Shibin Varghese

Business Analyst

London, England, United Kingdom10 yrs 2 mos experience

Highly Stable

Key Highlights

Expert in quantitative finance and risk analytics.
Proven track record in developing pricing frameworks.
FRM certified with extensive industry experience.

Stackforce AI infers this person is a Fintech expert specializing in quantitative development and risk management.

Contact

Skills

Core Skills

Quantitative DevelopmentC++Credit Risk DevelopmentSoftware Development

Other Skills

Model DevelopmentTestingModel ValidationExcel PrototypesLow Latency ProgrammingUnixPerlCredit Risk ModellingMonte Carlo MethodologySQLPL/SQLQuantitative FinancePythonUnix Shell ScriptingOracle

About

Seasoned front-office/risk quantitative developer with lots of experience in building pricing and risk analytics libraries for fixed income, credit, and commodities markets.. Strong track record delivering reusable pricing frameworks, PnL attribution, calibration/risk factor analytics, and performance-optimized distributed compute for FO and FO-aligned risk platforms. FRM certified. Worked on : • Quantitative Development/ Quantitative Strategies/ Algorithmic Trading. • Managing highly complex projects in the Techno-Functional domain. • Various technologies - Python / R / Matlab / SAS / Perl / VBA / etc. • Implementing and validating front-office derivative pricing models. • Monte Carlo methods, Black Scholes, Market Risk, Credit Risk.

Experience

Hsbc

Senior Financial Engineer

Oct 2020 – Present · 5 yrs 5 mos · London, England, United Kingdom

Crisil limited

Lead Quantative Developer

Jul 2013 – Oct 2020 · 7 yrs 3 mos · London, England, United Kingdom

Working as a Quantitative developer for the Crisil (Irevna) Global Research and Analytics team. Worked on several projects related to Trading Signal Generation, Index Generation, PnL Attribution and Model Validation.
Involved with all aspects of Model development - developing excel prototypes, C++ implementation, Testing/Model Validation and documentation in LaTex.
Developing low latency, cross-platform C++ code for the proprietary quant libraries.

C++Model DevelopmentTestingModel ValidationExcel PrototypesLow Latency Programming+1

Nomura

Credit Risk Developer

Jul 2011 – Jun 2013 · 1 yr 11 mos · Mumbai Area, India

OTC Derivatives Clearing House Project : Credit risk mitigation for fixed income and credit derivatives. Technical implementation of Risk Management using in-house modelling. Implementation of financial modelling using C++/Unix/Perl technologies. Credit Risk modelling for structured derivatives using Monte Carlo methodology. Developing and fixing in-house quantitative libraries.

C++UnixPerlCredit Risk ModellingMonte Carlo MethodologyCredit Risk Development

Infosys

Software Developer

Jul 2008 – Jun 2011 · 2 yrs 11 mos · Pune Area, India

Worked on developing and maintaining a Content Delivery System for a US based Internet publishing house.Trained in Open systems. Developing systems in C++, Perl, Unix, SQL and PL/SQL.

C++PerlUnixSQLPL/SQLSoftware Development