Blair Azzopardi
Summary
Accomplished Software Developer skilled in multiple programming languages with expertise in Javascript and Python. Works collaboratively to meet project milestones. Exceptional troubleshooting and debugging skills.
Overview
16
16
years of professional experience
Work history
2022.01
- YABTE - backtesting engine
- An open source python backtesting engine for testing trading strategies with historical data
- Scipy - Stable distributions
- Improve numerical precision, stability and speed of Stable distribution PDF and CDF code
- Scipy 1.9 contributor.
2018.01
- Stable Probability Densities using FFTs & Newton-Cote Rules in Scipy
- A short paper exploring alternative FFT approaches for calculating Stable densities.
2017.01
- Scipy - Stable distributions
- Support Stable distribution PDF and CDF using Zolotarev, FFT or quadrature as well as parameter estimation using quantile method
- Scipy 1.2 contributor.
2015.01
- Mersenne Primes and Related Algorithms
- A presentation on algorithms related to Mersenne Primes and their application on GPUs using Python.
2009.01
- Parrot VM - Matrixy
- MATLAB/Octave port to Parrot Virtual Machine
- I started the project with the intention of recreating most of the common syntax / semantics of the M language., Parrot VM - Parrot Linear Algebra
- Linear Algebra Package for Parrot Virtual Machine
- Initially this was part of the Matrixy project but was separated into its own package
- It interfaces with Fortran BLAS and LAPACK libraries.
EnBW
2023.05 - 2023.12
Quantitative Developer
Global Markets / QDAT
2023.05 - 2023.12
- EnBW is a publicly-traded energy company based in Germany
- I am assisting the Strategic Risk team as they migrate their existing VaR reporting from Endur to Beacon
- The project is challenging as it covers several million deals over hundreds of books
- Highlights
- Enhancement of existing VaR report, improving robustness and resilience to single book failure
- Optimise VaR report run time from 4 hours to less than 1 by utilising P&L and Position Vector matrices (prototyped & delegated)
- Various mapping enhancements/fixes for Gas & Power Swaps & Futures (e.g
- Support irregular schedules), Cash Payments, FX Forwards
- Execution and analysis of Historical VaR and Delta reports in Beacon
- Enhancement and execution of Delta reconciliation report between Endur and Beacon
- Development and execution of P&L reconciliation report between Endur and Beacon
- Configuration and testing of gas/power forward curve bootstrapping priorities
- Statistical / basic data anomaly detection & correction (via interpolation or deletion) for price & forward curves
- General troubleshooting for various VaR / Delta issues and optimization of existing deal mappers.
Consultant, Weekends
2015.11 - 2023.08
- Commodity Intelligence LLP is a firm that provides equity investment advice on developments in commodity markets to institutional investors
- I designed and developed various technical processes around their research workflow, as well as providing general support for their research database, including maintenance and optimization
- Highlights
- Design/development of large scale article analyser for detecting interesting themes using several machine learning models
- For Sentiment Analysis we use a pre-trained Universal Sentence Encoder model and for Named Entity Recognition we use a customised Word Embedding model.
