BNP Paribas - Risk Capital Market
- Risk Analyst in the Positions & Models Equity Derivatives Team - Hong Kong
2010 - 2011
>> Monitored daily Trading positions & PnL by analyzing Greeks, repo/vol/dividend markings, stress tests. Calculated liquidity & market adjustment reserves for the Trading Floor
>> Conducted in-depth analysis of Convertible Bond market, Prop activities on Vol-swap & vanilla dispersion trades, and barrier management on Exotic Structured products
>> Evaluated stress tests & pricing models: back-testing of Convertible Bond pricing methodologies, new volatility & dividend shifts’ impacts on stress tests, volatility models
>> Developed analyzing tools and a pricer spreadsheet using VBA/SQL [dictionaries, class
modules] and BNPP pricers to analyze trading positions, pricing methodologies, Greeks’ prof iles
