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
|