Freelance Financial Engineer
Expert in derivatives pricing and financial risk management. Very good knowledge of Algorithmics Inc. software (RiskWatch, ASE, Risk++, Algo Limits).
|Hourly Rate / Cost:||£58.82 per hour (ex. VAT)|
|Daily Rate / Cost:||£470.59 per day (ex. VAT)|
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CV (Curriculum Vitae) / Résumé
- Strong knowledge of derivatives pricing methods
- Strong knowledge of financial risk measurement methods (VaR, CVaR, Counterparty Credit Exposure etc.
- Co-author of book issued by Wiley Finance 2007
- Author of new numerical algorithm of derivatives pricing with Libor Market Model
- Successful implementation (or verification of implementation) of Algorithmics RiskWatch in major banks in Dublin, London, Frankfurt and Warsaw).
(May 2007 to Feb 2009)
Senior Financial Engineer (Contract)Algorithmics, London
• Parameterisation of Algorithmics risk measurement software (Algo Market) for clients, including:
--------Modelling Financial Instruments in RiskWatch
--------Parameterisation of Risk Calculations in RiskWatch (e.g. VaR, Credit Exposure)
--------Validation of derivative pricing models used by RiskWatch
• Extending functionality of RiskWatch by development of DLMs (Risk++, C++)
1) Europea's leading private banking group (Frankfurt)
Parameterisation of financial instruments in RiskWatch for VaR and counterparty credit exposure calculation. List of instruments includes: forwards, futures, european options, american options, barrier options, basket options, asian options, coro options, binary options, range options, variance swaps, dividend swaps, callable convertible bonds.
Participation in design, review and testing of data mapping between front office systems (Murex, Imagine) and RiskWatch.
Design and implementation of RiskWatch extensions (C++, Risk++)
Estimation of standard deviation of credit expected losses calculated by Algo PCRE (Portfolio Credit Risk Engine)
2) Major Irish bank (Dublin)
Parameterisation of mortgage securities in RiskWatch.
Parameterisation of VaR calculation using modified variance covariance method.
Design and implementation of prototype DLM (C++, Risk++) for ALM calculations.
3) Major Swiss asset management institution (London, Zurich)
Review of RiskWatch and ARA parameterisation. The review covers:
- Discount curves hierarchy.
- VaR and Tracking Error calculations (Historical scenarios method).
- Calibration of Hull-White model to swaptions market.
- Parametrisation of selected financial instruments.
4) One of the world's largest banking groups (London)
Investigation of calculation efficiency problem for special type of caps/floors instrument (very slow calculation). Design and implementation of prototype function that calculates approximated value 30 times faster than standard RiskWatch function.
5) One of the largest independent companies trading commodities (London)
Investigation of Monte Carlo Value at Risk calculation error. Found bug in RiskWatch application.
6) Turkish bank (Istambul).
Advisory in modeling and mapping following financial instruments: constant maturity swap, FX reset notional swap, total return swap.
7) One of the world's largest banking groups (Amsterdam)
Review of parameterization of financial instruments: constant maturity swap and rebalanced index in RiskWatch
Development of small application (Excel + Visual Basic) pricing constant maturity swap.
Development of small application (Excel + Visual Basic) modeling rebalanced index using methodology implemented in RiskWatch.
(Jul 2002 to Apr 2007)
Senior Financial EngineerErnst & Young, Warsaw, London
• pricing of financial instruments (including structured and exotic derivatives (swaps and bonds with embedded options, convertible bonds, differential swaps, accrual swaps and others )
• developing and implementing pricing models (implementations in C++, Visual Basic and Excel). Implemented models include: Hull-White model, Libor Market Model
• modelling (Monte Carlo) counterparty credit exposure for derivatives (covering netting agreements and collateral management)
• reviewing of pricing and risk management models used by clients
• implementation and integration of Algorithmics risk measurement software (Algo Market)
1) Major Polish bank.
Implementation of Algorithmics software (market risk and credit exposure). Project covers:
------ Monte Carlo VaR
------ Sensitivities calculation
-------Counterparty credit exposure calculation
-------Daily P&L calculation
-------Calculation of regulatory capital for market risk using standard methodology (BIS 1996)
Since some functionalities are not covered by Algo systems (for example daily P&L calculation and BIS 1996) project required enhanced C++ development (several thoudands lines of code).
2) Major energy company (UK)
Development of software for VaR calculation (Excel + Visual Basic). VaR was calculated using modified VCV matrix method. In contradiction to standard VCV matrix methodology the software allow both: normal and lognormal distributions of risk factors increments.
3) One of the largest financial institutions in the Middle East (Saudi Arabia)
Initial phase of Algo Limits implementation. Tasks includes:
--Discussion with client about functional requirements
--Initial checking of data availability
--Development of discovery report
4) Major Polish Bank
Implementation of Kamakura Risk Manger software for ALM calculations. Parameterisation of basic banking instruments: loans, deposits, credit lines, credit cards etc.
(Apr 2000 to Jun 2002)
Experienced Senior, ManagerArthur Andersen, Warsaw
As in Ernst & Young
FRM issued by GARP
PRM issued by PRMIA
( to 1996)
M. Sc. in Financial Mathematics (Warsaw University) Thesis: “Pricing of interest rate derivatives in Gaussian HJM model”. Supervisor: Prof. Marek Rutkowski.
Categories & Freelance Skills
- Algo (Software Experience - Analysis/Management)
- Analysis/Management (Software Experience)
- Analyst (Banking - Job Level)
- Bloomberg (Software Experience - Data/Price Distribution)
- Business Analyst (Banking - Job Level)
- Capital Markets (Banking)
- Counterparty (Banking - Risk)
- Credit (Banking - Risk)
- Data/Price Distribution (Software Experience)
- Debt (Banking - Capital Markets)
- Derivatives (Banking - Job Level)
- English (Languages)
- Equity (Banking - Capital Markets)
- Equity / Derivatives (Banking - Trading)
- Financial Consulting
- Financial Risk Management (Finance (Qualified))
- Fixed Income Analysis (Financial Consulting)
- Front Office (Banking - Job Level)
- Interest Rate (Banking - Risk)
- Job Level (Banking)
- Kobra (Software Experience - Data/Price Distribution - Reuters)
- Market Analysis (Banking - Risk)
- Market Control (Banking - Risk)
- Market Reporting (Banking - Risk)
- Middle Office (Banking - Job Level)
- Options (Banking - Trading)
- Polish (Languages)
- Reuters (Software Experience - Data/Price Distribution)
- Risk (Banking)
- Swap (Banking - Capital Markets)
- Trading (Banking)
- Valuations (Banking)
- Valuations (Financial Consulting)
- Volatility Analysis (Financial Consulting)
- C (Programming)
- C++ (Programming)
- Pascal (Programming)
- Polish (Foreign Languages)
- Visual Basic (Programming - Visual Studio)
- Visual Basic .NET (Programming - Visual Studio)
- Visual C++ (Programming - Visual Studio)
- Visual Studio (Programming)
- Financial Services (Project Consultancy)
- Financial Systems (Project Consultancy)
- Project Management (Project Consultancy)
- Risk Analysis
- Risk Management