SUMMARY:

• Over 10 years experience in software development in financial industry.
• Good at Interacting with business users/traders for Business requirements and at functional design documentation creation, and at Software Design & Development.
• Familiar with Front Office Electronic Trading System, Quantitative Trading Algorithm design, Quantitative Portfolio Performance and Risk Analysis and strategic asset allocation.
• Good at oral and written communicating. Enjoy tutoring, and motivating others in a team.
• Creative in designing the software solution to suit business need with higher performance.
• Analytical, creative, detail - oriented, hardworking, a quick learner and team player.
• Software Development Lead with a proven record of accomplishments in Leading Design & Hands on Development completed within the most demanding environments.
• Experienced in financial instruments, self-sufficient, able to manage a permanent challenge of providing reliable long term solutions along with uninterrupted software support of daily operations.

TECHNICAL SKILLS:

Operation System: UNIX, Linux, Windows, DOS

Language: Core Java, J2EE/EJB, C#.NET, C/C++, Visual Basic, R, Python, Scala, Kafka, Django, Perl, XML, UML, HTML

Programming Method: JDBC, J2EE pattern, EJB, Servlet, Applet, JSP, Swing, Struts, XSLT, JTA, JMS, Messaging, low latency programming in distributed environment, SOAP, Java Bean, Multithreading, Socket, CGI, Unix Kernel Programming, security, encryption, transaction, client/server, 3-tier.

Database: Oracle, PL/SQL, MS SQL Server, MS Access, MySQL, Sybase, UDB(DB2), Database design, Data Modeling, NoSQL, MongoDB

Web: ASP.NET, JSP, JavaScript, VBScript, PHP

Application: Eclipse, JBuilder, IIS, Websphere/Weblogic, Matlab, Microsoft Visual Studio, InstallShield, CVS/PVCS, SourceSafe

PROFESSIONAL EXPERIENCE:

Confidential, New York, NY

Senior Programmer Associate Director

Responsibilities:

• Worked on Confidential Investment Bank Global Equity Derivative trading floorFocused on Electronic Trading system Development and support for Confidential Global Equities Derivatives ETF/ETN Market Making and Quotation system, Equities Swaps Trading and Custom Portfolio swaps, single stock futures platform, US Order Management System, Pricing system for ETN and ETF and Custom Basket, Blooomberg live Pricing tick.
• Implemented VWAP algorithmic trading strategy
• Wrote Module to price custom basket and sent live quote to Confidential
• Wrote module to calculate single stock future basis
• Developed custom basket trade booking process
• Developed algo for pair trading
• Ensure trading is not impacted
• Trading issue root cause analysis and solution
• Developed process to reconcile with Central Risk Book
• Using Core Java, Oracle, PLSQL, Spring, Scala, Python, Perl, UDP, FIX Protocol, STP processing Low latency.

Senior Programmer

Confidential, New York, NY

Responsibilities:

• Developed portfolio management application using Java and SQL Stored Procedure. The following are details:
• Developed Daily Mark to market valuation of the portfolio and positions grouped by instrument type, industry category or even on the position level using Java and SQL Stored Procedure
• Developed Daily, weekly, monthly and yearly portfolio P&L Calculation and reporting using Python and SQL Stored Procedure
• Developed process for Extracting, Transforming and Loading market data such as price, interest rates using Perl script to feed the database using Java and SQL Stored Procedure
• Developed process of Calculating historical VaR and variance-covariance VaR for the portfolio using Python and SQL Stored Procedure
• Developed process of Historical simulation of the portfolio performances as a prediction for the future using Java and SQL Stored Procedure
• Developed process of stress testing the portfolio using assumed interest rate changes such as 10% increases, 5 % decreases using Java and SQL Stored Procedure
• Developed calculation of greeks, duration, convexity and beta using Java
• Tools and other languages used: C++, Scala, Kafka, MongoDB,Django,

Confidential, New York, NY

Senior Programmer Consultant

Responsibilities:

• Design, develop, and implement business application software for Scotia’s Margin Risk for Prime Brokerage Business. asset portfolio performance and market risk management using Java, Syncova, C#, C++, .NET, SSRS, VB.NET, Unix Scripts, SQL Server, etc.
• The application is able to calculate bank’s daily margin risk, send alert for constraint breaching and create reports for Risk Managers for Equity, bond, MBS, derivatives.
• Regulatory T reporting, rule based system, stress test, risk based haircuts, security lending, equity financing.
• Responsible for customizing the Risk and margin application Syncova. Implement the risk based margin rules and attributes for Equities, Convertible Bonds, Corporate Bonds, Options and Futures. Identify hedges between different instruments and provide margin relief for hedged pairs
• Involved in various models of prime brokerage like margin financing, securities lending and risk management.
• Upload securities, prices, fx rates and security analytics information from security master system to risk and margin system Syncova.