Commonwealth Bank of Australia
2019.10 - 2023.03
Director Quantitative Solutions
Global Markets / QDAT
2019.10 - 2023.03
- Quant, Data, Analytics and Technology provide analytical insights and develop reusable modules for traders, sales, and global capital market teams
- I was the sole quantitative analyst on the London Commodity Trading and Sales desk, where I supported traders and sales with pricing, hedging, client facing analytics, market risk, P&L analysis, and capital optimization
- I also assisted in the development of the Beacon derivatives pricing and risk management platform for commodities
- I covered oil energy, carbon, base metals, precious metals, and agricultural products
- In March 2023, my role was made redundant and moved to Sydney, Australia
- Highlights
- Advance Rates analysis based on asset price slippage and liquidity of carbon offsets (for Sales traders)
- Backwardation hedging analysis calculating Value at Risk and Expected Shortfall on liquid spreads of base metals (for Sales traders)
- Identification and backtesting of trading strategies/models through fundamental data and time series analysis
- Report data triggers in advance for future trade signals
- Seasonal Energy Spread analysis for determining when common spreads are overbought/oversold
- Development of a specialised Asian option pricer using Moment Matching model that supports correlation
- Empirically tested using Monte Carlo simulation
- Responsible for developing all mappings for commodity trades between Murex and Beacon
- Ensuring trades reconcile in terms of NPV, premiums, greeks etc
- Instruments include Commodity Futures, Options on Futures, Swaps and Asian Options
- Developed using Beacon's Incremental Computation API
- Also responsible for booking non-commodity deals within commodity portfolios in Beacon including FX Spot, FX Futures, FX Options, Simple Cash Flows and to a lesser extent Interest Rate instruments such as Swaps, Bond Futures and Fixed Rate Deposits
- Development of general Swap / Asian Option class hierarchies in Beacon allowing various specialisations/customizations, e.g
- Cleared, bullet, with/without FX, physical, with/without haircuts, differing units for fixed prices/strikes, multiple calendars (fixing/payment), payment shifters, etc
- Simplified and improved reconciliation with Murex cash flow based structures
- Enhance interactive solver (Beacon Quote Tool) to support new Swap/Option/Asian classes
- Calculate premiums, Greeks and implied volatility for Asian options utilising DAG framework (Beacon Gromit) and presented as a custom modal layer (within Beacon Quote)
- Development of Volatility Editor pane (within Beacon Quote) allowing data to be viewed and edited as raw Deltas, ATM Spread or Risk Reversal/Butterflies
- Updating one view automatically calculates, updates and highlights other views
- Development of Volatility Smile interpolation library
- Supports natural and flat boundary conditions, flat or linear extrapolation and flat backward or linear time projection.
Bank of America
2017.06 - 2019.10
Worker / Python Quant Developer
Global Risk Analytics
2017.06 - 2019.10
- The Wholesale Alternative Modelling Group within Bank of America's Global Risk Analytics group provides quantitative capabilities to support global risk and capital management
- My contract role was to assist with the development, data preparation, calibration, execution, and reporting of various challenger wholesale credit models, with a particular focus on internal IFRS-9 accounting requirements and regulatory CCAR reporting
- Highlights
- Development of Intensity Simulator Model to simulate rating gaps in 500k loan timeseries; uses Linear Regression against various macro factors to forecast losses by segment; missing data points are imputed by sampling from regression sigmas
- The model integrated with existing Default Rate & Transition model and directly produces an impact analysis of total losses in various scenarios
- Exploratory data analysis including generation of QQ, weighted percentile and histogram plots
- Build out IFRS-9 reporting engine automating generation of Latex reports for Loss Given Default models
- The same engine was extended for CCAR reporting
- Implementation of Standard Deviation Shocking for simulating macro factor shocks to baseline models
- Automation, configuring and execution of multiple sensitivity model variations in various parallel environments including standard python multiprocessing, proprietary Hugs platform and pyspark
- Variations were used to assess the impact of various segmentations, input assumptions and random seed values
- Porting of existing Non Performing Assets calibration model from Excel to Python
- Conversion of existing DRT backtesting/forecasting routines to new modelling framework including calculation and tie out of transition matrices and linear calibration parameters
- Assist in porting of existing Quartz code libraries to new platform including tieing out data between systems where numerical discrepancies might exist due to calculation order or formula differences.
