Work experience.
Quantiative Analyst.
Credit Suisse, Quantitative Strategies : Credit Derivatives
Apr 2019-Present
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Developed improvements to the C++/F# global quant library, focusing on bonds, asset swaps/ASW01 calculations, CDS, IndexCDS, CDSwaptions, CLNs (Credit-Linked Notes), Synthetic Funding notes, CDO and tranche products.
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Built an orchestrator framework in F#, put together Bonds Repack spreadsheet tool which streamlines viewing of cashflows, PV, risks and performing bookings of all the legs involved in the issuance of bond-repacks for the structured credit desk.
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Enhancements to C++ bond analytics to use observation schedule DCF for compounding rate calculations for bonds referencing ARR e.g. USD SOFR.
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Enhanced the Buy-Sell signal report that analyses RFQ volumes and enables corporate bonds desk to take a view if there is more interest on the buy-side or sell-side.
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Documented the methodology for DVA computation for CS structured notes business, that captures the risk of issuer and underlying credit defaults.
Risk Analyst
Credit Suisse, Exposure validation : SFT
Sep 2017-Mar 2019
- Analyse exposure-at-default(EAD) moves for collateralized trades such as bond repos, reverse-repos and validate monthly/quarterly submissions to PRA/IHC regulators.
Senior Application Developer
BNY Mellon, STIF(Short Term Investment Funds) Team
Dec 2012-Dec 2014
- Developer on the bank’s money market funds (Global Short-term funds) investment platform team.
- Project FROG(Fund Re-organization). During the course of business, external fund companies consolidate and acquire other fund companies. When this event happens, operations was required to move securities and cash positions and re-code client accounts. “FROG” objective was to implement a flexible “bug-free” methodology for consolidating and merging funds. I developed and performed unit/regression testing of various key modules.
Application Developer
Capgemini, Metlife Insurance products
Dec 2010-Sep 2012
- Enhancements to Metlife’s annuities and GMDB(Guaranteed Minimum Death Benefit) calculations application to support:
- Added online functions to automatically expire an annuity contract (along with all its annuitants); automation of disability retirements processing.
- Automation of Goodyear retirements, Commence survivor transactions. Bug fixes to the bulk-check processing system’s SQL reports.
Application Developer
TCS, AXA Insurance
May 2009-Dec 2010
- Worked as a junior analyst for AXA-US, by providing timely resolution for critical issues in AXA’s life-insurance policy admin systems.
Education Details.
Bachelors of Engineering (Computer Science)
Vidyavardhini’s College of Engineering, University of Mumbai.
2004-2008
Relevant courses: Multivariate Calculus, Data Structures and Algorithms design.
Self-learning and passion projects.
I present below some quantitative finance projects that I have done or have been working on:
Programming Skills.
- C++ : Multi-threaded programming, Lambda expressions and std::function, tuples, type traits, STL algorithms.
- Python : Focus on writing production quality python code, using attrs, pylint for static code analysis, writing unit tests.