SUMMARY:

• Senior dynamic hands - on technical leader in with proven track records of design, development, architecting, and operating complex distributed systems. Extensive background in Quantitative development, Financial Mathematics, Modelling, dealing with large datasets using C++, Java, Python languages.
• Managed budgets, large global teams of software engineers, architects, infrastructure engineers. Experienced with diverse technology stacks front to back. Managed and worked with large global teams and lead software development using SDLC and Agile methodologies. Experienced in telecom, switching and embedded systems development. Worked with senior business leaders including Head of Trading Desks, Controllers, Compliance, Head of Treasury Market Risk and reported directly to Chief Risk Officer (CRO).

TECHNICAL SKILLS:

SOFTWARE: C++, C, JAVA, .NET/C#, WPF, Excel/VBA, J2EE, PHP, CGI, Perl, R, Python2.7, JavaScript, CORBA (Orbix, VisiBroker), Tomcat, BEA WebLogic, Servlets, JSP, JMS, RMI, Pascal, EDIF, Smalltalk, Visual Basic, CASE (STP), Shell/K-Shell, Make/Nmake, PVCS, CVS, Sdb, Gdb, DART, Dbxtool, Troff, Lex, YACC, DB Vista, SYBASE, ORACLE, SQL Server, MySQL, MongoDB, Android, jQuery, HTML/5, GemFire, INFORMIX, CMS, FrameMaker, SRGP, SPHIGS, Xlib, Openlook, Motif, TCP/IP Sockets, Tuxedo, Entrust PKI, STL, INTEX, MarkIT, Bloomberg, Reuters, Summit, Murex, LoanIQ, QuoteVision, ARTS, MarketAxess, Numerix, Eclipse IDE, LightStreamer, BlazeDS, Flex, CUDA/GPU, MPI, LSF, Web-Services, Node.js, Angular.js, React.js, AWS Cloud, Machine Learning, SDLC, Agile, Active Pivot.

HARDWARE/OPERATING SYSTEMS: WINDOWS NT/XP, Linux, IBM RS/6000, VAX (8650, 11/780), AT&T 3B20, UNIX (System V, RTR, PSOS), VMS, SOLARIS, SunOS, AIX.

FINANCIAL: Credit Derivatives (CDS, CLN, CDO, FTD, CDX Indices, Tranches, Correlation), CVA/DVA, Curve construction, Interest Rates Derivatives, Cross currency Swaps, Portfolio Theory(CAPM, APT), Derivatives Pricing (Fixed Income/Equity/OTC Derivatives), VaR, Collateral Management, Margin Calculation, MBS Pre-Payment Models, CMO, Arbitrage Theory, Regression, IRR, Monte-Carlo Simulation, Relative Value, Market/Credit Risk, Equity Options, Options on CDS/Index, Variable Annuity, Asset/Liability Models, CCAR, QRM, Portfolio Hedging, ALM, IRE/EVE/EVS, Stress Testing, Structured Finance, CLO, NAV, NPV, Liquidity driven models, Asset allocation optimization, Market Data, Data.

PROFESSIONAL EXPERIENCE:

Senior Technical Program Manager

Confidential, New York, NY

Responsibilities:

• Leading large technical initiative to architect and build firm-wide Intra-Day Live Risk Limit monitoring system covering Market and Credit Risk. Responsible for ETL and data enrichment process to aggregate data feed from Front office systems covering Fixed Income (Rates and Credit), Securitized Products, FX, Equities (Cash, Derivatives and Convertibles) and Risk limits. Leading a team of engineers, involved in all aspects to architect, planning, design and develop the system. Technology stack is Core Java (Multi-threading)
• Tibco RV/EMS, Gemfire cache, Active Pivot Cube, MDX (Multi-Dimensional Query). I am involved building up the team, and I am the go to person for Global Risk Managers, Risk Finance Change team.

, Senior Consultant/Quant Developer

Confidential, New York, NY

Responsibilities:

• Senior architect and quantitative developer in Core Margin Risk Technology team to develop connectivity and messaging (FixML, CSV) API with Chicago Mercantile Exchange (CME) for computation of Span Margin for Futures and Options portfolios. Develop API for creation of RML4.0 files, and calculation of risk metrics at RiskMetrics@ MSCI RiskManager platform using Python/Java/SQL in QUARTZ platform.
• RML API covered extensive product range including Equity, Futures, Options, ETFs, Bonds, CDS, CDX, Rates products and Swaptions. Enhance RML API to handle negative rates, extended to cover additional products like Convertible Bond Options, OIS, and Volatility products. Develop solutions for Variation Margin and Pending Cash calculation for Equity Swap products with data feeds from various sources.

