ANALYST
CREDIT SUISSE
Total years of experience :12 years, 9 Months
Analyst Feb ’12 - to date
Securities Lending
• Inventory Optimization - Ensuring the best use of the inventory the Firm holds, pointing out refinancing opportunities to the desk, utilization of Collateral inventory, flipping cash borrows for non-cash
• Client Color - Providing the Clients with short interest information on stocks/markets of particular interest, creating thematic client reports.
•Trade flow management - Ensuring the end to end flow of trades(bookings, amendments, cancellations), Resolving settlement queries/issues daily, informing clients in timely fashion of recalls/returns.
• Supporting the continued evolution of the Sec Lending Platform, facilitating testing & suggesting improvements to desk.
Delta One
• Asia & Europe - Managing risk for Delta One Desk, index research (including add/delete) forecasting, dividend forecasting to price futures
• Developed rights issue tracker to make money off over subscription of rights - resulted in the firm making $10mn profit on cheap oversubscription
• Price testing - checking the validity of various dividends, forecasting them to price future rolls better
• Developed a transfer pricing model from existing data to assist traders in pricing swaps better
• Spotting trade opportunities due to corporate actions and index provider treatment
• Review and process all corporate actions/portfolio rebalances
• Provide analytics across various delta one products with a focus on Index swaps, futures, ETFs & client portfolio basket
Worked as a Quant Intern to analyze the the best model for fitting the US treasury Yield curve. Validated the fact that Nielson Siegel curve was the worst possible choice
• Compared three/four factor models for yield curve interpolation using PCA
• Research various models for tracking the interest rates and better prediction using time series
• Applicable models coded in R by creating functions, modifying packages
• Reengineered processes using Macros to increase efficiency and reduce risk
• Documented processes, created a repository for ease of communication between local and international teams
• Configured tool with modifications, drafted user manual, and implemented for team members
• Developed new processes, documentation and trained a new hire for easy transition into team
• Tracked changes and releases for processes and communicating the same to team