Structured Equity Derivatives team, Market risk Analyst
Daily Analysis and reporting of Market risk (delta, vega, epsilon, rho…) concerning
stocks derivatives books
Daily P&L Analysis of facilitator us book (split of different impacts( market data
variations ( spot, volatility, dividends, interest rates…)), deals inserting intraday…)
Conception, development & reporting of interest rates report for all stocks derivatives books.
Validation/Signoff of news pricing models.
IT Equity Derivatives team, Sophis Toolkit/Api Developer for Paris, London and Hongkong
Conception/Development/Support of module to feed automatically .fixings
Integration of Pricing Models for Sophis.
Integration of Symphony (Grid computing solution provided by platform) for
parallelized portfolio computation for Sophis.
Conception/Development/Support of two platforms to feed automatically deals into
Sophis.
Conception/Development/Support of scenarios (Epsilon…) for Risk Management.
Conception/Development/Support of COM library based on Sophis Apis. Main library
used by front office and risk management for daily extractions…