Confidential, New York, NY

Senior Programmer Analyst/Risk Analyst/Tech Lead Consultant

Responsibilities:

• Design, develop, and implement business application software for asset portfolio performance and market risk management using Java, C#, C++, .NET, SSIS, VB.NET, Unix Scripts, Perl, Oracle PL/SQL, SQL Server, etc.
• The application is able to calculate bank’s daily, month-to-date and year-to-date profit and loss(PnL) and the detailed PnL allocation on the bond portfolio, credit derivative portfolio and equity portfolio.
• Design, develop, and implement Algo trading algorithms with Fidessa using FIX protocol, Java, C#, C++, .NET, SSIS, VB.NET, Unix Scripts, Perl, Oracle PL/SQL, SQL Server, etc.
• The application is able to calculate bank’s daily, month-to-date and year-to-date profit and loss(PnL) and the detailed PnL allocation on the bond portfolio, credit derivative portfolio and equity portfolio.
• Design, develop, and implement Commercial Loan Management software for the bank.
• The application is able to replace 30 people manual process. It uses Microsoft SSIS,C#.NET and SQL to simulate the pervious AS400 MainFrame process to interface with bank’s existing reporting system.
• It extracts information from LoanIQ system, then maps and converts to SQL Server database.
• Work in conjunction with and lead a team of testers to prepare test strategy, design test cases, prepare test data, execute tests, compare results, review test plan, track defects and make appropriate corrections, report test results and document the same.
• Analyze and review system resources.
• Conduct business analysis and prepare operational and procedural documentation of business activities.

Confidential

Senior Programmer Analyst/Lead

Responsibilities:

• Created business requirements documentation and functional design documentation and lead design and develop Confidential ’s Asset Management, Strategic Asset Allocation and Confidential Enterprise Portfolio Market/Credit Risk Analytics infrastructure using Java, C++, C#.NET, Unix Scripts, Perl and Oracle PL/SQL Stored Procedure, messaging, multithreading, low latency, quantitative analysis and Algo.
• The system is able to calculate Confidential asset and liability mark to market/future cube value by current market condition under each subsidiary of current company hierarchy from portfolio level down to position level in a distributed environment.
• The system is also able to perform different types of Global VaR Risk Report/Sensitivity Analysis for SEC 10 Q reports, DV01 reports, key rate simulation, parallel shifting scenario simulation and stress test to inform risk managers about the risk of each subsidiary/currency/asset type based on forecasted market condition.
• The system is also able to set limit to each types of instrument. Performed data modeling, database design for the Market Risk Analytics system.
• Performed business analysis for Market Data system requirement.
• Designed UAT testing plan, QA testing plan and production deployment The instruments involved are equity, fixed income, credit default swap, interest rate swap, future, forward, amortizing bond, hedge fund and floating rate bond.
• Oversee a variety of business and technical process re-engineering initiatives to automate middle office functions, counter party rating and hierarchy management.
• Provide oversight for a globally distributed development team.
• Utilize Agile programming technique for the full life cycle of the company asset liability management system.
• Created business requirements documentation and functional design documentation and designed and implemented the core quantitative algorithm for Value Weighted Average Pricing model for equity and bond using PL/SQL stored procedure.
• Created business requirements documentation and functional design documentation and created process to auto-generate scenario files for stress simulation and Monte Carlo simulation and provided quick delivery on new scenario requirement from business user’s ad hoc need
• Created business requirements documentation and functional design documentation and designed the algorithm for Market Data generation for Interest Rate Volatility, Equity Volatility, Swaption implied Volatility.
• Communicate with developers and business users to create software for business need.
• Modeled for pricing fixed income instruments using Willow Tree Model.
• Created business requirements documentation and functional design documentation and developed quantitative algorithm for Confidential VaR calculation, NanShan, ALICO VaR calculation and report which is used for Confidential 10Q reporting.
• Analyzed, created business requirements and functional documentation, architected, designed and developed the automatic system to convert Confidential Asset Holding data of Instrument, Position, Portfolio and Market Data into the format required by Algo Risk Analytics system.
• Lead/Tutor four other team members and interact with the Algo software vendor to get data requirement. Investigated data mapping issues when system has exceptions.
• Developed Assumption Manager for Credit Economic Capital Risk Management
• Developed Asset Liability Management application for Confidential
• Created business requirements documentation and functional design documentation, designed and developed the process to automatically detect and update Confidential holding company hierarchy changes.
• The updated hierarchy can be used to monitor Confidential risks by up to date subsidiary hierarchy structure.
• Designed Rule Engine algorithm to classify the Fixed Income Instrument based on attributions using the table-driven design.
• Created algorithms and database schema to dynamically create table attributes based on the type of financial instrument.
• Followed the test driven design software development cycle

