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Selective Experience
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Custom Software Projects
Multi-Billion / Multi-Strat Hedge Fund
Risk Management System – Developed a comprehensive
risk management platform for a multi-strategy hedge fund that includes the
following features: Integration with an internal portfolio accounting system /
fund admin accounting system; Integration with internal security master for
terms, conditions, and pricing; Internal PNL Calculation engine; Exposure
reporting; VaR Engine; Scenario Calculation Engine with parameratized spreads,
yield curve, FX rates, equity prices; Custom valuation models to support every
asset class (e.g. CDSs, Bank Debt, Ascots, IRSs, Converts, etc..); Correlation
analysis tools; Liquidity Risk Module; Volatility Risk Module; Leverage Risk
Module.
Multi-Billion / Multi-Strat Hedge Fund
Portfolio Management System – Developed a
portfolio management system that provides complete order management for all
known asset classes including complex credit and fixed income derivates, as
well as seamless integration with 3rd party execution management systems.
The system centralizes firm-wide trade capture and provides customizable
trade allocation rules across funds, strategies, portfolios, and prime brokers.
The system provides full real-time P&L and portfolio analysis for all
asset classes by leveraging custom and 3rd party pricing models.
Additional features include: Customizable real-time portfolio slicing and
dicing, P&L attribution; Multi-asset class support including OTC products;
Complete audit trail and historical trade querying, filtering, and analysis;
Automated transaction feeds to middle and back-office system and 3rd party
applications.
Multi-Billion / Multi-Strat Hedge Fund
Security Master – developed a global repository of
terms and conditions specifically for a hedge fund. The product consolidates
multiple sources of security data into a single golden copy security database
by using a rules-based approach to arbitrate between the data vendors. The
database stores both listed and non-listed security types and may be updated in
real-time as data becomes available from source vendors. The product provides a
flexible user interface for processing corporate actions and portfolio events
such as dividends, swap resets, and call dates; Creating OTC products, viewing
posting notifications, and monitoring new or pending security setup
requirements. Additional features include: Full instrument coverage including
OTC, baskets, bank debt and other non-listed securities; Automatic corporate
action alerting; Comprehensive legal entity hierarchy; Full audit trail of
updates and edits; Document warehousing for OTC securities;
Multi-Billion / Multi-Strat Hedge Fund
Portfolio Pricing System – created a global
repository of pricing and market data to support the pricing needs of a
multi-strategy hedge fund. The product automatically gathers and stores pricing
and market data from various data sources such as Bloomberg, MarkIT, Reuters,
as well as from broker files, web sites, spreadsheets, and emails. The system
provides a flexible user interface for analyzing pricing data including time
series price variance, comparing price sources, and creating custom pricing
rules based on firm-wide pricing policies and compliance requirements.
Additional features include: Centralized pricing and positions database with
full audit trail and historical reporting; Customizable views including color
coding, real-time alerts, graphical analysis, and historical reporting; Price
variance analysis tools; Default source assignment at a symbol, security type,
security type level.
Multi-Billion / Multi-Strat Hedge Fund
Tick Data Capture & Analytics - Used OneTick
(a generic tick data management and analytics platform) to compute intraday
data statistics (VWAP’s, Historical Traded Volume Profiles, Time-weighted
Spreads, Order Book Snapshots, etc.) for use in algorithmic trading by the
automated trading desk and for transaction cost analysis. The system supports a
billion dollar quantitative, high frequency trading strategy.
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