Simon Watson Email & Phone Number

Sydney, Nsw, Au

Sydney, Nsw, Au

Sydney, Australia

Role taken to build Data Science team at NAB in Global Markets Technology initially looking at the roll-out of the Trade Lifecycle Surveillance system integrating a Kdb platform with NAB deal systems.Building the dControl application in Q using KDB - enables NAB to meet the data quality portion of their enforceable undertaking from APRA.Used domain expertise to assist NAB in checking the surveillance alerts, tested using a synthetic trade population to cause alert… Show more Role taken to build Data Science team at NAB in Global Markets Technology initially looking at the roll-out of the Trade Lifecycle Surveillance system integrating a Kdb platform with NAB deal systems.Building the dControl application in Q using KDB - enables NAB to meet the data quality portion of their enforceable undertaking from APRA.Used domain expertise to assist NAB in checking the surveillance alerts, tested using a synthetic trade population to cause alert eventsSuccessfully identified issues in the existing surveillance approach which allowed trades to feed without being monitored.Significantly enhanced visibility of trades escaping surveillance monitoring by developing KDB dashboarding Show less

Sydney, Australia

Developed an Outlier detection system as a forward looking measure in the capture and remediation of conduct risk.Ran a project to implement a Data Science stack based on a Splunk back end, IBM DSX data science middleware and Qlik Sense visualisation/dash boarding tool.Developed and implemented a strategy to use corporate data to understand misconduct risk in Global Markets. Data sources ranged from market rates and positions to operational and HR data. Used a Random Forest with a… Show more Developed an Outlier detection system as a forward looking measure in the capture and remediation of conduct risk.Ran a project to implement a Data Science stack based on a Splunk back end, IBM DSX data science middleware and Qlik Sense visualisation/dash boarding tool.Developed and implemented a strategy to use corporate data to understand misconduct risk in Global Markets. Data sources ranged from market rates and positions to operational and HR data. Used a Random Forest with a Splunk data source to build a conduct risk profile across the business and establish behavioural footprints for misconduct and standard business functions. Currently working to roll the system into production. Show less

Sydney, Australia

Sydney, Australia

Principle Quantitative Analyst: Balance Sheet Risk Management Modelling Primary focus has been project for the production of a Cross Currency Basis VaR system for Treasury. Achievements/Skills:• Used R and the Random Forest add-in to predict deposit rolls• Wrote Valuation in the Cross Currency markets relative to an AUD balance sheet• Implemented a cross currency basis VaR model using C#, SQL Server and WPF• Documenting the impact of the configuration of the Murex 3.1 on… Show more Principle Quantitative Analyst: Balance Sheet Risk Management Modelling Primary focus has been project for the production of a Cross Currency Basis VaR system for Treasury. Achievements/Skills:• Used R and the Random Forest add-in to predict deposit rolls• Wrote Valuation in the Cross Currency markets relative to an AUD balance sheet• Implemented a cross currency basis VaR model using C#, SQL Server and WPF• Documenting the impact of the configuration of the Murex 3.1 on Cross Currency Risk Show less

Sydney, Australia

Manager: Market Risk OversightDesks covered:• Interest Rate Options Achievements/Projects/Skills:• Facilitating greater 1 month Cap business via the restructure of control framework for the Interest Rate Option Cap/Floor business accounting for the illiquid 1 month cap market. • Fixing the Interest Rate Gamma calculation for the Market Risk Limit Management System• Improving Risk measurement when interest rates are close to zero via the Implementation of Normal… Show more Manager: Market Risk OversightDesks covered:• Interest Rate Options Achievements/Projects/Skills:• Facilitating greater 1 month Cap business via the restructure of control framework for the Interest Rate Option Cap/Floor business accounting for the illiquid 1 month cap market. • Fixing the Interest Rate Gamma calculation for the Market Risk Limit Management System• Improving Risk measurement when interest rates are close to zero via the Implementation of Normal distribution based approach to IRO valuation (from Log Normal approach)• Improving risk analysis via the construction of strike concentration and deal turnover systems down to trade level detail Show less

Sydney, Australia

Desks covered:• Off Shore Banking Unit• High Grade BondsAchievements/Projects/Skills:• Improving business reporting and analysis via the consolidation of VaR, P&L and Stress measures in a reporting platform integrating metrics from Desk level up to business top line• Delivery of risk measures to cover OIS discounting for Swaps before the official implementation in underlying deal systems.• Delivery of Monthly Volker Analysis looking at ‘Comprehensive’ and ‘Portfolio’… Show more Desks covered:• Off Shore Banking Unit• High Grade BondsAchievements/Projects/Skills:• Improving business reporting and analysis via the consolidation of VaR, P&L and Stress measures in a reporting platform integrating metrics from Desk level up to business top line• Delivery of risk measures to cover OIS discounting for Swaps before the official implementation in underlying deal systems.• Delivery of Monthly Volker Analysis looking at ‘Comprehensive’ and ‘Portfolio’ measures specified in the regulation• Delivery of a fully automated mid-month and month-end IPV process for bonds, FRNs, MBS, discount securities and CDS (saved equivalent of one fulltime head count) Show less

Sydney, Australia

Market and Credit Risk ManagerResponsibilities • Monitor risk positions in the business via the production of daily risk reporting for the Equities, Rates, CPI, Credit and Commodities businesses• Escalation of limit excesses• Produce weekly management reporting on overall risk positions and market conditions• Act as a point of contact for dealers on limit issues• Provide feedback to the business on the likely VaR outcomes of new trading positions• Promotion of both… Show more Market and Credit Risk ManagerResponsibilities • Monitor risk positions in the business via the production of daily risk reporting for the Equities, Rates, CPI, Credit and Commodities businesses• Escalation of limit excesses• Produce weekly management reporting on overall risk positions and market conditions• Act as a point of contact for dealers on limit issues• Provide feedback to the business on the likely VaR outcomes of new trading positions• Promotion of both “re-active” and “pro-active” controls in Sydney against a background of continually evolving products and systems• Build and implement new policy, products, and systems into the monitoring reports and procedures and educating the business accordingly• Maintain data integrity between front office trading systems and trading risk reporting systemsProjects:• Designed and implemented equities market risk system • Integrated Reuters and Bloomberg API into business data systems• Maintained and improved global markets market risk system• Worked with the Rates business dealing system Murex Raider and the Commodities business system Murex GFXO Show less

Doctor Of Philosophy - Phd Candidate, Complex Systems, Macro Economics

Master’S Degree, Data Science

This professional degree is for people who are passionate about drawing meaningful knowledge from data to drive business decision-making.

Master’S Degree, Applied Finance

The Masters in Applied Finance from Maquarie University in Sydney is aimed at Finance practitioners. The course focuses on delivering.