Past Contract Work(Most Recent First)

Three consecutive contracts at the LCH (London Clearing House, 33 Aldgate High Street, EC2N 3EA- 0207-426-7000) between Jan 1998 & Oct. 1999 continuously. The London Clearing House is one of the oldest City institutions and clears Liffe (Futures & Options), IPE (Petroleum), LME (Metals) and TradePoint (Stocks) exchanges.

I worked as the sole developer/SQL Server Database Administrator (DBA) in their Risk Management department writing Delphi software to forecast and price Swaps, Futures and Options. This was used to calculate VaR (Value at Risk) and as a potential margining system. As DBA I created Access 95 and SQL Server 6.5 databases (in excess of 6.5Gb size), importing it all as raw data from an Ingres database on a Vax mainframe. I wrote all the T-SQL code (some embedded in Delphi, some Stored Procedures) to update and access this data and managed all maintenance and backups. I built robust applications in Delphi using OOP techniques that ran unattended for several hundred hours doing billions of calculations and data exports in excess of 5 Gigabytes of data. I wrote approximately 25,000 lines of Delphi code over the two years while at the LCH.

The London Clearing House 'clears' trades on several exchanges. For every buyer of a contract (perhaps a futures contract) the clearing house acts as a counter-party. This makes the market more liquid (nothing worse than having no buyers!)  and reduces the risk of defaulting. (Think of Barings and Nick Leeson).

The main project (PAWS) was involved with developing and proving a new approach to forecasting VaR for assets up to 10 days ahead. 

RiskClock Computing Ltd - 10 Peel Close, Chingford, E4 6XU

3 Months. October 1997-December 1997

Developed Futures & Options Forecasting Software in Delphi 3

RiskClock is an independent Consultancy between Dr K. Giannopoulos (Senior Lecturer University of Westminster) and Professor. G. Barone-Adessi (International specialist in finance and visiting Professor at U.S.I Lugano and London). I worked for them, based at the London Clearing House (LCH) developing Delphi applications for their Value at Risk (VaR) methodology. The results were published in the Journal of Futures Markets (Vol 19, No. 5 583-602), a prestigious academic journal published by John Wiley.