Resume

 

Alan Prictor

 

Skills

Teacher: Secondary Education

Mathematics

Physics

Science

Software Development

Skill Years Used Commercially
C# 2005-2013
C++ 1992-2005
SQL 1995-2013
FORTRAN 2006-2010
Full Life Cycle Development 1992-2013


 

Financial Markets Knowledge

Skill Years Used Commercially
FX Options 1992-2007
Exotic Options 2000-2007
Electricity Instruments 2007-2013
Fixed Interest 1992-1995
Equities 1992-1995

 

 

Education

University of Technology Sydney

Bachelor of Teaching, 2014

Monash University, Clayton, Victoria

BSc (hons)

Major in Applied Mathematics, 1991

Thesis: Calculation of Stellar Structure

Securities Institute of Australia

Graduate Diploma of Applied Finance, 1997

Professional Experience

Susquehanna Pacific Pty Ltd, Sydney, NSW

2011 – 2013

Senior software engineer Integral Energy, Huntingwood, NSW

  • Development and Maintenance of real time risk management software for an algorithmic trading company

January 2007 to 2011

Quantitative Developer

  • Design and implementation of a Value at Risk methodology written in C#.  Charts were produced in Matlab directly from C# using Matlab’s COM interface and the GUI was written in Excel.  Although a relatively unusual choice for GUI, Excel is an environment that gives familiarity and flexibility to the end user.  Standard risk measures such as VaR have problems with seasonal markets due to their dependence on historic data.  This model works by building historic forward curves, adjusting them for seasonality and then shaping them using load profiles provided by AEMO.
  • Design and development of electricity load forecasting software used to determine Integral Energy’s hedging requirements, written in C#, data sourced using SQL.  This project implemented the forecasting methodology previously reviewed by CSIRO.  It established a formal production environment, including data cleansing, source control and business continuity requirements.
  • Data Procurement and Analysis from internal and external sources, including the writing of screen scraping software (written in C#) to automatically download market data from the web.  Internal data was sourced from a number of oracle databases using SQL.
  • Design and implementation of Profit and Loss reporting system for the Strategic Trading Portfolio, written in VBA/Excel.  This project began as a simple request from the company treasurer, with the expectation that there would be quick handover.  The decision to use VBA reflected the expectation that sophisticated end users would be able to maintain the product, but feature creep meant this became an unreasonable expectation.   In hindsight, developing in C# would have been the better option.
  • Reverse engineering and documentation of Integral Energy’s Risk Simulation Engine.  Integral Energy purchased a partially documented Bootstrapping Simulation Engine that produces simulations used in determining Earnings at Risk, Cash Flow at Risk, and Potential Credit Exposure.  This project required thorough analysis of the FORTRAN code base, and complete documentation of the underlying mathematics and methodology.
  • Queensland Market Entry.  Integral Energy entered the Queensland market rapidly signing up around 100,000 customers.  Large anomalies existed between what the marketers were reporting and what the outsourced metering company reported.  A system was written in C# with reporting in Excel to keep management informed of these discrepancies.
  • Collaboration with Maths in Industry Study Group (MISG) moderator, Dr. Max Stevenson, with regard to delivery of project “Diagnostic Testing for Earnings Simulation Engines in the Australian Electricity Market.”
  • Presentation of an industry problem to Mathematics in Industry Study Group (MISG) at Wollongong University; “Calculation of Risk Multiplier for Net System Load Profile”.
  • Assistance with the design of a General Compliance Framework for the Company Secretariat.  This framework is used to develop company compliance plans such as Operational Health and Safety.  Although not involving software, this project made use of object oriented design principles to formalise and communicate business processes and interactions.
  • Business Analysis and graphical documentation of the existing processes and interactions between branches within the Retail Division, including Sales & Marketing, Risk Management, Trading, Forecasting, and the Company Executive.  This project enabled senior management to better understand the processes behind hedging, market campaigns, permissible delegations and customer interactions
  • Ad hoc programming requests and database queries.

