Experienced Quant and Quant Developer C++, Python
Aktualisiert am 17.11.2023
Profil
Freiberufler / Selbstständiger
Remote-Arbeit
Verfügbar ab: 01.12.2023
Verfügbar zu: 60%
davon vor Ort: 100%
Quantitive Analyst
Quantitive Developer
C++
Finanzmathematik
Statistik
German
fluent
English
fluent
Russian
fluent

Einsatzorte

Deutschland
möglich

Projekte

3 Jahre 11 Monate
2020-01 - heute

Quantitative Risk Management

Independent freelance consulter, tutor
Independent freelance consulter, tutor
European Program Director of QRIMA association
qrima
5 Jahre 9 Monate
2015-01 - 2020-09

Team and project management

Head of Credit Analytics, co-Head of Fixed Income Analytics
Head of Credit Analytics, co-Head of Fixed Income Analytics
Team and project management
  • Development of fixed income analytic cross-asset C++ library, implementation of FRTB regulation, design and implementation of risk and valuation platform.
HSBC
6 Jahre 6 Monate
2008-08 - 2015-01

Quant Team management

Head of Structured Credit Analytics
Head of Structured Credit Analytics
  • Quant Team management
  • Design and development of Credit Analytics
HSBC
3 Jahre 6 Monate
2005-03 - 2008-08

Development and implementation

Senior quantitative analyst in Structured Credit CDO Nth Default LSS
Senior quantitative analyst in Structured Credit
  • Development and implementation of models for structured credit correlation business
CDO Nth Default LSS
HSBC
1 Jahr 3 Monate
2004-01 - 2005-03

Implementation of CDO pricer with RFL and fast risk calculation

Quantitive analyst(VP), credit derivatives desk
Quantitive analyst(VP), credit derivatives desk
DrKW London
2 Jahre
2002-01 - 2003-12

Integration of trading and risk management systems

  • Integration of trading and risk management systems by several german banks
bf Arthur Andersen (Later E&Y/ d-fine) financial risk consulting, Germany
2 Jahre
2000-01 - 2001-12

Development and implementation in production

Senior software engineer
Senior software engineer
  • Development and implementation in production of a risk engine for counterparty exposure of FX and Interest Rates books.
Dresdner Bank, Frankfurt (Germany)
1 Jahr 7 Monate
1998-06 - 1999-12

Software development unit

Software Engineer
Software Engineer
  • Development of the connection search engine
German Railways

Aus- und Weiterbildung

1998
PhD2 (Habilitation) in applied mathematics, adviser H.Rost
University of Heidelberg, Germany

1989
PhD in mathematics
Moscow university, Russia. Scientific adviser Ya.G.Sinai.

1983
Master in mathematics
Moscow state university

1978
A-levels
school 710, Moscow

Kompetenzen

Top-Skills

Quantitive Analyst Quantitive Developer C++ Finanzmathematik Statistik

Produkte / Standards / Erfahrungen / Methoden

Profile
  • Team and project manager, head of Front Office credit quantitative analytics, co-head of Fixed Income analytics by an international investment bank.
  • 20 years of experience covering cross-asset class quantitative analysis, quantitative risk management and production systems implementation.
  • Hands-on management experience in Front Office covering Credit, Structured Credit, Hybrid and Interest Rate derivatives, numerical analysis, implementation and design of C++ production pricing library.
  • Regulatory requirements, model governance, FRTB regulation.
  • Strong mathematical and technical skills.

Project and team management
  • Heading team of up to 8 quantitative analysts across different locations
  • Managing projects for the FO desk

Products and models
  • Structured Credit: CDO, NTD, LSS, stochastic recovery, RFL, base correlation
  • Flow Credit: CDS, risky bonds
  • Hybrid products: extinguishing swaps, secondary loans, repacks, leveraged CDS/ CLN with multiple triggers, CLN with structured pay-offs.

Software development
  • Programming: C++ (professional working level), experience in Python
  • Systems: MS Windows, UNIX
  • Compilers: MS VC, GCC
  • Clang, Databases: 
  • ORACLE, Sybase
  • Numerical libraries: NAG, BOOST, GSL
  • Experience in setting up of trading systems (ATLAS, Panorama, Algorithmics)

Math. 
  • Probability theory, stochastic processes (15 papers published), numerical methods

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