Missions Delta : Dénichez votre future mission indépendante

Résumé des missions de Lehajam,
freelance DELTA résidant dans ?

Quant Developer &ndash Equity Derivatives
Current Citi, London Investment Banking
10/2011 -
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
&#61607 Gathering of requirements/Use of existing documentation to understand the expected behavior of a given what-if scenario
&#61607 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
&#61607 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)
&#61607 Implementation of fixes to correct wrong behaviors
&#61607 Extension of existing scenarios to add new behavior/functionality
&#61607 Investigation and fix of memory leaks in the calibration code
&#61607 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#
&#61607 Implementation of a consumer to snap the market data intraday and call the stressing platform
&#61607 Setting up of the process for EMEA region, assisting the desk for the parameter configurations (vol evolution, schedule management etc )
&#61607 Proposition of a methodology for validating the results in order to get signoff
&#61607 Generation of reports in QA environment to get numbers validation from the desk
&#61607 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)
&#61607 Working closely with quants on yield curves migration to OIS
&#61607 Integration of dpAddin, Citi&rsquos heavily used and highly regarded C++ analytics libraries used for Citi&rsquos rates pricing and risk management
&#61607 Support and implementation of various functionalities as required by the business.

Quant Developer &ndash Credit Derivatives
NOMURA, London Investment Banking
4/2010 - 9/2011
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
&#61607 Global platform based on a service oriented architecture
&#61607 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
&#61607 Implementation of a server side component for curve generation based on user defined relationship (constant hazard rates, multiplication factors, interpolation etc&hellip). Used to provide market data when not directly observable on the market(derivation of a child CDS curve from a parent curve)
&#61607 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
&#61607 Integration of the server side components into the UI using WPF, tibco EMS and Tibco RendezVous to allow high performance and high reliability
&#61607 Use of Maven and SVN for team working and high scale deployment solutions
&#61607 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
9/2009 - 3/2010
o Structured Credit Technology improvements using C# and .net 3.5 with EXCEL/VBA
&#61607 Building and calibrating the proprietary correlation pricing model(SBX Portfolio)
&#61607 Calculating valuations and risk scenarios for the correlation book which could include the following :
&bull Running risk batches
&bull Ensuring production of data for the use of traders and risk management
&bull Resolving any issues from the batch run
&#61607 Enhancing the P&L actual and estimation functionality to provide both current and future effect of the model inputs
&#61607 Providing business analysis through utilising/developing various tools to assist with business and analytics functionality
&#61607 Regression tests for the new pricing methodology to ensure that any changes are due to correct factors, i.e the new pricing methodology
&#61607 From time to time handling special projects upon the request of management

Investment Banking
Fortis Merchant Banking, Paris
7/2006 - 8/2009
o ABS/CDO/CLO cash flow model implementation using Excel, C# & C++ to enable numerous inputs/outputs and configuration as defined below:
&#61607 Large variety of asset class for the underlying portfolio (CDS, Bonds, Leverage loans, Perfect asset swaps, asset swaps, mortgage etc&hellip)
&#61607 Defining deterministic(constant or following a given shape) or non deterministic(model based) default and prepayment assumptions
&#61607 Working within the constraints/covenants of portfolio reinvestment assumptions (diversification constraint, rating constraint, asset class, reinvestment price, currency bucket)
&#61607 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
&#61607 Multi currency revolver notes implemented for multi currency deals (used in Calyon&rsquos Confluent deal)
&#61607 IRR, Price and duration for different notes
&#61607 Pricing of equity tranches with call options

o Implementation of a monte carlo engine using C++
&#61607 Generation of normal random path, and correlation using one factor model
&#61607 Used to generate default inputs for the cash flow model for valuation of Cash CDOs with underlying portfolio of CDS (Renoir Deal Fortis)
&#61607 Used to generate prepayment inputs for the cash flow model for CLO using LCDS as a proxy
&#61607 Used for developing trade ideas and quickly test/have an idea of trade strategies

o Product management and product development
&#61607 C++ implementation of Moody&rsquos CDOROM toolkit adds in for market value CLO&rsquos. Used to find market value CLO strategies/optimization, to optimize deals parameters, underlying portfolio rating in order to maximize the deal rating
&#61607 Development/Testing of arbitrage strategies for CPDOs and market value CLOs
&#61607 Generation of marketing runs for sales and deal partners (asset managers)
&#61607 Scripting of the deal in the platform and providing monthly valuations to the sales
&#61607 Scripting of rating agencies(S&P & Moody&rsquos) scenarios in the cash flow model above and run generations
&#61607 Liaising with clients and deal partners (asset managers) regarding portfolio valuations, deal assumptions used for runs, mark to market explanation etc&hellip
&#61607 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
&#61607 Automation of the booking between the two systems using EXCEL, VBA & SQL
&#61607 Setup and follow up of the parallel run between the new system (SOPHIS) and the old system (EXCEL VBA)
&#61607 Explanation of the mark to market differences between the two systems
&#61607 Working closely with quants on pricing validation, explanation & resolution of discrepancies
&#61607 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
&#61607 Design of the automated workflow process
&#61607 Creation and integration of an EXCEL spreadsheet to model dynamically CDO portfolio aggregates & concentration tests using VBA, C++ and XML
&#61607 Automation of the subordination factor calculation and integration into the process using C++
&#61607 Integration of S&P & Fitch dll to SOPHIS using C++ and XMLwith Xerces

o Risk monitoring platform implementation for both Correlation & Basis Book
&#61607 Front Office risk reporting tool implementation for the correlation book using SQL, VBA & EXCEL
&bull User defined reporting templates based on SOPHIS-ORACLE architecture (Delta contribution by structure, Jump to default contribution by sector etc&hellip)
&bull P&L, Jump to default and systemic delta reporting
&bull Daily Reports production (exposures by ratings, sectors, more risky names, more exposed, limit checking, sensitivity analysis) to both Risk Management & Trading desk
&#61607 Front Office reporting tool implementation for the basis book using SQL, VBA & EXCEL
&bull CDS, Bonds/Asset Swap import of data from Bloomberg and internal systems(Risk, SOPHIS)
&bull Position reports, basis valuation and P&L reporting

Management group
SGAM, La Défense Global Fund
8/2003 - 10/2003
&bull Summer internship - Middle officer / Trading support
o Member of the MO team
&#61607 Investigating and resolving reconciliation discrepancies
&#61607 Liaising with Front and Back Office on position/system reconciliations
&#61607 Static and dynamics data management on financial products
&#61607 Creating financial product in the system
&#61607 Trade query resolution
&#61607 Supporting transversal desks in providing financial information after control
o Implementation & setup of a Server allo...