Global Markets Division: ABS Structuring & Rates Exotics Trading • Optimized the securitization of a £400m Non-Performing Loans Portfolio in Northern Ireland to achieve...more 32% return on RWA. • Built a pricer using DbAnalytics to find the optimal expiries for vega weighted calendar spreads on swaptions. • Build a pricer to aggregate all IR options for a given view to maximize basis point pickup and convexity correction.
Securities Division, 4 rotations across rates & equity derivatives trading
• Developed a more efficient way to display the desks aggregated IR trading book’s Greeks...more risk. • Built a new IR curve bootstrapping method using quadratic interpolation. • Built a spreadsheet to better visualize IR options’ DV01 risk change on the day of expiry.