Platforms:

• Credit Distressed - Developed a proprietary risk engine to measure market liquidity, concentration, and risk for different asset classes, strategies, and portfolios. The system provided advanced stress testing scenarios, allowing portfolio risk analysis based on bespoke views of expected market conditions.

• High-Frequency Cash Equity Proprietary Trading - Designed and implemented a proprietary historical VaR model to measure capital adequacy following the Basel II framework.

• OTC Structured Product - Proprietary intraday risk model to monitor a $6bn notional, equity, option, and ETF book with over 40,000 individual positions.

• Large Investment Bank— Part of a risk management team responsible for producing the bank's "4:15 Report," which used several hundred key factors to compute a daily VaR number with the bank's end-of-day PnL. 

 

Risk Systems: 

• Bara

• Risk Metrics

• Bloomberg

• MicroHedge

• Bespoke