Christopher Vaughan Email & Phone Number

New York, United States

US Rates Desk COOEnsured all aspects of a rates trading business operated efficiently.Displayed comprehensive knowledge of legal/regulatory landscape as it relates to transacting within the Macro space. Ushered the business through several major regulatory changes with minimal business impact such as LIBOR Cessation and currently Basel III. Actively managed SIMM and CCP IM exposures to minimize drag from collateral funding costs.Worked closely with development teams, organizing the build-out of trading platforms to improve speed/ accuracy of pricing/workflow for a more scalable voice business as well as developing numerous pricing tools/risk management functions.Maintained relationships with third party service providers/vendors enabling innovative solutions in several areas including trading platforms/services, cost/counterparty risk reduction, data, and lifecycle management.Fielded countless ad-hoc requests from Sales/Trading, Strats, Finance, Risk, Control functions, Operations, Tech etc. to ensure smooth operations.

New York, United States

Interest Rate Option Trader in Vega/Exotics/HybridsExperienced in making markets, primarily in Swaptions, Caps/Floors, Wedges, Spread Options, Bermudan Options, Midcurve Options, Digital Options, Treasury Locks, Bond Forwards. Well practiced dynamically hedging/positioning a Hybrids book in both low and high volatility environments.Used statistical, economic, and historical research to make informed decision on pricing, positioning, and relevant scenario analysis based on prevailing conditionsWorking knowledge of several volatility models, and the assumptions, maintenance/calibration, parameterization entailed. Assisted in the migration of several models. Monitored and maintained functionality for event reports, scenario analysis, intraday risk management.Familiarity with other exotic structures such as Range Accruals, Levered Steepeners, Barrier Options, Volatility and Variance Swaps, Forward Vol Agreements amongst others.

New York, New York

Interest Rate Derivative TradingDeveloped an intimate working knowledge of the USD vega/exotics market working on a prominent desk during the peak of Formosa and structured note issuance including:Market structure and prominent participantsMajor exotic flows and thematic expressions, dealer liquidity outlets and influence on pricingGreeks/risk management and second order effects including dvega/drate influence on volExotic modeling, model parameterization, parameter maintenance, model assumptions and shortcomingsRegulatory Margin, XVA, RWAs and Funding impacts on pricing and trade profitability

Baltimore, Maryland

Trading AssistantProduct Lines Covered: Government/Agency bonds, TIPS, ETFs, MBS, CMOs, Listed, and OTC Derivatives