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Cheyne Capital (London Hedge Fund)
- Senior Quant Risk – Financial Engineer
2006 - maintenant
• Model validation.
• Work on the Valuation Engine and the Risk System: a Risk-Dimension SAS-based solution for the Credit Desk ($1.5 billion ). There are 16000 CDS & 500 CDOs.
• Work on miscellaneous risk reports for Special Situations (one of the largest funds in Europe) as well as ABS desk and risk-control department.
• Responsible for maintaining the most critical application of the team running on daily basis such as the PV-Scenario Engine.
• Deep understanding on how a risk-system should be structured and implemented.
Skills used: Finance, CDO/CDS Pricing, ABS Pricing, SAS, C++, C#, T-SQL,CapitalModel.
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Globeop Risk (company delivering risk-management ASP products for the hedge-fund industry)
- Financial Engineer
2002 - 2006
London based company part now of GlobeOp
• Work on the integration of our software with JRisk (Application Networks) a pure Java application awarded best technology company in 2005 by Risk. My role consists in model validation and pricers integration of vanilla equity and fixed income derivatives products.
• Development of new functionalities for SAS-software including commodity curves, integrated new pricers (including CDS and Convertible asset swap, swap future) and improvement of other ones of our in-House risk-management software.
• Support for our clients (Hedge Fund Managers) in solving valuation problems in their multi-asset class products.
• Improvements to the robustness of our software, control procedures, training, managing developers and the support team in Mumbai and in New York.
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CDC Ixis Capital Market
- Trainee Trader. Quantitative developer on a proprietary equity derivatives desk.
2000 - 2002
CSNE (national service):
Market: DAX.
• Creation of pricers, maintenance of databases and compilation of relevant news items
• Development of Statistical tests to validate different strategies
• Implementation of quantitative articles in C++ dealing with volatility spreads and the modelling of implied volatility.
• Involvement with volatility arbitrage models
(The desk has been closed)
Skills used: Visual C++ (creation of dlls), PCA, Econometrics, Excel, Access, VBA, Garch, Vol-arb, Numerical Recipes, Modelling, Eviews, Monte-Carlo Methods
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Andersen Consulting
- Analyst
Minsk
1999 - 1999
Analyst worked at France Telecom Mobile: creation of tests environment.
Skills used: C,VMS, DCL.
