Title

Executive Director, Quantitative Research

Overview

Cloudwall is a fintech startup (founded in Nov 2021), offering an institutional-grade risk platform for digital asset portfolios. Even though I had other offers from large financial companies, I chose to work with Cloudwall for a couple of reasons:

  • I was curious to experience the work environment at a startup, contrasting with the more structured atmosphere at large companies like my previous employer, NatWest. Cloudwall did not disappoint. It’s a vibrant and swift-paced workplace, with an impressively minimal level of bureaucracy. The rapidity from the initiation of a project to its completion is truly remarkable - something that’s rare in large corporations.

  • I was eager to gain more hands-on experience in building software for production systems and immerse myself in the entire software development process. Fortunately, Cloudwall has granted me this opportunity. I’ve been involved in every stage of the software development process, working closely with the software engineers and the user experience (UX) team.

Things I’ve done

  • Interactive risk measurement services: Jan 2023 - Sep 2023

    I’ve been responsible for delivering the modelling and analytical implementation components of the company’s interactive risk measurement service.

    At the time I departed the firm, the analytics supports: portfolio of digital assets and derivatives including options, perpetuals, and futures; historical simulations of spot price and volatility surfaces; full revaluation of portfolios, capturing non-linear risk; various risk measure computations (VaR, Conditional VaR, etc); sensitivity (Greek) calculations

    See also Publications

  • Real-time option pricing service: Nov 2022 - Feb 2023

    I contributed to the development of a real-time digital asset option pricing service, covering all modelling aspects. This includes market data collection, volatility surface construction, option pricing, sensitivity calculations, implementation testing, model evaluation, documentation, and publication (see Publications)

  • Value-at-risk model evaluations: Sep 2022 - Jan 2023

    I produced model evaluation reports on the performance of the VaR models and shared them with potential clients.

  • Client engagements: Since joining the firm

    • I’ve developed Jupyter notebooks for client demos, available publicly at serenity.sdk.python. The notebooks are also used internally for UX team to build the user interface.

    • Participated in client meetings and provided technical support on model-related topics.

Publications

I authored the following publications at Cloudwall, available publicly at the Cloudwall website.

Tools and Technologies

During my tenure at Cloudwall, I have been able to work with and learn from a diverse set of tools and technologies.

  • Daily used:
    • Python: numpy, pandas, scipy, pytest, test-driven design, objected-oriented design, interface specification, notebooks, pytest, pylint, mypy
    • SQL, git, Linux, Dockers, Jira, LaTeX, REST API
  • Gained exposure to: continuous integration, containers (Docker), cloud (Azure), Redis, Dagster (data pipeline)