Philip M Halperin

Supplemental Skills Set


products | risk | systems | Web CV text | CV Index

 

 

Products Covered

  • Foreign Exchange
    • GBP-USD
    • GBP-DEM
    • DEM-USD
    • DEM-JPY
    • DEM-ITL
    • DEM-FRF
    • DEM-Finnish Markka
    • USD-CAD
    • AUD-USD
    • AUD-JPY
    • USD-Singapore Dollar
    • USD-Malaysian Ringgit
    • Spot and Forwards, Vanilla Options, Volatility Arbitrage, Exotics
    • Trading, Market-making, Risk Management
  • Equities (mostly personal account, some risk management and trader management)
    • NYSE, Amex, and NASDAQ stocks
    • Options on OEX, S&P
    • Basket/Index arbitrage
    • Started project in OTC/ADR arbitrage
  • Interest rate products (analysis and trader support programming mostly)
    • Swaps
    • Treasury Bonds, Notes and Options
    • T-bill and Commercial Paper
    • Ted and MOB Spreads
    • Treasury Hedging
    • Caps and Floors
    • Macauley and Chambers Duration
    • Yield curve calibration
    • Forward-forward vs. Eurodollars
    • Municipal Bonds (Revenue Obligations only – investment banking associate)
      • Issue Structuring
      • Embedded Puts
      • Sinking fund
      • Origination
      • Public and Private Placement
  • Commodities
    • S&P Options and Futures
    • Bond, Note, T-bill, Municipal Bond, Eurodollar Options and Futures
    • LIFFE Bund, Gilt, Short Sterling, Italian Bond Futures and Options
    • LIFFE EuroSterling, EuroDM, EuroLira Futures
    • IMM Sterling, Deutschemark, Yen Options and Futures
    • Precious metals Options and Futures
    • Gold and Silver Bullion and OTC Options
    • London Metal Exchange (Aluminium, Copper, Zinc, Nickel, Lead, Tin, Alloy) Options and Futures
    • Comex Copper Options and Futures
    • Nymex Crude Oil, Heating Oil, Gasoline Futures and Options
    • Brent Crude Oil Futures and Options
    • Designed structured product hedge in OTC JetFuel and GasOil swaps and options
    • Chicago Corn, Wheat and Soyabean Options and Futures
    • Traded and managed risk in options, futures, OTC and exchange traded product, cross-market options arbitrage, currency/commodity triangle arbitrage

Risk Coverage

  • Quantitative and Systems
    • Wrote complete system for equities, futures and options incorporating parametric VAR
    • Stress-testing
    • Developed and vetted models for vanilla options and Asians
      • In-house
      • LME TAPO (Traded Average Price Options) committee
    • Risk-adjusted rate-of-return and economic capital allocation
    • Trader efficiency measurement
  • Trading risk
    • Vetting traders
    • Hiring
    • Running desk
    • Performance analysis
    • Trading limit setting
    • Portfolio analysis
    • Active trader
  • Credit risk
    • Ex-officio member of company risk committee
    • Set-up VAR - based counterpart monitoring system
    • Counterpart position analysis
  • Operations risk control
    • Set up
      • middle office for global foreign exchange options dealing
      • reporting lines
      • review procedures
      • risk control
      • independent reconciliation
    • Won SFA procedural approval
    • Evaluated system architecture; minimised systems operations risk
  • Regulatory interface
    • Reporting method modelling and determination
    • Regulatory capital efficiency
    • Member SFA commodity practitioner working group

Systems

  • C, Focus, Basic, Fortran, SAS (Statistical Analysis System)
  • Database design
  • Scientific/mathematic progamming
  • Wrote integrated front- and back-office system for futures and options
    • Trader support
    • Risk Management
    • Desk Management
  • Life-cycle product management
  • HTML and web page graphics design
  • Usual familiarity with MS Office, Win-95

 

top | products | risk | systems

Web CV text | CV Index | Home