Worked on a Fundamental Review of the Trading Book Internal Model Approach (FRTB IMA) project for Regulatory Risk department. My main focus was on Profit and Loss Attribution (PLA) reports, making sure they are provided across the whole bank portfolio in a timely and correct fashion.

As a personal service IT consultancy company, I have been offering software engineering services to various clients within the financial sector through short-term and mid-term contracts.

Clients

• Crédit Agricole, electronic foreign exchange (eFX) trading (Jetstream).
• BNP Paribas, commodity derivatives trading (Markets 360).
• Rokos Capital Management.
• Chicago Mercantile Exchange (CME), multi-asset trading platform (LIQUID).
• Royal Bank of Scotland (RBS), foreign exchange options (FXO) trading.

Achievements

• Took ownership and led integration of an external FX options trading system with an existing Crédit Agricole single-dealer trading platform. This added FX options to the set of products offered by the bank to private clients in France and expected to increase the bank’s profit.
• Developed FX forward deals an early termination solution at Crédit Agricole. It allowed clients to be more flexible while trading with the bank by early realising profit or loss from their positions.
• Participated in transforming an existing commodity derivatives platform into cross-asset by adding fixed income products support at BNP Paribas.
• Created a solution for interest rate swaps portfolio optimisation at CME. End clients gained a functionality to reduce the number of positions they hold with the exchange and overall transaction costs.
• Made several exotic foreign exchange options products available for trading on an RBS single-dealer platform. Those products placed the bank in the better competitive position on FX Options market.

Worked for Investment Banking IT division, Credit IT department, which provided services to trading desks globally.

Achievements

• Created an intraday risk, profit and loss (Risk & PnL) reporting system that allowed traders to see their risk profile immediately, without waiting for the end of the day. This enabled the desk to make more confident decisions during the trading day.
• Made an asset swap and an equity variance swap available for trading by creating an exotic derivatives pricing system, which helped the bank to extract profit from very specific client needs.
• Built and led an offshore development team based in Moscow, Russia.