CSIRO, Mathematical and Information Sciences,

Macquarie University, NSW

December 1999 to January 2007

Senior Software Engineer

Reditus project
  • Designed and developed an exotic option pricing platform based on existing finite element software developed by CSIRO for solving general partial differential equations.  This software is currently available internationally as Reditus™.  The platform includes a scripting language that enables great flexibility with barriers and payoffs, enabling new exotic option types to be added without the need to recompile the code.
  • Created a Microsoft COM interface for Reditus™.  This allows the Reditus platform to be integrated into existing software packages.  Also developed a Microsoft Excel based front-end GUI as a demonstration how Reditus™ can be plugged into existing systems.  This also enables Reditus™ to be used as a stand-alone product.
  • Marketed Reditus to financial institutions, and at trade fairs.
  • Identified GFI Fenics™ as a potential strategic ally due to their extensive penetration in the international FX options market, and their lack of exotic option capability.
  • Worked with GFI to integrate Reditus™ into Fenics™ using their proprietary API.  This was rather challenging since the API had not been designed for the kinds of products Reditus is capable of pricing.
  • Worked with GFI to develop a subscription based business model for Reditus™.
  • Supervised two vocational students on the Reditus™ project.
  • Reditus™ now has over 100 international subscriptions providing an ongoing cash stream for CSIRO.  It requires minimal maintenance.
  • Information of this product can be viewed on the following links:

www.csiro.au/solutions/Reditus.html

www.solve.csiro.au/0507/article4.htm

  • A list of the different exotic options types supported can be found at the following link:

www.csiro.au/files/files/p4l5.pdf

Operational Risk Project
  • Worked as a CSIRO consultant on the Group Operation Risk Management project with the Commonwealth Bank (in the year 2000).
  • Assisted with tendering for consultation work on the Commonwealth Bank’s Operational Risk project.  This multi-million dollar project was required for CBA to compliant with the Basel 2 accord [in the years 2006-2007].
  • Wrote project specifications, code design, database design, and implementation of CBA’s Operation Risk project.
  • Designed and implemented a recursive memory management algorithm for marshalling nested C# classes to FORTRAN structures.  This allowed the project to take advantage of the powerful mathematical ability of FORTRAN without losing the advantages of C#.
  • Played a major role in tendering for and producing a technical review of Integral Energy’s TLP Model
  • Assisted with organisation and running of the 2006 CMIS Divisional Conference
Electricity Load Forecasting Review Project
  • Played a major role in tendering for and producing a technical review of Integral Energy’s TLP Model; approximately a $300 000 contract.
CMIS Divisional Conference
  • Assisted with organisation and running of the 2006 CMIS Divisional Conference

Commonwealth Bank / EDS Institutional Banking, Sydney, NSW

December 1996 to December 1999

Software Engineer

Responsibilities:

  • Team member on Prism project.  Prism is an in house, front office/back office FX option pricing and management system written in C++.  This system was built from scratch, and handled a range of option instruments and structured products.
  • Database Administration of the Prism system (SQL Server)
  • Provided technical support to FX Options trading desk.

Dealing Information Systems / SunGard, Sydney NSW

August 1995 to December 1996

Software Engineer

  • Built rate feed capture system [C++, SQL Server].
  • Built financial instrument pricing library [C++].

DIS was a Sydney software house that serviced a number of financial institutions, in Sydney, South East Asia and the Middle East.  It was bought out by SunGard.

Equity Systems Ltd / Reuters, Sydney, NSW

September 1992 to March1995

Software Engineer

  • Implementation of Black Scholes and Binomial option pricing models.
  • Implementation of technical analysis formulae.
  • Software testing

ESL was a Sydney software house that serviced Reuters.  It was subsequently bought out by Reuters.

Awards and publications

2005 Finalist Australian Information Industry Association iAwards in 2005 (Reditus)

A Prictor, (2009)  Report on Integral Energy’s Risk Simulation Engine, Integral Energy confidential internal report

D. Shaw, A Prictor, P. Thomson, J. Vander Touw (2006). Technical Review of Integral Energy’s TLP Model, CSIRO confidential report for Integral Energy, CMIS 2006/189

P. Shevchenko, J. Donnelly, D. Oats and A. Prictor (2004). Benchmarking the Operational Risk Capital Model. CSIRO confidential report for CBA Group Operational Risk, CMIS 2004/174.

Zili Zhu, Pavel Shevchenko and Alan Prictor (2003). Reditus platform for pricing a suite of exotic options: User Guide Reditus v2.3, June 2003. CMIS technical report 04/52.

Zili Zhu, Pavel Shevchenko and Alan Prictor (2003). Reditus Exotic Options Plug-in: User Information Pack, June 2003. CMIS technical report 03/99.

P.V. Shevchenko, A. Prictor and J. Donnelly (2000). User Acceptance Testing of the Group Operational Risk Management System, CSIRO confidential report for Commonwealth Bank of Australia, CMIS 2000/166.

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