Yuri Ivanov

Background

About Yuri Ivanov

Expertise: • Design and implementation of an efficient solution (Python) for a central market data hub using modern cloud technologies. Broad expertise in the market data providers and interfaces. • Concept and validation of a market data methodology (e.g. Bootstrapping, SABR Interpolation, Benchmark Reform) and valuation approaches for credit and callable IR products, equity and FX structured derivatives, AT1 bonds, commodity (energy) derivatives and physical assets. • Valuation of the structured derivatives incl. sensitivity calculation (IR, FX, Equity, Credit, Commodity) using proprietary valuation libraries, other libraries such as Bloomberg, Reuters, Numerix and QuantLib, and trading and market risk systems (Front Arena, Calypso, Kondor+, RiskWatch, VR-Control, WSS, etc.). • Risk management (Concept and implementation (Java, C++, SQL) of a proprietary solution for scenario analysis, VaR and Exposure calculation based on historical, Monte Carlo, and Delta-Gamma approaches, CVA Calculation). Validation of risk management methodology. • Development and implementation (C++, C#, SQL) of algorithmic trading for intraday power contracts. Development and validation of scenarios for future power price and energy mix. • Data analytics (ML-based) and validation (e.g. outlier identification, PCA, statistics based). • PFC real-time generation, automatic quality checks, management of shape risk.