John Lazar, Market Risk Developer in London, United Kingdom
John Lazar

Market Risk Developer in London, United Kingdom

Member since December 2, 2019
John is a senior quant developer who’s worked the full development lifecycle of various applications. He’s proficient in several languages—C++, C#, Java, Python, R, to name a few—across Windows and Linux. The types of projects where John excels are advising and implementing in-house cloud distributions of the heavy-load operations combined with continuous integration and deployment (Linux, DevOps packages).
John is now available for hire

Portfolio

Experience

Location

London, United Kingdom

Availability

Part-time

Preferred Environment

Trading Systems, Risk, R, Python, Go, Java, C#, C++

The most amazing...

...thing I’ve developed was a distributed risk system for a bank, allowing for various custom scenarios as as easily defining new ones via textual representations.

Employment

  • Senior Quant Developer

    2018 - 2019
    BNP Paribas
    • Worked as part of the credit and FX teams—migrating and enhancing existing risk and scenarios.
    • Used C++ and ADA to adapt code to the new architecture, market data conversion, and new credit scenarios.
    • Developed a plugin/service for the market data library of BNP, for rolling credit curves from close market to open market. It was written in Go and interacted with other services written in C++ and C#.
    • Created a web pivot visualization for large datasets (bigger than the typical Excel size), based on jQuery, with two back-end versions for data processing (written in C#, Python, Pandas, and NumPy for the reconciliation of PVs between old and new pricing systems).
    • Developed the Linux version of the quant library, ensuring the reliable build and testing in TeamCity along with a smooth operation and review of issues related to deployment.
    Technologies: TeamCity, Linux, NumPy, Pandas, Python, jQuery, HTML, Risk Models, FX, Go, C#, C++
  • Senior Quant Developer

    2017 - 2018
    Lloyds Banking Group
    • Evaluated GPU options and third-party libraries for various algorithms of parallelization utilized in the Monte Carlo valuations of trades.
    • Created a set of KPIs that assesses the behavior of the quant models and the stability of the end of day batch. The project was done in Python using big data technologies (Pandas/Spark), generating reports in LaTex.
    • Developed the market data processing system on the Bloomberg and Reuters feeds for equity indices, stocks and FX volume surfaces. The project was written in C#, based on a stateless parallel acyclic graph calculation.
    Technologies: LaTeX, HTML, Pandas, Python, CUDA, C#, C++
  • Senior Quant Developer

    2016 - 2017
    BNP Paribas
    • Wrote the pricing for a number of products, some having simple mathematical descriptions, e.g., exotic cap floors while others requiring calibration and Monte Carlo simulations.
    • Worked on the market data library (in Go), on adapting the market data necessary for the products.
    • Ported modules of the quant library from Windows to Linux. As a result of the porting reduced compilation times from 30 minutes to three minutes.
    • Added a methodology for coding under Linux (using JetBrains CLion and CMake).
    Technologies: TeamCity, Linux, Risk Models, Go, C#, C++
  • Senior Quant Developer

    2015 - 2015
    Credit Suisse
    • Designed a scenario definition framework for CCAR and PRA, based on macroeconomic factors, using F# and C#.
    • Worked on the translation of the high-level scenarios to specific bump parameters required as input by the risk systems.
    • Evaluated CCAR and PRA internal implementation based on macro-economic factors vs a third-party library providing conversion to specific bump parameters.
    Technologies: F#, C#
  • Senior Quant Developer

    2012 - 2015
    Barclays
    • Worked as part of the FX team on a real-time pricing system capable of handing volatile events, lack of input from primary markets. The system attempted a small prediction capability based on the order book. Worked in Java, KDB, and R.
    • Developed FX real-time execution algorithms based on price, order book, volume and time. Written in Java, KDB, MySQL.
    • Analyzed a large historical order book and tick data, from a KDB database, using Q queries, combining data from HDB with recent data from RTDB.
    • Wrote a trade translation system from XML to internal Barclays format and self-documenting the exact translations as HTML and LaTex.
    • Enhanced and refactored a legacy risk calculation system for commodities traders, providing PV and greek values.
    • Created a distributed grid for the quicker processing of results.
    Technologies: LaTeX, HTML, C#, C++, MySQL, Kdb+, R, Q, Java
  • Team Leader

    2011 - 2012
    Mitsubishi UFJ Securities
    • Managed a team of five people and was in charge of the timely delivery of new products.
    • Implemented a QuIC pricing and risk system (currently called Markit Analytics).
    • Worked on IR, FX, credit, and equity products by mapping data from Murex—incoming MXML and various database queries—to the QuIC internal format.
    • Ensured pricing consistency by implementing Excel replication of all the formulas from both Murex and QuIC.
    Technologies: XPath, XML, C#
  • Team Leader | Senior Developer

    2010 - 2011
    Lloyds Banking Group
    • Managed a team of four developers in charge of a trade storage solution based on SQL and Coherence for the quick retrieval of T0 and T-1 for pricing and trade blotters clients and regular retrieval times for historical as-of-date requests.
    • Worked on a C#/MSSQL server platform, responsible for holding data from many systems in the bank, with the ability to define and manage new types of data storage in a fully dynamic way.
    • Evaluated Coherence distributed cache capabilities for storing large sets of data.
    Technologies: Microsoft SQL Server, Coherence, Java, C#
  • Senior Developer

    2010 - 2010
    Citibank
    • Developed new products in the MARS risk system that was a Java-based system using a proprietary XML workflow.
    • Combined trade data from Gemfire with market data and ensured trade execution on a distributed Symphony grid.
    • Connected the pricing systems via JMS to various risk results systems.
    Technologies: JMS, XPath, XML, Java
  • Senior Developer

