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IT skill (Adyne (Python (Cointegration (readcsv, stores, pandas, numpy,…
IT skill
Adyne
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Python
Cointegration (readcsv, stores, pandas, numpy, statemodels, matlibplot)
Basic Analytics: Production Data like risk, MTM from bbg, models
Risk Analytics.
Bucket the risk by countries, tenors
PCA on certain each and amongst strategies
Simple analytics to review each strategies
PnL attribution by group, overall PnL, change of delta, futures in diff point of time
simple backtest
drawdown, Sharpe, Calmar, Annualised Vol
simple regression (scatterplot)
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Arup
imp vol vs realised vol, ranking showing some heatmap
Options: Terminal Values - Today's value, upside/downside
Oracle
System Admin: Unix, Linux
Oracle Database Administrator
Upgrade Java version from 6 to 7
University
Matlab
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Imperial:
Carry Strategies of different curency
Mean Variance Portfolio: create the efficient frontier
Black-Litterman Model: Advanced MVP
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