Experience

Quantile - An LSEG Business

• United Kingdom
• Financial Services
• 1 - 100 Employee

• Quantitative Developer

  • Aug 2019 - Present

  Design, develop and implement optimization models to solve client’s requests. Prioritize projects and allocate modelling resources based on business priorities. • New SIMM optimization models for FX, Rates, Equity using gurobipy • Created a multi-objective optimization model to both compress notional while managing reset risk for interest rate swaps compression. • Created a fast error correcting method to fix solutions with constraints violations. • Developed an algorithm to improve sparsity of the constraint matrix which improves convergence and stability of the optimization Show less



LSEG (London Stock Exchange Group)

• United Kingdom
• Financial Services
• 700 & Above Employee

• Quantitative Risk Analyst

  • Mar 2018 - Jul 2019

  -Default management: aggregated data streams from the repo, equity and derivative services to provide actionable insights on the current exposure of the defaulted member(s). Streamlined the liquidity raising, hedge and closeout auction processes: the most efficient hedges are suggested and filled auction are processed automatically together with PnL calculations. Improved expected closeout time by a factor 5. -Fixed income market data validation: automated US and European sovereign yield curves validation by constructing yield curves with a bootstrapping algorithm. Created dashboard reporting PnL explained by the yield curve move in R Shiny to automate bond price validation for the FLR BAU team. -Implemented new idiosyncratic bonds expected shortfall methodology based on Z spread moves. Show less



École normale supérieure de Lyon

• France
• Research Services
• 700 & Above Employee

• Teaching Assistant in Statistical Physics

  • Sep 2015 - Jun 2017

  Teached tutorial classes to 3rd year university students. Teached tutorial classes to 3rd year university students.