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Crédit-agricole CIB
Mar 2006 - Nov 2009
http://ca-cib.fr
Paris-La Défense
Contract
Consultant SII (Société Pour l'Informatique Industrielle) Paris
Position
IT Risk
Member of Fixed Income Front Office IT team, around Summit, around Summit ® (400,000 trades, 1000
Context
users) and Datasynapse ® grid (400 cpu), develop and support applications.
Redesign computation chain of daily greeks and weekly Stress :
 Functionnal :
 Greeks configurations tables design.
 Stress tests design.
 Technical :
 Parallelism optimization using grid computing Datasynapse.
 Task optimization with automatized configuration table.
 Algorithmic optimization of task submission linear with data.
 Database contention optimization by aggregate result in memory.
 Network bandwith optimisation using binary sérialization of résultats.
 Code optimisation using STL/Multithreading Posix/ purify/quantify.
Task

Optimization of batch computation of daily VaR :
 Functionnal :
 Computation of historical VaR.
 Technical :
 Refactoring ksh scripts to remove loop.
 Redesign data logic model for remove temporary table/work.
 Optimization of query and index.

Put in place MtM on « gridded computation on demand » application QuickRisk :
 Functionnal :
 FRA and Bond pricing.
 Technical :
 Grid computing Datasynapse, Summit API.
Functionnal Rates products, Greeks, Stress Tests, historical VaR, MtM.
C/C++/C#(Microsoft Studio, sunstudio, STL, Multithreading POSIX), Delphi 5.0(Borland), Java(Eclipse),
Technology Perl, Python, ksh, Summit(v3.7, stk API, hedge API), DataSynapse 4.1, Sybase 12.0, dbx, rational
purify/quantify, Clearcase, Ctrl-M, crontab.
GL Trade - Sungard Group
Apr 2005 - Sep 2005
http://www.sungard.com
Paris - Place de la bourse
Contract
Consultant SII (Société Pour l'Informatique Industrielle) Paris
Position
developer engineer
Context
Member of IT team, develop and support trading software GL-Trade ®.
Modelization of implicit volatility on equity derivative :
 B & S formula reverse.
Task
 Dichotomy algorithm.
 Newton-Raphson algorithm.
Functionnal Equity derivative, implicit volatility, Black Scholes reverse, numerical analysis, electronic trading.
Technology C++(Microsoft Studio), win32 API, cvs.

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