Man Group
2016.05 - 2017.06
Python Software Engineer
Morgan Stanley
2015.11 - 2016.05
- Quant Team
- Man FRM is a global alternatives investment specialist with a focus on institutional clients
- I joined the Quant Team to help streamline models and library code for their newly launched Alternative Beta product
- Highlights
- Development of Quant infrastructure for running Portfolio target allocation models on a nightly or ad-hoc basis
- Utilising a plugin architecture allowing for simple creation and testing of various portfolio optimisation models including Hierarchical Risk Parity, Bucketed Risk and Fixed Weight models
- Implemented model auditing system allows for tracking changes for live client portfolios
- Development of Pandas extension to support Returns data along with various risk measures like Sharpe/Sortino ratios, Benchmark Betas/Alphas, Drawdowns, etc
- Development of Cognity client library with dynamic type loading
- Synchronised FRM portfolio and fund metadata along with their returns to Cognity server
- Dynamic risk calculation parameters allowed configuration of models, decay factors, time windows etc on a run-by-run basis
- Library also triggered risk and backtesting calculations including VaR, ETL, STD Dev used extensively for client marketing.
Worker / Oil Analyst / Developer
MS Energy
2015.11 - 2016.05
- In 2015, Morgan Stanley sold its physical commodity business to Castleton Commodities
- I assisted in the transfer of the Norwegian Energy Research platform to MS Energy, a contract role that involved maintaining and compiling oil statistics from various sources, publishing reports online to Matrix and via email, and redesigning the backend architecture and consolidating the data into a single consistent database
- Highlights
- Production of weekly stock statistics from various countries and regions
- Maintenance and daily update of refinery margins model; Captured historic settlement prices as well as forward curves to produce margins for various feedstocks and output products
- Maintenance and internal distribution of weekly Cushing Storage reports
- Compilation and distribution of various other weekly & monthly reports including Oil Movements, US Railway Miles, Rig Counts and others.
Noble Group
2012.01 - 2015.10
Oil Analyst / FFA Trading
Noble Research
2014.08 - 2015.09
- Ship Tracking
- Noble Research analyses all markets including power, gas, metals and oil globally for Noble Group
- I migrated into this role as an oil analyst leveraging my freight experience including AIS analysis
- I served other desks for FFA analysis, hedging & trade execution
- I also maintained oversight of the Cargo & Vessel Tracking system
- Highlights
- Design/automate calculation of crude/product balances (supply and demand) utilising AIS, fixture reports and Bayesian modelling
- Model crude oil floating storage using AIS
- FFA hedging and trade execution utilising all major brokers at the time
- Stewardship of CTA Model that monitors and captures technical market moves; The model uses a combination of technical indicators such as MACD to determine when CTAs are likely to enter or exit in most global markets
- Redesign Research's Refinery database for determining product demand; Captured information about units and planned/unplanned turnarounds; Reports include seasonal TARs, total capacity and total offline capacity etc.
Quantitative Analyst / Freight Derivatives
Noble Clean Fuels
2012.01 - 2014.07
- Noble Clean Fuels is the oil division of Noble Group
- My role was as an algorithmic trading strategist working with the senior freight derivatives trader modelling, backtesting and spec trading FFAs and other oil derivatives
- After the trader's departure I managed the FFA desk as a hedging and execution-only platform for European Gasoline and US Distillates desks
- I also directed the development and design of the Cargo & Vessel Tracking tool that utilised AIS to generate crude and product global balances
- Highlights
- Identify and backtest trading strategies/models through AIS vessel tracking data and correlation analysis; e.g
- TC2/TD3 vs vessel positioning, CO1/CL1 vs Oil on Water, E/W Fuel Oil arb
- Development of algorithmic trading infrastructure including time series database, Bloomberg upload link, backtesting library
- Graph routing for determining likely freight flows and modelling time to price centre
- Lead the design / development of AIS Cargo & Vessel Tracking System
- Core infrastructure and portal design and architecture; Developer hire/management; Core reports included data quality, vessel movement trends and crude balances / virtual fixtures using AIS; The tool is able to collect fixture information from different sources for top down product balance reporting
- Time-series generation and analysis to determine trends and patterns
- FFA trading and execution; Utilising all major brokers at the time including GFI, ICAP, Marex & SSY.
