Lehajam - Développeur C++

Ref : 130405B001
Photo de Lehajam, Développeur C++
Compétences
C++
SQL
VBA
EXCEL
PYTHON
C#
POWERSHELL
Expériences professionnelles

  • Quant Developer – Equity Derivatives

    Current Citi, London Investment Banking
    Jan 2011 - aujourd'hui

    Working closely with the head of the exotics trading desk to review and correct when needed the stress/what-if scenarios
    o Business Analysis to understand the current stress implementation and the eventual gaps with the expected behavior
     Gathering of requirements/Use of existing documentation to understand the expected behavior of a given what-if scenario
     Creation of stressing spreadsheets in EXCEL using the proprietary pricer addin by bumping manually the market data for a sample of positions in order to have a benchmark
     Comparison between the benchmark and the results generated overnight by the platform. Explanation of the differences where any (mainly due to market data not shifted correctly, wrong aggregation and bugs)
    o Stress implementation/correction using C++(market data perturbation) and C# (market data snapshot, context creation, grid task schedule, results generation)
     Implementation of fixes to correct wrong behaviors
     Extension of existing scenarios to add new behavior/functionality
     Investigation and fix of memory leaks in the calibration code
     Full life cycle management, integration testing, release schedule with the different stack holders and deployment
    o Implementation of the T+N what-if scenario(prediction of P&L and greeks based on assumptions) to compute delta decay and theta using C#
     Implementation of a consumer to snap the market data intraday and call the stressing platform
     Setting up of the process for EMEA region, assisting the desk for the parameter configurations (vol evolution, schedule management etc )
     Proposition of a methodology for validating the results in order to get signoff
     Generation of reports in QA environment to get numbers validation from the desk
     Liaising with different teams to setup and deploy the process
    o Excel Addin development using C# and C++ to deliver pricing and risk tools across the Equity derivatives desks (Flow, Delta 1 and Exotics)
     Working closely with quants on yield curves migration to OIS
     Integration of dpAddin, Citi’s heavily used and highly regarded C++ analytics libraries used for Citi’s rates pricing and risk management
     Support and implementation of various functionalities as required by the business.

  • Quant Developer – Credit Derivatives

    NOMURA, London Investment Banking
    Jan 2010 - Jan 2011

    o Working with the Fixed Income quant group to integrate quant library into a low latency and high performance CDS market making platform using C# with .net 4.0, Tibco Rendez Vous and Tibco EMS
     Global platform based on a service oriented architecture
     Implementation of a server side component providing real time CDS calibration. Component is used to ensure trades can still be priced when curves are remarked
     Implementation of a server side component for curve generation based on user defined relationship (constant hazard rates, multiplication factors, interpolation etc…). Used to provide market data when not directly observable on the market(derivation of a child CDS curve from a parent curve)
     Implementation of a server side component for curve analytics computation. Component is used to compute SNAC 100/500 from PAR spread curves and vice versa, PV01 by maturity buckets, index intrinsic prices
     Integration of the server side components into the UI using WPF, tibco EMS and Tibco RendezVous to allow high performance and high reliability
     Use of Maven and SVN for team working and high scale deployment solutions
     Liaising with trading desk and PMOs to gather business requirements for developments and iteration through project life cycle

  • Structured credit consultant

    UBS AG, London Investment Banking
    Jan 2009 - Jan 2010

    o Structured Credit Technology improvements using C# and .net 3.5 with EXCEL/VBA
     Building and calibrating the proprietary correlation pricing model(SBX Portfolio)
     Calculating valuations and risk scenarios for the correlation book which could include the following :
    • Running risk batches
    • Ensuring production of data for the use of traders and risk management
    • Resolving any issues from the batch run
     Enhancing the P&L actual and estimation functionality to provide both current and future effect of the model inputs
     Providing business analysis through utilising/developing various tools to assist with business and analytics functionality
     Regression tests for the new pricing methodology to ensure that any changes are due to correct factors, i.e the new pricing methodology
     From time to time handling special projects upon the request of management

  • Investment Banking

    Fortis Merchant Banking, Paris
    Jan 2006 - Jan 2009

    o ABS/CDO/CLO cash flow model implementation using Excel, C# & C++ to enable numerous inputs/outputs and configuration as defined below:
     Large variety of asset class for the underlying portfolio (CDS, Bonds, Leverage loans, Perfect asset swaps, asset swaps, mortgage etc…)
     Defining deterministic(constant or following a given shape) or non deterministic(model based) default and prepayment assumptions
     Working within the constraints/covenants of portfolio reinvestment assumptions (diversification constraint, rating constraint, asset class, reinvestment price, currency bucket)
     Capital structure definition through templates allowing to add or remove elements(like OC Test, IC Test, sequential notes, turbo notes, reinvestment buckets) based on deals specificities
     Multi currency revolver notes implemented for multi currency deals (used in Calyon’s Confluent deal)
     IRR, Price and duration for different notes
     Pricing of equity tranches with call options

