Nadir - Consultant VBA EXCEL

Quantitative Analyst –Global Market Solutions –Paris, France

Carlo implementation
for cross asset products (focus on IR/FX derivatives).
- CRrating calibration and markovian diffusion model implementation
within internal framework IRIS.
-Implementation of vanilla swaps pricers and strategies (spreads, fly) and live pricing/data feed monitoring.
-Regulation and Counterparty Credit Risk topics: Standardised Based Approach, Advanced Methods.
-Development of global frameworks for scenario generation within the FRTB context.
-Market Analysis: Regular meetings with the different stakeholders to develop strategies and discuss targets for the trading and risk sides.

-FX Automated Trading Strategies
-Systematic Trading, FX Exchange Connectivity
and Data Management: Developed and Emerging Markets.
-Imbalance predictor:
Compute order book imbalance levels then display market price response
in realtime.
-Pricing analysis: Designed an arbitrage strategy to calculate Pnl impact
using different markets for pricing
- CME Spot Equivalent:
Computed points from FX Futures CME, and estimated the CME Spot equivalent

Analyst –Nomura International

Priced wide variety of structured products: Vanilla and Hybrid CLNs, CDO Tranches, Bermudan Swaptions, Callable Swaps
-Developed a macro for an automated spreadsheet linked in Word format
for deal Term Sheets using VBA 2nd rotation:
Credit Repo Trading (5 weeks)
-Developed a global spreadsheet to compute all cash desk data
(Unsecured Funding, Repo
-at-Risk, Balance Sheet, Box positions, Margins on Repo/Reverse Repo) and provide cash traders with relevant information using VBA

Equity Derivatives Trading Analyst

Exchange Traded Funds Market Making: Equity Developed and Emerging underlyings,
Sectorial Indices, Swaps replication, NAV updates, ETFs pricing
-Implemented a dynamic Multi Proxy for Fair Value and modeling of hedging algorithms in the electronic ETFs Market Making Platform
-Back
-tested trade ideas and strategies in order to extend the ETFs and futures coverage

-4-member team working 150 hours for the
Commissariat à l'Ener gie Atomique - Proposed an original
programme in gesture recognition, and developed a functional prototype of Windows and application adaptable to any computer