SVP, Head of Treasury Market Risk Technology

Confidential, New York, NY

Responsibilities:

• Responsible for delivery of Confidential ’s Treasury Market Risk Technology programs covering Total Balance Sheet P&L forecasting for CCAR, IRE (Interest Risk Exposure), EVE/EVS (Economic Value of Equity/Sensitivity), Asset Liability management (ALM), Global Systemic Stress Testing (GSST). Responsibilities also include Cashflow production, KRD/DV01/Convexity calculation, and risk reporting, and RUBY systems operation to produce monthly/quarterly IRE/EVE/EVS metrics. Massive Balance sheet included diverse products including Fixed, Floaters, Swaps, Loans. Deposits and Credit Cards.
• Performed hands-on model implementation and validation of 2-Dimensional Deposit (TTS, MMDA, and DDA) models in Java/C++ along with Quant modelers. Set up CCAR/GSST stress scenarios. Responsible for production of monthly and quarterly IRE/EVE/EVS risk metrics for ALCO review, and resolve all technical/computational issues raised by Risk managers, provided explanations to queries from FED/OCC regulators.
• Manage global teams of 35+ consisting of Risk Analytics Developers, business analysts, project managers, Infrastructure, Architects, Database administrators (DBA), Market Data, Release engineers, and ETL developers. Lead design, development and architecture of Pricing, Risk and Reporting modules in JAVA/ORACLE/Excel/VBA.

Head of Risk Technology, AVP

Confidential, Philadelphia, PA

Responsibilities:

• Managed (hands-on) delivery of HPS (Hedge Projection System) for hedging $100B Variable Annuity (VA) Portfolios and ALM (Asset Liability Management), and responsibilities include all aspects of requirement analysis, coding, front-end, middleware and quantitative development, planning, testing, deployment along with budgeting, infrastructure, vendors, market data and audit. Lead large multi-functional teams to build HPS system and managed budget of $10 Million. HPS uses Monte Carlo simulation framework on CUDA/GPU (NVIDIA) clusters, C/C++ Computation engine, MySQL database that included data schema design, mapping, linking, enrichment and scrubbing. .NET/C#/WPF Front End and Perl/Python scripting.
• Reported to Chief Risk Officer (CRO) directly, and worked with strategists and production actuarial specialists within Equity Risk Management (EQRM) department in integration of pricing models, analytics, operational aspects and SOX Audit and to expand strategic scope of HPS. Roll out of HPS and retirement of Milliman system saved company $5million annually.

Executive Director

Confidential, New York, NY

Responsibilities:

• Senior hands-on Manager of US Fixed Income Credit Technology for front-office covering Flow, Structured, Loans, Debt Syndicate business. Worked to deliver strategic UNITY platform for Trade Processing (Traders and Sales to cover trade capture, matching and Sales Credit calculation), Curve Marking, Live Risk/P&L Reporting to cover all portfolio products and to retire existing systems. Technology stack was Java (server), C#/WPF front-end, TIBCO RV/EMS messaging, GemFire cache. Integrated live Loan price from LoanIQ to produce risk and P&L using .NET/C# into Unity Risk platform. Leading efforts to build Dodd-Frank related regulatory requirements Derivatives clearing business.
• Managed deployment of LoanIQ (MiSys) system for US Loan trading business for multiple legal entities. Built QuoteVision infrastructure for providing live CDS and Bond quotes to trading desk, and built market data feed from LPC and Markit for daily Loan prices. Managed roll out of CVA (Counterparty Valuation Adjustment) platform to US CVA desk under BASEL framework of Funding, Capital Requirement and system interfaced with Credit, Rates and FX systems.
• Managed roll out of Debt Syndication System (IssueBook from IPREO) to Debt Syndicate desks globally. Cover requests from traders from IG/HY, Loans, CLO, CVA and Syndicate desks, risk managers, Middle Office and Product Controllers. Responsible for IT strategy and vision, and delivery of US book of works.

