20x volume growth in performance reporting/ attribution, analytics and distribution for the client’s complex QIS strategies across asset-classes with 80%+ time savings; an organic extension to its Front-office desk to allow the structuring desk to focus on developing more strategies, generating more volumes

A US-based bank was seeking desk support for its QIS business to assist with performance attribution, reporting, marketing collaterals, and analytics. These were spread across various asset classes including cross-asset quant indices and bespoke or managed indices, with linear and non-linear pay-offs and spread across more than 100 trades, thus increasing the complexity of the performance measurement

• All deliverables have stringent time constraints & has to be delivered without fail on daily basis and other agreed frequency. 
• Scope of error is non-existent, with a simple error potentially leading to wrong derivation or understanding of the risks, exposure and capital, and possible reputation loss. Hence highest degree of caution and sensitivity warranted. 
• Continued automation and ability to work on bespoke reports without any supervision. 
• Structured workflow amongst relevant teams (structuring, quant, calculation) to ensure that the outputs are generated on timely basis and the performance measurement scripts/platforms are triggered on timely basis with possible debugging intervention as well.

Deployed a 2-member team since a decade, supporting the QIS desk with its reporting to the end-clients or counterparties. 

• Niche expertise / specialized resources well adept at understanding the nuances and intricacies of index business across asset classes. 
• Assisted the structuring team in development and maintenance of performance measurement infrastructure (python-based) 
• Multi-level checks to ensure error-free reporting, bug-free reporting infrastructure. 
• Independently scripted the multi-asset attribution, assisted with EQ vol greeks attribution on Python infrastructure. 
• Migration of existing legacy VBA based models to more robust Python infrastructure with self-scheduling features. 
• Assist or independently write qualitative and methodological comments on the performance which are shared with final end-clients and regulators. 
• Automated tool development for factsheet and marketing collaterals’ updation. 
• Independent PX calculation + contribution to various vendor infra (BBG, Reuters etc.) on OTC on daily bas