Front Office Risk Management
Resume:
Marco De Nes
******@*****.***
Senior Investment Bank Trading Systems architect, with experience dating back to 1993.In-depth knowledge of Interest Rates Derivatives, FXOptions, Credit Derivatives and Equity Derivatives. Most recently career has been to extend, enhance and interface existing trading systems from Data Base Model passing through the Object-Oriented Class Structures and ultimately enhancing the Graphical User Interface, delivered to the Front Office, Risk Management and Back Office.
Involved in the full project life cycle from requirements gathering through development and support, with emphasis on design/implementation.
Engineer/developer with strong Calypso configuration and business knowledge. This combination gives a tremendous advantage to troubleshoot and problem solving.
Responsibility for liaising with production support regarding changes to the production systems, and providing second level support to systems in production. Liaise with business analysts to incorporate new functionality.
Responsible for developing core software components of Sungard’s Infinity Derivatives system, both by extending existing components and developing new ones from scratch.
Key strength: team player with the ability to work with a demanding user base, while being capable of communicating on the user’s terms and keeping colleagues informed of developments.
Involved in recruitment, mentoring and induction of new team members. Built a Calypso development team, an L1 production support group, and a QA team.
In several contracts employed as the Architect and Build Master responsible for source control, building and deployment.
Development of systems in an effective manner, using innovation and common sense to provide the client with the tools to increase profitable growth.
Experience in a variety of technical environments Linux and Windows servers.
American Citizen, European Citizen, and raised in Guatemala. Studied Computer Science (UNICAMP) Campinas, Sao Paulo, Brazil.
Education
Bachelor’s Degree in Computer Science from Universidade Estadual de Campinas (UNICAMP), Sao Paulo, Brazil.
Fluent in spoken and written Spanish, English and Portuguese, working knowledge of Italian.
Work experience in many countries, including Denmark, the United Kingdom, Germany, Italy, Brazil and Guatemala. In the United States worked in New York and San Francisco prior to arriving in Los Angeles in 2015.
Technical & Business Skills
Involved in development of Calypso’s Official PNL
Involved in extensions and fixings of Calypso’s Pricing Script for Non-linear Structure Products
In depth understanding of Fixed Income securities and derivatives.
Strong asset classes experience and knowledge of how to extend from product structuring, product pricing to full product life cycle with products like Swap, Swaption, FRA, Futures, etc.
Knowledge of key processes within trading, including pricing, risk management, settlement within Fixed Income securities and derivatives business.
Extensive Front Office support IRD experience.
Excellent object-oriented analysis, design & development skills.
Deep understanding of how to improve OO architecture for supporting existing IRD products.
Over 15 years of developing from Object-Oriented to Relational database experience.
Experience architecting with Oracle.
Strong problem solving and analytical skills.
18 years of C and C++ software engineering and architecting.
11 years’ experience with JAVA and ECLIPSE.
13 years’ experience with SunGard® Infinity Derivatives Suite
11 years’ experience with Calypso Derivatives
Familiar with Risk Management reports like Sensitivity.
Expert in the Engineering process of Calypso working with Product Managers, QA and release Engineers.
Employment History
Mass Mutual Insurance(Boston) Contractor Aug 2021 to date
Employed at Mass Mutual Insurance for Derivatives Enterprise Transformation Project. On 09-Aug-2021 join as a Calypso expert to develop mappings and transformations from current production system Murex to Calypso v16 Cloud version.
Involved with Interest Rates and Equity Derivatives asset classes as well as Futures, Performance Swaps, Equity Linked Swaps, FX, FXForwards, FXNDF and FXOptions
MUFG Union Bank (Los Angeles) Vice-President Sep-2015 to Aug 2021
Employed at MUFG Union Bank at Global Capital Markets Technology. On 08-Jun-2020 a one year upgrade project from Calypso v137sp1 to v16.1.0.32 went live. Involved from the Hardware purchase, to set up five lower environments plus Production and Contingency Disaster Recovery. A big part of the project was adjusting 500 custom classes mainly used as interfaces to downstream systems, as Datawarehouse, Riskmetrics, central payment systems, central General Ledger.
Datawarehouse feeds are several tens of files that are used to feed Calypso information to a central consolidated system.
Currently working in IBOR project replacement of Libor with SOFR and other indexes. Building the equivalent OIS discount curve based on SOFR quotes.
Very good understanding of how Reuters is configured as a server and Reuters RIC code with Calypso curve underliers and indexes.
