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 –

  • Global IB

    • 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

  • Global IB, UK

    • 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

  • Hedge Fund, London

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

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