• Analytical assistance and reporting on the performance of the insurance portfolio. • Extensive use of SAS in developing risk metrics and reporting to internal/external stakeholders.
• Point of contact with auditors and actuaries.

•Analytical assistance in monitoring and stress testing the margin loan book.
•Developing and enhancing value at risk (VAR) models in access VBA and SQL server.
•Confirmation and testing of pricing methodologies and risk calculations. •Communication of corporate actions and present impact analysis.
•Support sales and the product development in the provision of and development of new products.
•Point of contact with consultants/auditors and business managers.

•Risk reporting and monitoring limits.
•VaR system implementation (Algorithmic’s RiskWatch) •Involved in the testing, rollout and implementation of the VaR system (RiskWatch) for all products traded by Westpac Institutional Bank.
•Validate pricing models, develop stress test scenarios/reports and validate VaR simulations.
•Liaise with heads of desk, traders and risk managers as well as IT.
Developed risk reporting infrastructure for the risk reporting team.

•Monitoring of market risk exposures. •Report daily consolidated risk and pnl estimates for the dealing room and provide market commentaries.
•Provide analytical support to the head of FX and management.
•Monitor and approve limit extensions for the fx option and commodities desk.
•Intra-day monitoring of the fx option book e.g. greek limits via spot vol matrix reports.
•Responsible for developing and maintaining VaR (historical simulation) estimator and validating pricing models.
•Implementation of Calypso FX system. Setup fx stress test scenarios and validate FX pricing models and VaR simulations. •Developed VaR estimating tools via GRID (sensitivity) approach.

•Monitor liquidity/volatility/correlation and event risks.
•Developed scenario/sensitivity/stress test reports for the desk & senior management.
•Developed VaR and real time risk monitoring tools for the traders and to the head of trading.
•Developed interest rate regression tools and present analysis and new ideas to the traders.
•Provided all analytical support to macro and equity proprietary trading desk.
•Responsible for validating pricing models and implementing new products into the risk system.

•Developed real time consolidated VaR monitoring tools for the prop desk.
•Developed real time risk metrics to view consolidated cross aseet risk •Developed multi factor regression based valuation tools for G10 currency crosses.
•Developed tools to monitor intra-day correlation and relative valuations.
•Implemented pair-trading algorithms and platform.
•Research new ideas and detect and quantify new and evolving market trends.