Hans Erik Thrane

Founder at Roq Trading Solutions
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Contact Information
us****@****om
(386) 825-5501
Location
CH
Languages
  • Danish Native or bilingual proficiency
  • English Native or bilingual proficiency
  • German Limited working proficiency
Skills

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Credentials

  • CF21 & CF30
    FSA
    Feb, 2004
    - Oct, 2024

Experience

  • Roq Trading Solutions
    • Switzerland
    • Software Development
    • 1 - 100 Employee
    • Founder
      • Aug 2018 - Present

      A toolkit for quant traders wanting full control of their own trading platform. Open, modular and built for ultra-low latency market making. Interfaced from C++ or using the FIX protocol. A toolkit for quant traders wanting full control of their own trading platform. Open, modular and built for ultra-low latency market making. Interfaced from C++ or using the FIX protocol.

  • Quinclas Consulting Ltd
    • Director
      • Feb 2016 - Jun 2019

      ■ Feb 2018 - 2019 | HFT framework designed for early-stage investment funds. Partnering with established Chinese fund to develop the tools and migrate existing strategies. Continued ■ Jul 2018 | UK based start-up fund | Analysis of existing and proposed future algorithmic trading solutions. Advice and participate with the choice of vendor solutions. ■ Feb 2016 - Feb 2018 | UBS London | Quant team | Design and build graph framework to support (very) large scale distributed risk processing. Support strategic risk project. Demonstrate use-cases and integration points with existing/new quant and IT solutions.

  • UBS
    • Switzerland
    • Financial Services
    • 700 & Above Employee
    • Executive Director
      • Nov 2009 - Sep 2015

      ■ Algorithmic Trader/ FX: Pricing and risk management of G10 currency pairs. Java based trading infrastructure. Work with IT teams to implement changes and new APIs. ■ Algorithmic Trader/ Rates: Pricing and risk management of Treasuries and swaps. Java based trading infrastructure. C/C++ based tick-capture/database engine (>4 years without any outage, >300bn messages, >100 data sources). Improved risk-management for illiquid bonds. Management and mentoring. Driving research efforts. ■ Quant/ Data Analytics: Analyse transactional data. Statistical modelling (using Python/Pandas). Objective: to predict client behaviour. Work closely with PIN-FI traders and e-sales teams. ■ General: Participation in steering committees. Provide input to strategic decision making.

  • TickCapture.com
    • Self Employed
      • Apr 2009 - Nov 2009

      ■ Objective: Create a set of algorithmic trading tools. Support low latency trading. ■ Achievements: C++ based simulation tools, trading infrastructure, messaging system, and tick-data capture & database. Windows and Linux. APIs available for C, C++, Java, Python, and Lua. ■ Results: The prototype was completed. But the project had to be stopped due to lack of funding and a proper marketing plan. ■ Objective: Create a set of algorithmic trading tools. Support low latency trading. ■ Achievements: C++ based simulation tools, trading infrastructure, messaging system, and tick-data capture & database. Windows and Linux. APIs available for C, C++, Java, Python, and Lua. ■ Results: The prototype was completed. But the project had to be stopped due to lack of funding and a proper marketing plan.

  • Morgan Stanley
    • United States
    • Financial Services
    • 700 & Above Employee
    • Executive Director
      • Jan 2008 - Apr 2009

      ■ Quant Developer/ Rates: Trading strategies to support block trades (risk-dispersion using mean-reverting curve models). Second generation PCA-based swap curve model required by electronic market-making. Work closely with traders, quants and IT teams. Manage desk development team. ■ General: Strategic committees (electronic market making, client offerings, and the Matrix project). ■ Quant Developer/ Rates: Trading strategies to support block trades (risk-dispersion using mean-reverting curve models). Second generation PCA-based swap curve model required by electronic market-making. Work closely with traders, quants and IT teams. Manage desk development team. ■ General: Strategic committees (electronic market making, client offerings, and the Matrix project).

