We are a small and agile consulting company specializing in quantitative and application software development for clients at investment banks, hedge funds and in other fields. We are highly effective in helping to solve complex problems and in building bespoke solutions collaboratively. We are located in the New York City metropolitan area. Our professional experience includes:

  • Development of reports and analytics for market risk team at a top US private equity company. The client needed to enhance their market risk reports for portfolios in their fund-of-funds business with more granular risk and performance attributions utilizing new market factors.
  • Development of front office tools at equity derivatives trading desk at a top US investment bank. The tactical tools helped trading, sales and middle-office with intraday risk management, PnL explain, soft market data marking, data visualization and analysis, and more. Covered index flow, index exotics, single stock exotics and delta one trading desks.
  • Model development for Barclays POINT (advanced multi-asset quantitative platform for large portfolios analysis). Development of their global risk model based on linear multi-factor methodology and new credit risk analysis tool. Familiar with POINT performance attribution and portfolio optimization models.
  • Market Risk RWA internal audit for CCAR at a top US investment bank. Performed comprehensive review of their RWA model development and valuation processes addressing regulators concerns at aggregate global trading book levels. Reviewed sensitivity analyses of improved realized volatility and market risk VaR models performed by their model development and model validation teams. Wrote final audit documents to be presented to bank regulators.
  • Technical competence in scientific and systems development using core Java, C++, Python, C#, Matlab, Mathematica, SAS, Excel.
  • Familiarity with SR 11/7 and SR 12/7.