Missions Delta : De nombreuses offres publiées chaque semaine

Exemple des emplois 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
 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&rsquos heavily used and highly regarded C++ analytics libraries used for Citi&rsquos rates pricing and risk management
 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
 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&hellip). 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
9/2009 - 3/2010
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 :
&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
 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
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:
 Large variety of asset class for the underlying portfolio (CDS, Bonds, Leverage loans, Perfect asset swaps, asset swaps, mortgage etc&hellip)
 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&rsquos 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&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
 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&rsquos) 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&hellip
 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
&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
 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
 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 allo...