Risk Management

Front-office Risk and Global Market Risk Systems development
Experience of working with 3rd party or Client analytics libraries to develop risk systems
Historical back testing of structured products
Modeling and back testing VaR
Back testing of credit exposure models
Generation of bespoke risk reports scenario and sensitivity analysis from the risk management system
Analysis of Valuation / Risk parameters
Numerical testing of risk reports and attribution by working with traders and risk managers

Sample Experience –

Design and Development of a Risk Database and Reporting System for the FX Options Trading using MS Business Intelligence/OLAP product
Migration of Risk Reports from a legacy system to a new Risk Infrastructure using MS Business Intelligence tools /OLAP for the Interest Rate group
Re-engineering the Risk Infrastructure for the Credit technology division on the MS Business Intelligence stack
Resolving issues in the Global Market Risk Feed for various currencies for the FX Options group
Historical Back testing of exotic structures provided by Global Equity Division

Development of a software tool to generate daily arbitrage–free implied volatilities from the liquid trades of options on Stocks & Indices. Included the study of several candidate parametric functional forms & improvements in efficiency of performance of the proprietary models

Development of VaR system (Historical and Monte Carlo with jump diffusion) for a hedge fund (Long / Short , Equity cash and derivatives)