Paul Slomkowski

Half-yearly quality reviews on two long/short portfolios (market neutral/directional) including historical development of gross, net, long and short delta and beta exposures, liquidity and turnover analyses, performance and factor attribution Risk and performance management of thematic funds providing Various projects: automated factor attribution reports in FactSet & Excel, improved liquidity calculation for funds in Java, various additions to reports using VBA

Monthly performance and risk analysis of discretionary mandates and funds (performance and risk attribution, factor analysis) presented to Head of Portfolio Management and various team heads Monthly performance and risk contribution of tactical asset allocation and attribution against strategic asset allocation presented to Investment Committee chaired by CIO Creation of equity screens for value portfolios using various methods Programming languages used: VBA (within Excel and Access), SQL, Matlab

Analysis of changes in VaR, risk sensitivities and scenarios for equity structured products and flow vanilla derivatives; two weekly reports presented to Head of Equity Derivatives Risk in London and Head Trader in Zurich Development of several VBA applications using Access as database for importing risk sensitivities provided by Front Office tool as well as for calculating risk sensitivities not delivered by some desks in front office

Analysis and developing of hedge accounting in Java: automatic hedge pair creation, construction of prospective and retrospective time series, testing of hedge effective-ness using linear regression, accounting entry generation; leading a team of four Development of a finance library in Java

2003-2004: IT Equities department Development of various equity trading applications in Java; led a team of three Member of strategy team which ensured the adoption of best technologies 2001-2002: IT Fixed Income department Development of various fixed income trading tools using Java and C++