    o Implementation of a monte carlo engine using C++
     Generation of normal random path, and correlation using one factor model
     Used to generate default inputs for the cash flow model for valuation of Cash CDOs with underlying portfolio of CDS (Renoir Deal Fortis)
     Used to generate prepayment inputs for the cash flow model for CLO using LCDS as a proxy
     Used for developing trade ideas and quickly test/have an idea of trade strategies

    o Product management and product development
     C++ implementation of Moody’s CDOROM toolkit adds in for market value CLO’s. Used to find market value CLO strategies/optimization, to optimize deals parameters, underlying portfolio rating in order to maximize the deal rating
     Development/Testing of arbitrage strategies for CPDOs and market value CLOs
     Generation of marketing runs for sales and deal partners (asset managers)
     Scripting of the deal in the platform and providing monthly valuations to the sales
     Scripting of rating agencies(S&P & Moody’s) scenarios in the cash flow model above and run generations
     Liaising with clients and deal partners (asset managers) regarding portfolio valuations, deal assumptions used for runs, mark to market explanation etc…
     Reporting to the global head of Structured product regarding the position/exposition/worst case scenario of the cash CDO prop trading book during 2007 and 2008

    o Management of the migration of a correlation book to a SOPHIS platform
     Automation of the booking between the two systems using EXCEL, VBA & SQL
     Setup and follow up of the parallel run between the new system (SOPHIS) and the old system (EXCEL VBA)
     Explanation of the mark to market differences between the two systems
     Working closely with quants on pricing validation, explanation & resolution of discrepancies
     Working closely with traders, quants & risk management for new delta/risk scenario definition and calculation within the new system

    o Automation of the CDO portfolio substitution process and integration into SOPHIS
     Design of the automated workflow process
     Creation and integration of an EXCEL spreadsheet to model dynamically CDO portfolio aggregates & concentration tests using VBA, C++ and XML
     Automation of the subordination factor calculation and integration into the process using C++
     Integration of S&P & Fitch dll to SOPHIS using C++ and XMLwith Xerces

    o Risk monitoring platform implementation for both Correlation & Basis Book
     Front Office risk reporting tool implementation for the correlation book using SQL, VBA & EXCEL
    • User defined reporting templates based on SOPHIS-ORACLE architecture (Delta contribution by structure, Jump to default contribution by sector etc…)
    • P&L, Jump to default and systemic delta reporting
    • Daily Reports production (exposures by ratings, sectors, more risky names, more exposed, limit checking, sensitivity analysis) to both Risk Management & Trading desk
     Front Office reporting tool implementation for the basis book using SQL, VBA & EXCEL
    • CDS, Bonds/Asset Swap import of data from Bloomberg and internal systems(Risk, SOPHIS)
    • Position reports, basis valuation and P&L reporting

  • Management group

    SGAM, La Défense Global Fund
    Jan 2003 - Jan 2003

    • Summer internship - Middle officer / Trading support
    o Member of the MO team
     Investigating and resolving reconciliation discrepancies
     Liaising with Front and Back Office on position/system reconciliations
     Static and dynamics data management on financial products
     Creating financial product in the system
     Trade query resolution
     Supporting transversal desks in providing financial information after control
    o Implementation & setup of a Server allowing users to get remote access to BLOOMBERG Main frame using EXCEL & VB 6.0
     Use of VB 6.0 WINSOCK component to manage remote access across sockets
     Use of BLOOMBERG VB API to get data

Études et formations

  • EDUCATION
    2012-2014 Msc Applied Statistics and Stochastic Modeling option Finance - Birkbeck University London

    2011-2012 Graduate Certificate in Statistics with honours - Birkbeck University London

    2011 Advanced C++ for computational finance training course with Daniel J. Duffie

    2002-2007 Msc in Computer Science, SUPINFO Paris France

    LANGUAGES AND SKILLS
    French Mother tongue
    English Fluent
    Arabic Spoken

    Finance Bond market, Credit Derivatives, Equity derivatives, good understanding of Fx and Interest rate derivatives
    Financial tools SOPHIS, BLOOMBERG, Rating agencies toolkits (CDORom, CDS Accelerator)
    Development C#, C++, VBA, SQL, S-Plus
    Database Microsoft SQL Server, SYBASE, Access

Autres compétences
EDUCATION
2012-2014 Msc Applied Statistics and Stochastic Modeling option Finance - Birkbeck University London

2011-2012 Graduate Certificate in Statistics with honours - Birkbeck University London

2011 Advanced C++ for computational finance training course with Daniel J. Duffie

2002-2007 Msc in Computer Science, SUPINFO Paris France

LANGUAGES AND SKILLS
French Mother tongue
English Fluent
Arabic Spoken

Finance Bond market, Credit Derivatives, Equity derivatives, good understanding of Fx and Interest rate derivatives
Financial tools SOPHIS, BLOOMBERG, Rating agencies toolkits (CDORom, CDS Accelerator)
Development C#, C++, VBA, SQL, S-Plus
Database Microsoft SQL Server, SYBASE, Access

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