    2009 - 2009
    Credit Suisse
    • Developed a new risk platform for exotic trade books. Written in C#, it also uses grid computing (DataSynapse equivalent), GemFire trade storage, Tibco EMS communication, and OLAP for storing and allowing quick slicing/drill down on results.
    • Enhanced the existing quant library pricing architecture for more stability on exotic, complex trades.
    • Created various custom scenarios for risk, as required by the traders.
    Technologies: OLAP, TIBCO Enterprise Message Service (EMS), C#
  • Senior Developer

    2008 - 2009
    BNP Paribas
    • Developed an FX auto-execution system (C# with Tibco RV connectivity and a DevExpress Windows UI) for the real-time execution of large orders during volatile market conditions. Won praise from the head trader on algorithmic FX trading for its correct execution during the Non-Farm Payroll event.
    • Built an order management application in C# with a Windows UI based on DevExpress.
    Technologies: DevExpress, TIBCO Rendezvous, C#
  • Senior Developer

    2007 - 2008
    Credit Suisse
    • Developed a credit risk system (C#) that converted Excel EOD spreadsheets.
    • Integrated the quant libraries, market data, and internal grid calculation.
    • Led a team of two developers in Pune, India, to further develop the risk system.
    • Created a CDO tranches substitution model for evaluating changes in the CDO tranches as PV and Delta.
    Technologies: C++, C#
  • Project Manager | Lead Developer

    2005 - 2007
    LSI Soft
    • Managed a team that developed an automated FX trading platform for a group of traders in Denmark.
    • Completed a full emulation of Metatrader (written in C# using the MS SQL database) which enabled tick data backtesting and genetic algorithms to determine the parameters of the best trading system.
    • Created a web interface for trading signals publishing. Written in C#, using ASP.NET and Microsoft SQL.
    • Developed multiple CRM systems for different companies/industries. Written in C# and VB using Oracle or Access as databases.
    • Created a document management system, having a database of scanned and OCR-ed documents. The project was developed in C#, ASP.NET, HTML, JavaScript, Ajax dynamic loading, and an Oracle database.
    Technologies: Microsoft Access, Microsoft SQL Server, MetaTrader, C++, C#
  • Project Manager | Lead Developer

    2002 - 2005
    Prier VJ Software Solutions
    • Managed a team of 12 developers working on a ERP project for the transportation industry.
    • Contributed to the requirements gathering for all aspects of the transportation sector—from HR, drivers, trucks, pallet freight, maintenance, etc. The ERP was written in Java, using EJB.
    • Worked on other projects in C#, using ASP.NET, HTML, and JavaScript.
    Technologies: JavaScript, HTML, C#
  • Developer

    2000 - 2001
    Scala Business Solutions
    • Designed and developed (using C# and MS SQL) a tax management system for local administration, with modules for fees and taxes or houses, cars, land, commercials, and more.
    • Built a timesheet management application (using ASP, VB, and MS SQL) for submission and approval, with companies, agencies, and freelancers as users.
    • Developed multiple websites using ASP, HTML, and JavaScript.
    Technologies: JavaScript, VB, ASP, C#
  • Web Developer

    2000 - 2000
    IPACRI
    • Created a web interface for financial risk tools for the client, Group ELSAG Italy.
    • Implemented dynamic web loading for a table so that the data in table rows were generated by the server every 10-20 seconds.
    • Integrated ASP using VB scripting with COM components (written in C++ and MS SQL database).
    Technologies: Microsoft SQL Server, VB, ASP, HTML, C++
  • Web Developer

    1999 - 2000
    Webcam, Ltd.
    • Developed multiple HTML/CGI web applications using C++ and Perl under Linux.
    • Worked on the first version of shopping carts and used files for data storage.
    • Created WAP interfaces for mobile devices with small screens.
    Technologies: Wireless Application Protocol (WAP), CGI, Perl, C++

Experience

  • Arduino PWM Frequency Generator (Development)
    https://github.com/lsisoft/arduino_frequency_generator_bluetooth

    An Arduino-based PWM frequency generator, with commands in a format similar to GCode, which can be provided via serial interface or Bluetooth connectivity to a phone or computer.

    We designed it to be an inexpensive, completely decoupled signal generation module that operates from a battery and ready to be plugged into an IGBT amplifier for an electronics workbench. It operates via Bluetooth—with two-way communication—enabling isolation from the main computer and useful while working with higher voltage/power applications.

Skills

  • Languages

    C#, C++, Python, HTML, F#, XML, XPath, JavaScript, VB, Perl, Java, R, Q, Go
  • Tools

    *nux Shells, LaTeX, TIBCO Enterprise Message Service (EMS), TIBCO Rendezvous, Microsoft Access, TeamCity, Jenkins, IncrediBuild, Murex
  • Platforms

    Linux, CUDA, MetaTrader, Docker
  • Industry Expertise

    Algorithmic Trading, Trading Systems
  • Other

    Risk Models, Market Risk, FX, Credit Risk, Commodities, Risk, Coherence, DevExpress, CGI, Wireless Application Protocol (WAP)
  • Frameworks

    ASP
  • Libraries/APIs

    jQuery, NumPy, JMS, Pandas
  • Paradigms

    OLAP
  • Storage

    MySQL, Microsoft SQL Server, Kdb+

Education

  • Master's degree in Computer Sciences
    1999 - 2004
    Politehnica University of Bucharest - Bucharest, Romania

Certifications

  • PRINCE2
    JUNE 2011 - PRESENT
    APMG

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