Project Manager Management
Resume:
Yuri O. Solodukhov
Leninsky Prospect. ***-*-***, Moscow,
Russia, 117421
e-mail: *****@****.***.***
Experience
**/**** – 04/2013 Promsvyazbank Moscow, Russia
Head of Derivatives Sales and Trading/Asset Manager. Was responsible for proprietary and
customer flow of the Bank in FX options which involved trading decision making, execution and trade
booking, mostly in EM but also in G10. Supervised the implementation and integration of third parties
trading systems on the front, middle and back office levels. Supervised the establishment of risk limits
by the risk management department.
Directly supervised employees on the trading floor. Was involved in the indirect supervision of the
risk management and the IT units of the bank as the Project Manager for the general management
project of “bringing the expertise of the employees and the infrastructure of the bank to the world
level”.
On the Asset Management side catered to the stockholders needs in terms of investments and protection
of investments, supplied own investment ideas and was in charge accepting/rejecting third parties
investment ideas.
09/2011 –09/2012 General Invest Moscow, Russia
Part-time Consultant. Analytics write-up, consulting services.
07/2008 –07/2011 Timber Hill / Interactive Brokers Group New York, NY
Project Manager/Quantitative Analyst /Algorithmic Trader. Organized business operation of the
interest rate and commodities option and futures trading desk interacting with CME group, ICAP and
IT departments within Timber Hill. Developed and implemented market making algorithms, various
time series analyses, curve construction, risk and PnL explain tools, relative value tools for options of
different expirations. Oversaw the trade flow and performed trade flow analysis and directed both
electronic and pit trading. Directed the firm advance in market maker ranking on CME/CBOT.
Responsible for PnL generation and attribution of it to the CEO and top management. Had around 10
people under personal management.
05/2007 – 05/2008 Credit Suisse New York, NY
Trader, Associate, USD LIBOR interest rate swaps. Priced and hedged various swaps deals, hedged
positions in broker markets, worked orders in broker markets, along with the more senior traders was
directly responsible for the generation of the PnL. Participated in the PnL attribution for the higher
management. Simultaneously developed a new trading (market making) system for Credit Suisse to
price matched maturity swaps for the off-the-run treasuries, treasury futures, IMM swaps, switches,
butterflies and defeasance schemes. Also developed risk and PnL predictor tools and participated in the
construction of the USD curve in the aftermath of the August 2007 credit crisis.
04/2005 – 05/2007 Credit Suisse New York, NY
Associate. As a member of the Ph.D. Risk and Quantitative analysis team (RQA) which reported to the
Head of US Fixed Income completed two 1-year rotations through different trading desks at Credit
Suisse. Worked directly with traders providing liaison between them and the quantitative modeling
group (GMAG) of Credit Suisse.
As the most senior associate of the group directed a group of junior associates on several desk projects
and evaluated their performance. Conducted interviews with potential candidates (around100
interviews).
Interest Rate Products. Developed and built a pricing and risk model for TBA (mortgage-based agency
futures) and TBA options, worked on theta-gamma and swaptions-caps relative value strategies and
optimal hedging strategies.
Energy Trading/Credit Trading. Priced structured deals: Energy: Asian options, spark spread options,
credit exposure and optimal control for pump units. Products included natural gas (including basis),
crude oil, electricity, and weather derivatives; Credit: CDS, CLN, credit indices. Worked closely with
the sales, trading and risk management teams. Developed trading strategies.
09/2000 – 02/2005 Massachusetts Institute of Technology Cambridge, MA
Research Assistant. Developed highly efficient numerical methods for partial differential equations.
Applied to parameter dependent problems these methods can significantly reduce the computational
time if it is required to solve those problems repeatedly for different values of the input parameters.
Thesis describes those methods and their application to heat transfer, acoustics, and elasticity problems.
06/2001 – 09/2001 M.I.T. – Sloan School of Management Cambridge, MA
Research Assistant. Performed a quantitative study of equilibrium of dynamic economy by solving
four-dimensional Hamilton-Jacobi-Bellman PDE under the direction of Professor A.Pavlova of the
Sloan School.
09/1999 – 08/2000 Cybiko, Inc. (a subdivision of Abbyy Software) Moscow, Russia
Software Engineer. Programmed applications in C++ and coordinated software development projects
at Cybiko, Inc. These projects included development of a graphical engine for 3D simulation, user
applications and computer games.
07/1998 – 06/2000 Basert, Ltd. Moscow, Russia
Research Associate (part-time). Developed mathematical methods and models and software programs
for data processing and analysis. Collaborated on projects including drag reduction and heat
intensification in fluid flows, the study of blood flow in human aorta.
Education
09/2000 – 02/2005 M.I.T. – Sloan School of Management Cambridge, MA
Ph.D., Mechanical Engineering Department
Major: Computational Sciences. Coursework: partial differential equations, numerical methods,
simulations, optimization and stochastic control, linear programming, fluid mechanics, heat transfer,
thermodynamics.
GPA: 4.9/5.0.
Minor: Graduated from a 2-year Sloan School Financial Technology Option program. Coursework:
finance theory, quantitative investment management (taught by A.Lo), numerical valuation of
derivatives, stochastic processes in application to finance. GPA: 5.0/5.0.
09/1994 – 06/1999 Moscow State University Moscow, Russia
Equivalent of M.Sc. degree, majored in Applied Mathematics and Mechanics. Coursework:
probability theory and stochastic processes, linear algebra, calculus, functional analysis; thesis on
numerical methods for partial differential equations of fluid dynamics, graduated with honors, GPA:
4.9/5.0.
Programming Skills
Programming languages: extensive use of C++, C, SQL, Perl, Matlab, Visual Basic, AutoCAD,
Maple, NAG, PETSC
Operating Systems: Windows, Linux/Unix, Mac OS X
Other
Languages: Native Russian, fluent English. As an undergraduate, worked as an English-Russian
interpreter and translator.
Leadership: Former president of the MIT Boxing Club.
Interests: Basketball, boxing, cinematography, house building. Played for the Moscow State
University Basketball Team, four-time winner of the Collegiate Championship of Russia
(1996-1999). Light heavyweight boxing champion of Moscow State University.
Contact this candidate