitate enhancements to the current service, and obtain market color and insight.Specialties: Derivatives Valuation, P/L, Risk based Tolerance Checking