  • Bank of America
    • United States
    • Banking
    • 700 & Above Employee
    • Vice President
      • Mar 2005 - Nov 2007

      ■ Proprietary Trader/ Rates: Mandate to trade fully automated CTA-style long/short trading strategies. Bond-futures on Eurex. Daily VaR limit of $1m. Implement, test, and trade own strategies (mostly using time-distortion as a function of market activity). Develop C++ based trading system (feed handlers, tick-database, back-testing, order execution, and risk management). Implement access to Eurex (CEF-alpha), CME (MDP), ION (MKV), and Reuters (SFC). Management. ■ General: Assist traders and research. C++ bond/swap analytics. Provide access to historical data. Work closely with bond traders to design and implement new pricing system.

    • Vice President
      • Oct 2003 - Mar 2005

      ■ Quant Developer/ Rates: C++ based analytics library. Replace existing A+ based pricing functionality. Bond/swap analytics. Curve fitting. Work closely with traders. Provide library foundation for rest of quant team. PCA based market making model for swaps. FX portfolio optimization model. Assist traders and research with specialised analytics solutions. ■ Market Maker: European Government Bonds. Scandinavian Bonds & Swaps. Pricing. Risk management. Proprietary trading. Own and shared books.

  • BNP Paribas
    • Investment Banking
    • 1 - 100 Employee
    • Quant Developer
      • Apr 2001 - Oct 2003

      ■ Quant Developer/ Rates Derivatives: Extend VAX/VMS based risk system with new risk methods. ■ Quant Developer/ Credit Flow: C++ library to support new credit flow trading system. Support for bond, CDS, and CDO analytics. Risk reporting framework. Tools to assist growing the flow business. ■ Desk Quant/ Credit Derivatives: Support traders and structurers with analytics solutions. Distributed risk calculations for CDOs and CDO2s. Optimization tools for portfolio credit ratings. Web tools for portfolio pricing.

  • ABN AMRO Bank N.V
    • Netherlands
    • Banking
    • 700 & Above Employee
    • Vice President
      • Aug 1999 - Apr 2001

      ■ Risk Manager/ Rates Derivatives: Set limits and monitor desk exposure. Validate new business proposals. Work closely with traders, quants, model validation, IT functions, and risk reporting.■ Quantitative Developer/ Rates: Bond and swap analytics. Curve fitting. Real-time bond pricing engine. C++, Excel, Java, Tibco, Reuters, and ION APIs.

    • Risk Manager
      • Jan 1998 - Aug 1999

      ■ Risk Manager/ Rates & FX: Monitor and report risk exposure against set limits. Develop C++ based risk engine supporting risk reporting and Value at Risk. Research new risk methodologies. Review procedures and compliance. Work closely with Amsterdam risk management group.■ General: Assist traders, sales, and IT functions with data, tools and analytics.

  • SimCorp
    • Denmark
    • Software Development
    • 700 & Above Employee
    • Quant Developer
      • Apr 1996 - Dec 1997

      ■ Quant Developer: Replace existing analytical reporting with new APL based reporting framework. Interface with existing C based analytics library (SCEcon). Pure functional programming. Risk reporting. Financial performance reporting. Support for JP Morgan's RiskMetrics. ■ Quant/ Research: Research, implement, test, and document new models. Interest rates derivatives/ exotics. Implementation in C with support for many platforms, including mainframe. Offer training and courses. ■ Quant Developer: Replace existing analytical reporting with new APL based reporting framework. Interface with existing C based analytics library (SCEcon). Pure functional programming. Risk reporting. Financial performance reporting. Support for JP Morgan's RiskMetrics. ■ Quant/ Research: Research, implement, test, and document new models. Interest rates derivatives/ exotics. Implementation in C with support for many platforms, including mainframe. Offer training and courses.

  • Nykredit
    • Financial Services
    • 700 & Above Employee
    • Temp
      • Oct 1995 - Apr 1996

      ■ Contract: Processing of loan applications. ■ Contract: Processing of loan applications.

Education

  • Aarhus School of Business
    Master of Science (MSc), Finance and International Business
    1990 - 1995

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