Title

CCR Quantitative Analyst, Deputy Head, Independent Contractor

Overview

  • As the Deputy Head in th CCR quant team, I played a pivotal role in designing an suite of brand-new models for the award-winning greenfield CCR risk system, covering cross assets (rates, inflation, FX, credit) and collaterals.
  • I was instrumental in designing and building the team’s own risk engine framework (C# and SQL). This allowed us to easily incorporate models and conduct initial and on-going tests, such as backtesting.
  • Among my contributions, I authored the risk factor simulation methodologies for inflation indices/curves and interest rate curves.
  • I was also actively engaged in discussions with the regulatory body (PRA), aiding our firm in retaining the model approval (IM, Basel 3).
  • Upon the successful completion of the project, I was given the opportunity to take over and oversee the model suite.

The Model Suite

  • Scope:

    • risk factor simulation models: IR curves, IR volatilities, inflation rate curves and indices, FX rates, FX volatilities, credit spreads, equity prices
    • pricing models: IR swaps/caps/floors/swaptions, FX forwards/options, CDSs
    • collateral modelling: VM and IM
    • testing: on-going model review, backtesting

  • Skills and model components brought into the project:

    • time series analysis: AR(1), GBM, GARCH(1,1), Kalman filter
    • statistical methods: PCA, regression, maximum likelihood estimation, momentum matching estimation, hypothesis testing on multinomial distribution
    • general techniques: Monte Carlo simulation, Nelson-Siegel parameterisation