Market Risk and Product Control Technology

quantitative analytics and solutions group in market risk

- Manage intake, model development, implementation, and business requirements for centralized Risk and Valuation Services platform for the dealer

- Lead Retirement Project team in the decommission of legacy system (SUMMIT), migrating 3 trading desks processes and products to a current system (Calypso) and support complete Front-to-End integration. Interest Rate derivatives products covered include Swaps, Cross Currency Swaps, Swaptions, capfloors Bond forwards, and Cancellable/Extendible Swaps - Act as front office business lead in trading system upgrade project (Calypso), supporting front office trades entry, Top of the House risk generation, End of Day PnL valuations, and designing VBA tools for calculating and aggregating such - Design business workflow between trading systems, risk and PnL platforms, and trade reporting platforms including details such as trades booking, risk and PnL calculations, and trade info feeds.

- Team SME for TDS inter-system XML messages that enables real time PnL/risk aggregation and trade reporting for the front office - Solution design for Regulatory Trade Reporting enablement for Dodd Frank, EMIR, MAS- Implementation of PnL and Risk aggregation delivery for Volcker for the Interest Rate Derivatives space

- Implemented hedged index methodology into technology platform resulting in greatly increased NAV value accuracy for portfolio holdings - Designed and developed independent Best Execution system with VBA to provide crucial broker Business Intelligence, pulling parameters from central database updated from real time execution - Collaborated closely with Portfolio Managers to create paper portfolio from commodity futures index methodology used in client presentation detailing strategy and mock returns - Built Asset Value reporting and aggregation tools with VBA resulting in greatly improved process efficiency