Development and support of Calypso Front to Back for FXOptions and Interest Rate Derivatives. Working in the Trading Floor supporting Front Office, helping with Pricing Sheet and Risk Config questions. Responsible for the Calypso morning support, make sure that all Engines are running, and all files has been generated from business day End of Day. Work with Traders to adjust Multicurve package composed of a FedFunds 1D and OIS Libor 3M, using spreads and bonds in the middle and far end of the curve. This needs maintenance to take off expired bond and spreads, add current after Bond Auctions and calibrate with Bloomberg. We have several business groups that need to provide data from Calypso like Sales, Trading, Independent Price Verification, Market Risk, Data Warehouse, accounting, controllers, PnL, limit management, counterparty risk, DTCC, MarkitWire, MarkIT etc. We have a central general ledger that is hosted in Mainframe and we provide Balance accounts from consolidated data from Calypso. Has been developed 500 Java classes that customize the processes between Calypso and related systems. Working to architect a solution to divorce interfaces from using Calypso API i.e. calypsox extensions. There are also other customizations, like Pricer Measures for IRD sales team used for quote and structure deals. Also, extension of Calypso Pricers to import already calculated prices into deals. Have been working with the MarkitWire interface that involves Calypso’s datauploader.jar and markitwire.jar. Create a full UAT environment to test different ways Markitwire will fed trades into Calypso and Calypso send trades to Clear using the MarkitwireParticipant and MarkitWireBook Legal and Book attributes. Specialize. Accommodate independent Risk Calculation via Risk Metrix back into Calypso (PFE) for Trades and Counterparties.
Since Nov 2018 start to plan the upgrade of our system from v13.7.SP2 to v16.2. Involved in documented the several in and out interface that Calypso uses as well as assess the custom code to be ported to java 8.
Responsible for the design of the new HW architecture moving from Physical Servers to VM (Virtual Machines) and change OS from Windows Server 2008R2 to Red Hat Linux and JBoss. This HW design encompasses Prod, DR, PTE(Performance), UAT (Unit test), SIT(System Integration) and Dev.
Very closely involved with other IT departments to create and maintain service accounts, entitlements, vulnerabilities and other Archer findings. To be SOX compliance.
Responsible for the yearly Audit investigation in the IT and Calypso.
Development and Support for FX business using Reuters Electronic Trading for Front Office and Misys Opics for Back Office. This job requires liaise with other parts of the Bank like Auditors, Controllers, Centralized Mainframe platform, Risk Management, Traders, BackOffice, Foreign Currency Loan Ops etc.
Liaise very close with IT groups as Security Access, Identity and Access Management, Business Unit Risk Management, responsible and system owner of Calypso, Markitwire and TradeWeb, to take care of entitlements.
Calypso Technologies (San Francisco CA) Senior Software Engineer Nov-2009 to Sep-2015
Senior Interest Rates Derivatives/Equity Derivatives Developer
Experience with Calypso v11, v12, v13, v14, v14.1, 14.2 and 16.1.0.32
Developed new curve underlying instruments for accuracy in Curve construction.
Develop with Calypso, JBoss Enterprise Java.
Capable of training a team of developers and making them experts in Calypso JBoss, Eclipse and Java7.
Design and implement a new methodology to migrate Calypso Products. The immediate benefit is the conversion of Legacy Products into new Products
Expert in using Calypso JBoss and Java 7 key components of v14
Responsible for Test Driven Development and Code Coverage for IRD
Backport OIS functionality from v13 to 11 and 12.
Lead IRD projects through full development life cycle.
Design, develop and implement new features and modules in company's financial software system, and improving existing ones.
Excellent experience with Eclipse for debugging Calypso.
Work in close liaison with Quality Assurance team and Technical Publications team.
Assist Helpdesk personnel with customer problems.
Work with Product Management, Marketing to translate and understand accurately product specifications.
Responsible for bug fixing for Interest Rate Derivatives Module.
Mentor team in San Francisco.
Supports numerous clients world-wide in different versions of Calypso, helping them with configuration and bug fixing.
Developed scheduled tasks to batch processing of several IRD tasks.
Good knowledge of IRD instrument, market data and pricing.
Main developer of XProd technology, a way to extend contractual information of a product using xml extensions (tech involved xsd, xml and swixml). Benefits do not need a programmer to change contractual information.
Ability to convert Functional Specs to a Jira project and follow its development.
Heavily involved with Calypso’s P2 and P6 processing for 2.0 years
Enhance Equity Structured Option product with its Structured component Pricing Script, add new functionality to the Pricing Script language as mapped variable to existing Pricer Measures to appear in reports and risk calculation
Royal Bank of Canada Capital Markets (London UK) Feb-2007 to Sep 2009
Nordea Bank Markets (Copenhagen Denmark) Aug 2000 to Feb 2007
DZ Bank (Frankfurt, Germany) Nov 1998 to Aug 2000
IBM Germany Global Capital Markets (Stuttgart, Germany) Nov 1997 to Nov1998
Infinity Financial Technology (London, UK) Jan 1995 to Nov 1997
Paribas Capital Markets (London, UK) Apr 1993 to Jan 1995
Neuron Data Inc. (London, UK) May 1990 to Apr 1993
Contact this candidate