- Own margin methodology including SPAN, VaR, and portfolio-margining approaches.
- Develop, implement, and validate derivatives pricing models across equities, commodities, futures, and options.
- Backtest margin coverage and document model performance for regulatory review.
- Build and maintain data pipelines and automated reporting using SQL and Python.
- Monitor real-time and historical portfolio risk and design automated liquidation algorithms.
- Perform scenario analysis and stress testing across various market conditions.
- Provide risk-based input for product onboarding and parameter calibration.
PythonSQLNosql