Confidential, New York City

Senior Software Engineer

Responsibilities:

• Created business requirements documentation and functional design documentation, designed and implemented Fund to Fund Portfolio Risk Management Application components which has risk factor for different sectors of Confidential real time data, analysis of percentage change, rolling volatility, market environment analysis, rate of return analysis, VaR calculations, incremental VaR, component VaR and historical simulation VaR.
• Performed calculations of portfolio NAV, portfolio weight, non-cash position, portfolio STD, Kurtosis and skewness analysis. Implemented applications for accounting department to delete un-posted Journal entries at end of month, trade settlement, block trades and blottering trade.
• Performed option expiration automation that provided assistance on whether to exercise or expire options based on current price and stake price.
• Created applications to assist clients in cross-company investment analysis and performed applications for compliance department, which included applications assisting with registered equities and convertible securities.
• Worked in an environment that included C#.NET, VB.NET, Java/J2EE, JSP, Swing, Servlet, XML, SQL Server, Oracle, Stored Procedure, Trigger, CVS.

Confidential, New York City

Senior Software Engineer

Responsibilities:

• Created business requirements documentation and functional design documentation, designed and implemented Music Licensing Management Application.
• Designed the large scale oracle database for the application in Visio.
• Analyzed and converted the legacy data from Domino Lotus Notes database system to newly designed Oracle database.
• Designed User Interface and implemented by Java Swing. Used J2EE session facade pattern for entity bean and Data Transfer Objects for application’s database interaction.
• Implemented specific functionalities, e.g. Security checkpoint role, User Login, System preference, Cashing Table Model, Password encryption, Transaction, Administration and Finder functionality.
• The Database is Oracle. Used JNDI and Container Managed Persistence for EJB. Utilized language and tools, such as Java/J2EE, EJB, JSP, Clustering, Swing, Servlet, Ant, XML, Oracle, Table/index/view creation, Stored Procedure, Trigger, Borland Enterprise Server, JBuilder, XSLT, Starteam, Struts, C#.NET, SQL Server.

Confidential, New York City

Computer Support Specialist

Responsibilities:

• Developed software module to calculate monthly cash flows for loans with down payments as a flexible parameter.
• Calculate yield to maturity, yield to worst, municipal bonds tax equivalent, duration, and convexity.
• Implemented application in Java with J2EE framework which allowed users to select different bonds and calculate equivalent yield and set different bond rates, call times, and duration.
• Implemented the swap derivatives payment with the float interest rate swap from LIBOR and a flexible spread as input.
• Modeled and implemented pricing of treasury bonds. Worked in a Java/J2EE, EJB, JSP, Swing, Ant, XML, Oracle, Stored Procedure, Trigger and Struts environment.

Confidential, NYC

Computer System Technician

Responsibilities:

• Developed software for automating diagnosis tracking and medical information storage.
• Developed software for enhancing current system to assist with patient health insurance, billing and accounting management utilizing Java/J2EE, JSP, Swing and SQL Server.

Confidential

Software Engineer

Responsibilities:

• Was responsible for the new feature additions for IPStor storage software Java GUI applications.
• Assisted with internationalization of Japanese version and wrote Dos batch file and Unix make files for build automates.
• Implemented version control testing, integration and final packaging of the software technology using Java Swing, C/C++, Visual SourceSafe and InstallShield.