Khalid Munawer

-Calculate derivatives exposure for Counterparty Credit Risk based on PFE/SA-CCR methods using ORE and R. -Built derivatives pricing/risk sensitivity library using Opensource Risk Engine. -Validate interest rate (LGM) and FX (correlated Black Scholes) models in ORE. -Calculate CVA and funding cost for derivatives using ORE and R. -Built Repo trades PFE calculation tool based in Python and QuantLib library. -Explain derivatives P&L based on risk factor sensitivity and market risk factors movement.

Pricing of interest rate and inflation derivatives Analysis of derivatives portfolio and creation of reports for Asset Liability Committee using R, VBA, and SQL Collaboration in larger projects with derivatives

Trading execution support for the structured products (risk management, IT support, and reporting). Development and optimization of ETF’s risk reporting process using VBA. Pricing analysis of equity, OTC derivatives, and fixed income products.

Developed and back tested quantitative investment strategies using MATLAB and VBA (multi-asset and portfolio optimizations). Performance attribution analysis of quantitative investment strategies. Creation of rule based investment strategies description.

Financial modelling (P&L, balance sheet forecasts, and competitor analysis). Macroeconomic analysis (forecasting and risk analysis). Fortnightly reporting to the investment committee.

Macroeconomics in Open Economy, Financial Markets and Macroeconomy, Monetary Theory and Policy, Foreign Exchange Economics, etc

Computational Finance, Mathematical Finance, Pricing in Derivatives Markets, Risk Management, Econometrics for Financial Markets, etc

Corporate Finance, Financial Analysis, Management Accounting, Financial Time Series Analysis, etc