Ersel Korusoy
Executive Director Electronic Trading @Standard Chartered
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WORK HISTORY
Executive Director Electronic Trading @Standard Chartered
London, GB
EDUCATION
Imperial College London
PhD, Power Generation and Propulsion
University of Cambridge
MSci, Physics
SKILLS
ABOUT ERSEL KORUSOY
At Standard Chartered: Driving trading automation globally- Extending electronic execution platforms to include flow products- Extending quoting platforms to include liquid product information- Speeding up curve generation, pricing and risk approaches At Natwest Markets London: EMEA & US Automated Rates - Running the automated futures and US Treasuries market making books including manual execution where necessary and daily PnL responsibility- Developing optimal execution algorithms (TWAP, VWAP, Implementation Shortfall, Inline, Iceberg, Spread execution and portfolio management)- Use a variety of data analysis methods ranging from straightforward regression to more advanced maximum entropy approaches- Analysing longer term client macro flow to develop warehousing strategies that make use of economic indicators (bond auctions, mean reversion, trending and seasonality)- Developing risk management tools, transaction cost analysis reports and key performance indicators- At time of writing I am generating about 2.5 mio USD of annual revenue with a Sharpe ratio of 30 purely by capturing and optimising our internal futures voice execution flow.At RBS Singapore:(Counterparty Credit Risk, Funding and Portfolio Management)- Emerging Markets CVA and FVA, Pricing and Hedging- Developing portfolio tools for quantification of risk- Algorithmic macro trading strategiesAt Winton (Algorithmic Prop Trading)- Designing, backtesting and implementing algorithmic trading strategies in futures marketsAt ABN Amro (Hedging/Trading)- Developed a Monte Carlo based CVA pricing system- Traded/hedged CVAAt Credit Suisse (Risk Management)- Developed a Monte Carlo Based Counterparty Risk System- Dealing with the front office on a daily basis for pre-deal limit checks- Developing a spreadsheet platform for ad-hoc trade impact analysis- Designing new mathematical models for credit exposure measurementSpecialties: CVA, FVA, Algo Trading, Quantitative Analysis, Building Platforms for Risk Management
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