Quant Analyst / Developer
Glencore, ST Shipping Limited
2008.04 - 2011.12
- ST Shipping Ltd is the London energy freight division of Glencore
- I was responsible for algorithmic development of trading strategies working closely with the senior freight trader
- Highlights
- Time-series generation and analysis to determine trends and patterns
- Application of quantitative techniques to find patterns in large noisy datasets
- Graph routing and shortest distance calculations for determining future freight flows
- Free text destination prediction for determining future freight movements
- Various reports including ship lightering detection and cargo flow modelling
- Vessel stationary point detection and cluster analysis
- Correlation analysis, trade algorithm detection and backtesting
- Creation of various visualisations including animated heat-maps and dynamic product vector flows
- Lead/monitor/support team of tracking analysts; Typically an analyst on each trading desk
- Designed and developed AIS geospatial shipping intelligence tool (also known as Whiteboard).
Education
Certificate in Quantitative FinanceResult: 95% -
CQF Institute
Maths - Physics
Sussex University
Courses, Certificates & Publications - undefined
Logistic Regression - ICH - undefined
Business Analysis - Learning - undefined
Project Management and Microsoft Project - undefined
Energy Markets - Invincible - undefined
Portfolio Performance Measurement and Attribution - undefined
MMath (Masters Degree with Honours) - undefined
School of Mathematical Sciences
2023
Skills
- Summary
- The following summary is in order of recent experience:
- Languages
- Python (fluent), SQL, Latex, VBA, C/C, R, F#, C#, Matlab, Maple, Mathematica
- Technologies
- Numpy, Scipy, Pandas, Jupyter, Statsmodels, Hadoop, PySpark, SQL Server, SQLAlchemy, Zeep, Gensim, Spacy, Tensorflow, MySQL, SSRS, Powerpivot, AIS, SQLCLR, IPython, Boost, Multiprocessing, Multithreading, Mongo
- Markets
- Options, Swaps, Loans, Portfolio management, Metals, LME, Precious Metals, Agriculture, Gasoline, Distillates, Crude oil, FFAs, TC2, TC14, TD3
- FinTech
- Beacon, Murex, Bloomberg, Quartz (BAML), PAM (Man), Cognity, Trayport, TradingBlox, IIR, Reuters
- Models
- Black Scholes, Moment Matching, Monte Carlo, Linear Regression, Loss Given Default, Default Rate Transitions, Value at Risk, Natural Language Processing, Sentiment Analysis, Universal Sentence Encoder, Bayesian, A
- Routing
Timeline
EnBW
2023.05 - 2023.12
Quantitative Developer
Global Markets / QDAT
2023.05 - 2023.12
2022.01
Commonwealth Bank of Australia
2019.10 - 2023.03
Director Quantitative Solutions
Global Markets / QDAT
2019.10 - 2023.03
2018.01
Bank of America
2017.06 - 2019.10
Worker / Python Quant Developer
Global Risk Analytics
2017.06 - 2019.10
2017.01
Man Group
2016.05 - 2017.06
Consultant, Weekends
2015.11 - 2023.08
Python Software Engineer
Morgan Stanley
2015.11 - 2016.05
Worker / Oil Analyst / Developer
MS Energy
2015.11 - 2016.05
2015.01
Oil Analyst / FFA Trading
Noble Research
2014.08 - 2015.09
Noble Group
2012.01 - 2015.10
Quantitative Analyst / Freight Derivatives
Noble Clean Fuels
2012.01 - 2014.07
2009.01
Quant Analyst / Developer
Glencore, ST Shipping Limited
2008.04 - 2011.12
Certificate in Quantitative FinanceResult: 95% -
CQF Institute
Maths - Physics
Sussex University
Courses, Certificates & Publications - undefined
Logistic Regression - ICH - undefined
Business Analysis - Learning - undefined
Project Management and Microsoft Project - undefined
Energy Markets - Invincible - undefined
Portfolio Performance Measurement and Attribution - undefined
MMath (Masters Degree with Honours) - undefined
School of Mathematical Sciences