Paul Hollingsworth

Flat 16
Chequer Court
3 Chequer Street EC1Y 8PW
cell: 0781 793 2182

Home page: http://PaulHollingsworth.com
Email: Paul@PaulHollingsworth.com

Objective:

A job working with smart, passionate people that utilizes my experience programming in the financial sector. Whilst I am a very strong programmer, I am also interested in opportunities that will let me further develop my interests in quantitative finance.

Key Skills:

 C#, .NET, C++, Java, Windows, UNIX, Financial maths

Education:

Degree: B.Sc. (Computer Science and Physics) University of Sydney.

(Final year on exchange at University of Illinois– 4.8/5.0 GPA)

Ongoing: Currently completing 3rd year of a 4 year part-time Mathematics and Statistics B.Sc. degree from Birkbeck.

Secondary: T.E.R. 97.10% (i.e. in top 3% of N.S.W graduates)

Books I like/recommend:

• "Trading and Exchanges: (Market Microstructure for Practitioners)" by Larry Harris
• "Fooled by Randomness" by Nassim Taleb
• "Godel, Escher, Bach" - an Eternal Braid

September 2008 - Current: Barclays Capital

Rank: Vice President

I am currently working on a risk system for the Fixed Income Exotics desk within Barclays Capital. The system is responsible for publishing daily PnL and risk numbers to the desk. This was working mainly in .NET, but also with some C++ required.

I designed and implemented:

• "Automatic Report Generator". This is used for the automatic publication of all daily PnL and Risk reports to the desk
• "Post Processing Engine". This is the main engine which performs all data cleaning and finite difference calculation tasks (e.g. our PnL calculations are performed by this engine).
• "XMLisp" - a minimal Lisp interpreter which we embed into the other components of our system. This allows us to have a flexible XML configuration format which lets us minimize configuration duplication as requirements change.

November 2006 – August 2008: Royal Bank of Canada Capital Markets

Quantitative Developer

• CDO VaR

C++, Windows, Tibco. Convert quant spec for CDO VaR calculation into working code. Worked with quants on mechanisms to handle shocking of CDS spread and correlation curves in extreme scenarios. Numerous performance and functionality improvements to enable existing system to be able to value 100,000+ CDO risk scenarios per overnight run.

• Sybase CTlib C++ wrapper

Sybase ctlib, template meta programming. Wrote C++ wrapper over Sybase ctlib to ease implementation of database client code. Used template meta programming techniques to ensure minimal coupling and compilation dependencies between the different clients’ types and native Sybase types and headers, while keeping an easy-to-use interface.

October 2005 – September 2006: Citadel Investment Group (Europe)

High Frequency Trading - Quantitative Developer

C++ and Linux. Implemented:

• Low latency XETRA and Values API feed
• "Liquidity Finder" component to allow internal matching of orders with other internal hedge fund businesses. Orders from other systems in the "post office" are checked against prop desk’s own positions, and matched internally if desirable (but still according to best execution rules).
• Proprietary trading algorithms (maintaining an in process order book, collection of real time statistics on order placement, latency, market data etc.)

March 2001 – October 2005: UBS AG (Chicago, then London)

Rank: Associate Director

Sep 2004– October 2005 - Equities Quantitative Strategies group.

Java, C++

• Designed, implemented and deployed a basket decomposition library. Used analytic differentiation to shred greeks for derivatives based on arbitrarily complex recursively defined basket structures.
• Worked with other quants to improve C++ coding standard through the code base

Mar 2001-Sep 2004 – Equities Risk IT

Java, multi theaded programming

• Designed and implemented the Java re-write of the real time equity risk "engine". The original component was written in poorly performant C++. The Java re-write was part of a global overhaul the equity risk infrastructure. The engine allows traders to see multiple concurrent "views" of their portfolio position broken down by arbitrary attributes, all "ticking" in real time. All changes to the portfolio (trades, prices, volatility surfaces etc.) are updated in real-time.

July 1999 to March 2001: MicroHedge (SunGard, Chicago)

C++, COM, Windows

Designed and implemented:

• EUREX DataFeed.
• CBOE AutoQuote feed

• Generic COM plugin architecture that allowed clients to develop their own external connectivity to exchanges

A high point in my career has definitely been standing on the trading floor of the CBOE watching the numbers change on the "big board" above, knowing that my software was playing a crucial role in the process.

July 1996 to July 1999: SunGard Futures Systems (Chicago)

C, UNIX, VMS, TCP/IP, SQL

• Quote feeds and exchange scheduler

Wrote a system to collect settlement prices from different exchange systems in different regions and time zones over a 24 hour period, all to be uploaded each night into the systems central database, with minimal operator intervention.

Was awarded the SunGard 100% Club Award for Outstanding Achievement.

January 1996 to July 1996: SunGard Futures Systems (Sydney)

C, VMS

In this entry-level position I was responsible for developing a working knowledge of the more than two million lines of C/ESQLC code that makes up the core of the product.

After demonstrating my skills, I was offered the opportunity to transfer to the Chicago office.