Quantitative analysis / Software development / Investment banking / Finance industries (C#.NET, Java, SQL, Bloomberg terminal,...


Japanisch
nicht angegeben
auf Anfrage
20.03.2017
Frankfurt am Main
Weltweit

Kurzvorstellung

Deep knowledge of Financial products and Software development, based on 7+ years of experience in Corporate & Investment Banking area.
Therefore, I am capable of multi-roles where requires financial knowledge, quantitative approaches and programming.

Ich biete

IT, Entwicklung
.Net Framework (Mircosoft)
7 Jahre , 6 Monate Erfahrung
C#
5 Jahre , 4 Monate Erfahrung
SQL
2 Jahre , 11 Monate Erfahrung

Finanzen, Versicherung, Recht
Finanzanalyse
6 Jahre , 9 Monate Erfahrung
Finanzen (allg.)
2 Jahre , 2 Monate Erfahrung
Finanzierungsmodelle
9 Monate Erfahrung
Murex (allg.)

Forschung, Wissenschaft, Bildung
Mathematik
2 Jahre , 11 Monate Erfahrung

Projekt- & Berufserfahrung

Tätigkeitsbeschreibung

[Revaluation Service development for derivative products]
- Software development in Scrum approach using TFS.
- Reconciliation and prototyping of Interest Rate / FX derivatives pricing, covering linear and non-linear exotic products.
- Development of the derivative pricing functions in C#.NET, SQL server, Sybase.
- Development of pricing model building tools for Interest Rate / FX markets, using Java, Xml.

Dealt financial products:
IRS, XCCY Swap, Cap/Floor, Swaption, Multi-Callable note, Collar note, Non-Deliverable Forward/Swap, Credit Default Swap, FX derivatives

Eingesetzte Qualifikationen

SQL, .Net Framework (Mircosoft), C#, Finanzierungsmodelle, Mathematik

Kommentar des Kunden

Diese Referenz ist unbestätigt

Tätigkeitsbeschreibung

[Interest Rate and FX derivative pricer for marketing]
- Development and demonstration of the derivative pricing system in C#.NET + SQL Server, implemented pricing logics, calibration and User-Interface. Linear and Non-linear products.
- Development of data extraction tools from Bloomberg.

[A-IRB model development]
- Development of PD/LGD/EAD models in ship and aircraft finance, implemented the business logic, booking function and User-Interface, built in C#.NET + SQL Server.
- Implementation of multi-threading Monte-Carlo simulation, forecasting Vessel/Aircraft values and Obligors insolvency risk.
- Statistical validation of time-series models in forecast of ship and aircraft markets.
- Documentation of the grading logic and specifications.
- Planning and facilitation of the projects with the local management and head quarter oversea.

Eingesetzte Qualifikationen

Microsoft SQL-Server (MS SQL), .Net Framework (Mircosoft), C#, Basel II / Basel III, Finanzanalyse, Risikomanagement (Finan.)

Kommentar des Kunden

Diese Referenz ist unbestätigt

Tätigkeitsbeschreibung

[Interest Rate and FX derivative structuring]
- Marketing structured notes, swaps and deposits with the sales team.
- Dealt with linear and non-linear exotic products denominated in major currencies as well as Non-Deliverable currencies.
- Pricing the derivatives, using different time-series models, Black, SABR and Quadratic-Gaussian N factors models.
- Risk analysis in Greeks for risk hedge, observing such Delta, Gamma, Vega, Volga or Vanna.
- Supported internal pricing tools built in VB.NET.
- Documentation of the pricing logic, provided to local external audit.

Dealt interest rate and FX derivative products includes:
Cross currency swap, Cap/Floor, Swaption, Callable Reverse Floater, Knock-out FX option and Non Deliverable currency products, such as NDF and NDS.


Eingesetzte Qualifikationen

SQL, .Net Framework (Mircosoft), Finanzen (allg.), ISDA, Finanzanalyse, Mathematik

Kommentar des Kunden

Diese Referenz ist unbestätigt

Zertifikate

Keine Zertifikate angegeben.

Ausbildung

Mathematical Finance (Master of Management of Technology)
Jahr:
Ort: Tokyo, Japan

Qualifikationen

C#.NET, Java, Android SDK, SQL, PHP, Visual Studio, Eclipse, Team Foundation Server, MS Office, Excel VBA, Bloomberg

Über mich

As a Quantitative analyst and developer, I have been in investment banking and corporate banking for about 7 years. I bring integrated experience in Financial risk analysis and Software development.

In my first experience in Interest Rate Derivative structuring, I brought knowledge of mathematical finance to price the derivative products and supported pricing system developed in VB.NET.
Throughout this experience, I obtained range of understandings in financial products, including IRS, XCCY Swap, Swaption, Cap/Floor, FX options or other tailor made products.

In my last experience in Risk Analysis Consultant, I have mainly acted as a leading developer, planning application development as well as shaping risk analysis method, documentation and presentation for risk analysts. Throughout this project, I could successfully integrated PD-LGD estimation for structured finance into the user-interface application written in C#.NET, which connect to SQL database server. For the risk estimation, I applied Monte-Carlo simulation with Multi-Threading, to predict future asset values related to the structured loan.

Persönliche Daten

Sprache
Englisch (Fließend)
Deutsch (Grundkenntnisse)
Japanisch (Muttersprache)
Arbeitserlaubnis
Schweiz
Vereinigte Staaten von Amerika
Berufserfahrung
7 Jahre und 11 Monate (seit 04/2009)
Reisebereitschaft
Weltweit
Home-Office
auf Anfrage
Projektleitung
3 Jahre
Beruflicher Status
Ich bin auf eigene Rechnung in Projekten tätig (Freelancer)

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