Valentin Samko personal web site

Valentin Samko

Address: London, United Kingdom

Email: cv@samko.info

Homepage: http://val.samko.info

Current position:

December 2007 - Present

Vice President, Credit Derivatives Desk Strategist at Morgan Stanley

Pricing and risk of structured corporate credit derivatives. Working on hedging strategies.
Analysis of risk metrics and market data for better risk prediction and explanation.
Responsibility for regular pricing and risk reports and development of report related tools in C#.
Implementation and testing of proprietary credit pricing and risk models in C#, C++, Java and VBA.
Passed FSA Unit 1 exam and studying for other exams for FSA registration.

Previous positions:

November 2006 - December 2007

Quant Developer at Morgan Stanley

Development and maintenance of testing and serialization frameworks.
Design of credit risk libraries, and assisting other team members with technical issues.

July 2004 - November 2006

Team Leader / Manager at Barclays Capital

Analysis, development and testing of mission critical client and server side trading software in C++, C# and Java.
Managing and coaching software developers, coordinating team work.
Maintaining and extending N-tier applications, with Java middle-tier for connectivity with MS SQL Server.
Development of optimal, robust, fail-safe software solutions for electronic trading of bonds, iterest rate swaps, futures and other products.
Troubleshooting problems in live production environments.
While working at Barclays Capital I also took a number of ESI project management courses and received certificates from the ESI and from the George Washington University, School of Business and Public Management.

Education:

2000 - 2004

PhD - School of Computer Science, Cardiff University, Cardiff, UK

Thesis topic: Inverse spectral problems, a numerical approach.
Research on inverse spectral problems common in engineering. I studied and developed numerical methods for solving inverse differential equations, testing my implementations in C++, Java, Matlab, both for Unix and for Windows.
As a part of my research, I developed an algorithm, which solved certain inverse spectral problems, and implemented it as a cross-platform application in C++ and Java.

Highlights:

Basic understanding of credit models and risk analysis. Familiarity with many credit and interest rate derivatives.
Member of the international C++ committee (WG21) and a member of the UK BSI C++ panel.
Domain expert in C++, STL and Boost libraries, generic programming and OO methodology (over 10 years of development in C++).
Profound experience in development of multithreaded and networked software and in database management, including implementation of database front-ends.
Ability to architect and develop complex scalable systems.
Expert understanding of software lifecycle, as well as of patterns and idioms in software development.
Self motivated, can manage projects and deliver to deadlines.
Solid understanding of risk management. Ability to make decisions to balance risks and reduce the probability of failures.
Master C++ certification from Brainbench with the score of 5.0
Experience in software development for MS Windows and Linux, including strong knowledge of MS Windows API.
Several years of Java experience gained whilst doing research and teaching at Cardiff University, optimising critical data servers at Barclays Capital, maintaining risk and pricing systems at Morgan Stanley.
Experience in major programming languages (C++, Java, C#, Python, PHP, Pascal, Fortran, Perl, SQL, JavaScript, 80x86 assembler).

Previous professional experience and responsibilities:

Feb 2004 - June 2004

Research Associate, Centre for Mobile Communications, School of Computer Science, Cardiff University

Modelling and optimising dynamic communication networks.
Development and implementation of generic optimisation algorithms in C++ that incorporate heuristic techniques for the design of wireless communications networks.
Writing reports and giving technical presentations.

Oct 2002 - June 2004

Freelance Software Developer

Development and support of custom networked multi-user stock control and EPOS software in C++ for Windows, including cross-platform multithreaded server-side engine for DB connectivity and application logic, for "Cathays Building Supplies", Cardiff, UK.
Design and maintenance of Interbase/Firebird databases, including configuration and support of EPOS software on workstations and servers.
Providing uninterruptible operation of the EPOS system, delivering to deadlines and carrying out all steps of the development lifecycle.
Consultation and support, writing technical specifications.

Oct 2001 - Dec 2004

Part time tutor, Cardiff University, UK

Tutorials and exercise classes in: C++, Java, Theory of programming languages, Calculus, Matlab and 80x86 assembler.

Feb 1997 - Feb 1998

Several short term contracts including
Database designer, Sirius Trading,
Computer Engineer, Nite Computers,
Network Administrator, Molot Publishing House,
in Rostov-on-Don, Russia.

Design and maintenance of Interbase databases for managing corporate data.
Development of database clients in Borland C++ Builder.
Purchase and installation of OS and business software applications.
User training and assistance.

Graduate degree:

1995 - 1999

BSc - Rostov State University, Rostov-on-Don, Russia

BSc with First Class Honours in Applied Mathematics and Computer Science.
Studied a wide range of topics including:
C++, Analysis Of Algorithms, Algorithms On Graphs, Programming For Windows, Discrete Mathematics, Numerical Methods, Relational Databases, Digital Signal Processing, Differential Equations, Continuum Mechanics, Physics, Psychology, Economics, Basics Of Law.
Third year diploma topic: “Implementation of regular expression search engines”.
My BSc thesis discusses methods of storing hierarchical data in relational databases. I completed the implementation of one of the methods and released it as the "HyperCataloger" software product.

Key skills:

Good understanding of internal implementation of ATL and MFC libraries, COM and DCOM technologies.
Experience in development and configuration of performance critical Java servers with Tomcat and JRun.
Practical knowledge of MS SQL and Interbase/FireFox servers, including designing and optimising database schemas, stored procedures and triggers.
Knowledge of common patterns in architecture of computer software.
Experience in designing N-tier architecture applications, including knowledge of performance and maintenance issues.
Understanding of modern hardware architectures, ability to understand behaviour of computer programs from top abstract levels to low level of processor instructions, system memory and IO.
Experience in unit and performance testing.
Practical knowledge of Windows (XP, 2000, NT, 9x), Linux and Solaris operating systems.
Familiarity with scientific, mathematical software and libraries (Maple, Matlab, Mathematica, NAG).
Broad experience in user support and teaching in business and academic environments.

Important achievements:

Attended the international ISO C++ committee meeting in April, 2006 as a member of the UK delegation and participated in the work on the next ISO C++ standard.
Presented several talks at international conferences and published articles.
In April 2003, received the "Best PhD Third Year Presentation 2003" award in the Computer Science Department, Cardiff University.
Received British Council Overseas Research Studentship award and Cardiff University, Computer Science department studentship to do PhD course at Cardiff University.
In 1998, received prize for presentation on "Search algorithms and regular expressions" at the student conference on Applied Mathematics, Rostov State University, Russia.

Last updated: 2025-06-30

Valentin Samko, digiways.com