Abderrazak Derdouri

PROJECT « SUMMIT TCI »

SUMMIT TCI is a financial software developed in C++/C#, around the SUMMIT FT package, which manages Back-Office activities (Trade Lifecycle, Payments and Confirmations, Regulatory Reporting, Reporting) on derivative products (Swap, Swaption, FX-FWD, FX-SWAP, FX-OPTION, MUST CDS):

- Redesign of regulatory document templates for the transition to CSV Harmonized format replacing FPML format

- Creation of a new STP dedicated to GTRH document processing

- Implementation of FO event integration in SUMMIT for generating regulatory documents associated with each event (Compression, Novation, FTERM, PTERM, Exercise…)

- Integration of COMPOUND Options (Creation of a new FT screen, modification of the Gateway)

- Machine Learning: Automation of Trade validation (Classification, LightBGM, TensorFlow 2)

PROJECT « SUMMIT SECURITIES »

SUMMIT SECURITIES is a financial software developed in C++/C#, around the SUMMIT FT package, for managing back-office activities on securities (BONDS, REPOS, DEAL PAYMENT, LOAN/BORROWING, and STOCKS):

- Integration and testing of developments provided by the SUMMIT FT publisher

- Development of an MQA/LDR for integrating new SWIFT messages

- Development of new specific events around ACCTDRIVER

- Development of an electronic deal integration component (Creation of Netting STOCKS and DEAL PAYMENT deals) from third-party data

- Development of a C# consultation Web Service (WCF)

- Participation in the migration of a Sybase database to an Oracle database

- Design, plan, and implement fixes and improvements to existing code (meta, std, FT_Back, FT_Front, STP)

- Acceptance and regression testing

- Design, plan, and implement fixes and improvements to existing code (meta, std, FT_Back, FT_Front, STP)

- Acceptance and regression testing

Technical Environment: SUMMIT FT (V5.7/V6.0/V6.3), C++, C#, Python, SQL, Oracle, Sybase, Linux Scripting, GIT, Jenkins, Python, TensorFlow 2, ControlM.

PROJECT « INFINITY-FO » for CA-CIB (CREDIT AGRICOLE)

INFINITY-FO is a financial software developed in C++ under Linux, for valuation and risk indicator calculation on vanilla and exotic interest rate derivatives (Caps/Floors, Swaps, Swaptions, FX Options, Cancellable Options…), intended for trading and risk management teams:

- Development and integration of the Credit Value Adjustment (CVA) component

- Development of Monte Carlo simulations for Swaptions using C++11 multithreading (thread pools)

- Integration of the multi-curve framework into the SABR model for Swaption pricing

- Development and integration of the multi-curve framework for exotic interest rate products using the research library

- Iterative integration of the analytical calculation library for research (X12)

- Study and development of new features in collaboration with research, trading, and risk management

- Development and analysis of risk indicators

- Design, plan, and implement fixes and improvements to existing code

- Regression testing

Position: Senior C++ Front Office Consultant

Technical Environment: Analytical Library, Python, C++11, SQL, Sybase, Linux

PROJECT « CREDIT RISK & METHODOLOGY » for HSBC

Within the context of a trading floor activity, development on a counterparty risk management application for interest rate products and derivatives (Swaps, Loans/Borrowings, Caps/Floors, FRAs, OTC Options, FX Options):

- Analysis and estimation of workloads

- Implementation of new credit equivalent calculation methodologies

- Implementation of an OTC options netting algorithm

- Integration of historical VaR

- Development, qualification, and integration

- User support (level 2/3)

Position: Senior C++ Risk Developer

Technical Environment: C++, SQL, PL/SQL, Windows