Director, Global Head of Emerging Markets Credit Trading IT

Confidential, New York, NY

Responsibilities:

• Senior manager leading a global team of 25 people for Emerging Markets Credit Trading IT team to run (plan, develop, support) trading desks in New York and London. Put in place vision, strategy roadmap and architecture for diverse EM product stacks from front-to-back perspective, and built a global team with additional recruitments. Responsible for all daily IT activities for the desks including development/support of front-office applications for daily Risk/P&L reports. Built Rates Pricing and Yield curves, and Credit Curves using hazard rate models.
• Developed Credit Derivatives pricing models using .NET/C#/C++ with QuantLib/Boost and Sybase/SQL Server. Developed Off-system applications for Structured and Exotics trades using models developed by Credit Derivatives Analytics (CDA) library group. Located on trading floor to work closely with Traders, Desk Quants, Global Risk Management (GFRM), Product Control Group (PCG), Model Validation, Operations and other IT groups during roll out of new products and models. Performed requirement analysis, managed project full life-cycle, and regularly communicated with users and management about progress. Built Non-Recourse Finance models to estimate Short-Fall Loss driven by lack of Liquidity of EM bonds.
• Products handled were CDS, CLN, NPI (Non-Payment Insurance), CMDS, Range Accrual Notes, Credit/IR Hybrids (Callable CLN/CRAN), Nor-Recourse Finance (NRF), Total Return Swaps (TRS), Extinguishing Cross Currency Swaps with Quantos, Indices, Baskets, Repos, Tax-Arbitrage, Bonds, CDS and Index Options, Interest Rate Swaps etc. Built various applications for Relative value, Basis analysis, Live pricing and distribution for Market Making, Event and Risk Management batch.
• Environment was Excel/VBA/RAD (Rapid Application Development) and .NET/C# server, Reuter SSL. Improved straight through processing (STP) capacity, and managed delivery of portfolio of projects simultaneously including delivery of EM Hybrid (Credit, Rates, FX) Products down-steam feeds, live price sourcing and distribution applications for Cash and Derivatives products. Managed delivery of accrual and P&L calculation for Repo financing desk with ARTS system. Resolved Risk, P&L breaks including security master data integrity issues. Managed finances (including budget planning, monthly forecasting), ran steering committee meetings and career development activities for team. Managed model integration into Emerging Markets Quantitative library and regression testing of portfolios as a part of release procedure.

Senior Consultant

Confidential, New York, NY

Responsibilities:

• Supported Structured Credit Derivatives Trading Desks (Flow, Debt-Equity and Exotics) for daily activities and Analytics development. Produced daily Risk Reports, P&L Reports for traders. Developed many Excel Spreadsheets to compute Bond Basis, IBOXX Series 2 Index Pricing, CDS (Credit Default Swaps) Index Run, Morning Error Monitors, Stale CDS curves checks, and Treasury Bond Price checks
• IR Risk/Default Risk computation using BNP infrastructure, RAMP, Westminster, Focus, QCD and MAD libraries. Developed batch job to compute Risk numbers for Bond Options, and CDS Options and produce the Risk Reports in ARC FOCUS formats. Developed CDS-Pricer and ASP (Bond Pricer) applications, based on C++/COM/Excel/VBA for real-time price quotes and contributions. Developed an automated feed to load CDS Spreads from Markit and load into BNP database to be displayed in CDSPricer for traders to view.

Consultant

Confidential, New York, NY

Responsibilities:

• Supported Structured Credit Derivative desks trading Credit Default Swaps (CDS) and Cash and Synthetic Collateralized Debt Obligations (CDO). Wrote applications in Visual C++/Perl/Excel/VBA for data extraction from Intex System for various CDO Deals, and Perl and Excel scripts to generate daily Position, Credit Risk Sensitivity and Attribution Reports to the traders. Provided production support for all batch processes, daily reports and various data feeds (Lombard, LPC, Yield Book etc). Worked with Murex Trading System to upload CDS trades/Credit Default Spreads using XML macros for Synthetic Portfolio
• Dynamic Risk Analysis and Index Risk Arbitrage, and update interpolated spreads to the Correlation Model to compute daily credit and interest rate sensitivities for all trades, and extract CDS prices, credit sensitivities from dynamic tables. I worked with Correlation Model that produces daily hedge, and correlation sensitivities for CDO Tranches.

Vice-President

Confidential, New York, NY

Responsibilities:

• Responsible for full life-cycle hands-on design and development, project management, architecture, coding and testing of various Quantitative/Analytical (Portfolio Market Risk/Credit Risk, Exposure Management, Derivatives, Fixed Income), and E-Commerce systems using multi-tier platform using client-server and object-oriented technology.