en
Schlagwörter
Skills
Education: partial differential equations (PDE) and numerical methods (finite difference & Monte Carlo simulation) for exotic derivative pricing. Dynamic hedging. Statistics & Probabilities. Operational Research. Genetic algorithms.
Risk : value-at-risk (VaR), stress testing, extreme value theory (EVT), dynamic risk analysis. Equity, fixed income, strcutured products, credit derivatives, energy & commodity trading.
IT skills:
Python, UNIX, C-Shell, Excel - VBA, Eclipse SDK, SubVersion, Algorithmics - Certified Algorithmics Engineer for RiskWatch, Risk++, HistoRisk, Sungard Front Arena Certified AEL Developer, ASQL, Qontigo's Axioma, FORTRAN 90, C++ and MATLAB
Risk : value-at-risk (VaR), stress testing, extreme value theory (EVT), dynamic risk analysis. Equity, fixed income, strcutured products, credit derivatives, energy & commodity trading.
IT skills:
Python, UNIX, C-Shell, Excel - VBA, Eclipse SDK, SubVersion, Algorithmics - Certified Algorithmics Engineer for RiskWatch, Risk++, HistoRisk, Sungard Front Arena Certified AEL Developer, ASQL, Qontigo's Axioma, FORTRAN 90, C++ and MATLAB
Projekthistorie
DELIVERED PROJECTS
BANKING
o For the largest Swiss bank, specification of the models for valuation and risk measurement of the client’s assets & liabilities (1 year).
o For a Swiss canton bank, selection of a banking system and identification of operational risks (4 months).
o For a German bank, integration of the front-office system IBM SunGard Front Arena: technical design and development of core components, preparation of test systems, coordination of releases and golive preparation (4 years)
o For a German bank, integration of the front-office system IBM SunGard Front Arena (8 months).
o For a leading French bank, validation of the equity derivative value-at-risk engine (2 months).
o On behalf of two merging Italian banks, measurement of the value-at-risk of the combined portfolios (1 month).
o For an investment bank, development of components of the value-at-risk engine based on Algorithmics™ RiskWatch, RiskScript and Risk ++ (6 months). Responsible for the integration of the foreign entities into the central risk engine, as well as leading the middle-office of the Belgian subsidiary (CSNE military service, 1 ½ year).
o Derivative pricing (recurring).
INSURANCE
o For the leading Swiss reinsurance company, conceptual design of the investment risk management system (1 month).
o For a leading Swiss insurance company, identification of risks in the treasury and capital management divisions (4 months).
CORPORATE & OTHER COMPANIES
o For a leading SEC – registered Company, ongoing reviews of the commodity trading books with respect to P&L, risk and compliance. Risk expert and client executive (6 months).
o For several Swiss companies, review of the proprietary trading books and of the derivatives dealing risk management activities plus advisory thereupon (1 year).
o For several large Swiss companies, treasury review and advisory (6 months).
o For an Oil Major, review of energy derivatives trading P&L and risk control (3 months).
o For a Swiss company, leader in its commodity segment, development of an integrated commodity price risk management framework (1 year).
HEDGE FUND
o For a Swiss fund of hedge funds, development of an asset allocation and compliance check tool (1 month).
o For a UK-based convertible-arbitrage hedge fund, design of the risk management system (2 months).
o For a leading Swiss/International fund of hedge funds, review of the risk management department and of the quantitative analysis department (4 months).
BANKING
o For the largest Swiss bank, specification of the models for valuation and risk measurement of the client’s assets & liabilities (1 year).
o For a Swiss canton bank, selection of a banking system and identification of operational risks (4 months).
o For a German bank, integration of the front-office system IBM SunGard Front Arena: technical design and development of core components, preparation of test systems, coordination of releases and golive preparation (4 years)
o For a German bank, integration of the front-office system IBM SunGard Front Arena (8 months).
o For a leading French bank, validation of the equity derivative value-at-risk engine (2 months).
o On behalf of two merging Italian banks, measurement of the value-at-risk of the combined portfolios (1 month).
o For an investment bank, development of components of the value-at-risk engine based on Algorithmics™ RiskWatch, RiskScript and Risk ++ (6 months). Responsible for the integration of the foreign entities into the central risk engine, as well as leading the middle-office of the Belgian subsidiary (CSNE military service, 1 ½ year).
o Derivative pricing (recurring).
INSURANCE
o For the leading Swiss reinsurance company, conceptual design of the investment risk management system (1 month).
o For a leading Swiss insurance company, identification of risks in the treasury and capital management divisions (4 months).
CORPORATE & OTHER COMPANIES
o For a leading SEC – registered Company, ongoing reviews of the commodity trading books with respect to P&L, risk and compliance. Risk expert and client executive (6 months).
o For several Swiss companies, review of the proprietary trading books and of the derivatives dealing risk management activities plus advisory thereupon (1 year).
o For several large Swiss companies, treasury review and advisory (6 months).
o For an Oil Major, review of energy derivatives trading P&L and risk control (3 months).
o For a Swiss company, leader in its commodity segment, development of an integrated commodity price risk management framework (1 year).
HEDGE FUND
o For a Swiss fund of hedge funds, development of an asset allocation and compliance check tool (1 month).
o For a UK-based convertible-arbitrage hedge fund, design of the risk management system (2 months).
o For a leading Swiss/International fund of hedge funds, review of the risk management department and of the quantitative analysis department (4 months).
Reisebereitschaft
Weltweit verfügbar
UK (City of London / Greater London)
Schweiz (Geneva, Lausanne, Bern, Luzern, Zug, Zurich)
Remote
Schweiz (Geneva, Lausanne, Bern, Luzern, Zug, Zurich)
Remote
Sonstige Angaben
Education: MSc. Oxford math finance, ESSEC business school Master in finance, Dipl. Ing. (MSc. Computer Science)
Ex Senior Manager bei Ernst & Young in Zurich - Risk Management
Ex Manager bei Andersen AG in Zurich - Quantitative risk consulting team
Ex CCF - HSBC
Ex Senior Manager bei Ernst & Young in Zurich - Risk Management
Ex Manager bei Andersen AG in Zurich - Quantitative risk consulting team
Ex CCF - HSBC
