Drove strategy, architecture for various credit/trading book risk mgmt.
Systems for top-tier investment banks (Deutsche, Barclays, Citi and
Credit Suisse)
Trading Book Risk (Greeks)/Counterparty Risk (RWA, PFE, XVA) -
Distributed pricing and risk calculations/aggregations - using grid
computing.
Delivered hypothetical (what/if) & stress scenario analysis to see
the effect on portfolio due to hypothetical trade, market, model
parameters etc.
APIs, UX and UI - provide risk, P&L explains consumption by various
clients in both trading, downstream systems including real-time
reporting.
Cross asset pricing, risk across products from IR, FX, commodities,
equities and credit.
Time series and lineage - devised strategies to store risk measure,
market data and explains.
Auth^2 - restricting trading desk users to access aggregates, books
on-demand securely.
Real-time risk - Streaming real time risk and project P&L based on
the market change.
Simulations - using several techniques including Monte-Carlo, historic
etc.
Data warehousing - Store EOD risk and P&L