SUMMARY:

• More than 15 years of experience in financial software development. Excellent analytical and problem - solving skills. Extensive experience in trading and risk management application.

TECHNICAL SKILLS:

SKILLS: C++, Java, Python, Unix Shell Script, Perl, DB2, Sybase, Oracle, Data Warehouse, ETL, OLAP Basel II/III, CCAR, MBS, TBA, Whole Loan, CRE, Mortgage Derivative, ABS, CDS, CDO

PROFESSIONAL EXPERIENCE:

Senior Consultant

Confidential, New York City

Responsibilities:

• Involved in enhancement of MBS Core Calculator for Bond Studio, including prepayment, default and interest rate model, index manager, scenario builder, cashflow engine, OAS pricer, and risk analysis toolkits, CCAR process, using C++, Java and Python, with Intex and Trepp.

Senior Consultant

Confidential, New York City

Responsibilities:

• Designed and developed market risk application for Basel 2.5 (securitization position and correlation trading position), including standardized and advanced approach, internal rating-based approach, EAD, PD, LGD and delinquency calculation, netting/hedging process, RWA engine, stress testing for CCAR/DFAST, sensitivity analysis, back-testing and model validation, using C++, Java, C#, Perl, Ksh Script, stored procedure on Sybase and DB2.
• Involved in design and development of regulatory capital application for Basel II/III, including EAD, RWA and capital charge calculation, CVA calculation, SLR (supplementary leverage ratio) and PFE, CEM, SFT and CCB calculation, stress testing for CCAR/DFAST, sensitivity analysis, back-testing and model validation, data quality control process, feed loading process, and reporting process, using C++, Java, Python, kdb+/q and Ksh Script on DB2.

Senior Consultant

Confidential, New York City

Responsibilities:

• Involved in design and development of mortgage trading applications for Whole Loan, RMBS and CMBS, including trade booking tool, pricing tool, risk management tool, trade and position services, and P&L process, using C++, Slang, and SecDb, based on GS internal trade model, interest rate model, prepayment model and transition model, with Intex and Trepp.
• Involved in design and development of web-based mortgage whole loan application, including data loading process (ETL), advisory tool, due diligence tool, collateral and remittance data manager, securitization tool, claim workbench for EPD, PR, Repurchase and Buyback, search and report tool, and risk management tool, using Java, Struts, JSP, JDBC, JavaScript, HTML, Perl, Ksh Script, Stored Procedure on Tomcat and DB2.
• Involved in design and development of TBA trading application, including trade and allocation tool, pool inventory management tool, Electronic Pool Notification process, using C++, Ksh Script, Perl, TIBCO EMS, Slang, Stored Procedure on Sybase and SecDb
• Designed and developed web-based Mortgage Bond management application, including deal bond management tool, bond trade restriction tool, unsold allotment manager and Intex data processing tool, using Java, Struts, JSP, JDBC on Tomcat and DB2.
• Designed and developed trading application for mortgage derivative products: IOS, PO and MBX, including trade booking tool, price calculator, aging and NPV process, and data processing with Markit, using C++, Slang, SecDb, based on GS internal trade model.
• Involved in design and development of trading application for Commercial Real Estate mortgage and Warehouse Line, including trade booking and pricing tools, Promerit and Cassiopae data processing tool, using Visual C++, C++, Perl and Ksh Script on Sybase.
• Involved in design and development of mortgage payment application, including feed ETL process, payment processing engine, DTCC process, eMBS process, factor and coupon update process, for CMO and pool products, using C++, Ksh Script, Perl, Stored Procedure on Sybase.
• Involved in design and development of Mortgage Conduit trading application, including trade booking and pricing tools, using Java, Ksh Script, Stored Procedure on DB2.
• Designed and developed trade consolidation process with Trioptima for mortgage derivative products (ABX, CMBX, TABX, IOS, PO and MBX), using C++, Slang and SecDb.
• Involved in design and development of whole loan data warehouse application, using C#, GS Ocean Framework, GS Distributed Service Framework (TIBCO RV), stored procedure on Sybase IQ, including ETL tool, risk management tool, whole loan inspector, and OLAP reports.
• Involved in design and development of trading application for Credit Linked Note and Variable Funding Note, using C++, Slang on SecDb, based on GS internal trade model.

Senior Consultant

Confidential, New York City

Responsibilities:

• Involved in design and development of Web-based Portfolio Link application, including account management tool, portfolio management tool and rebalancing engine, using Java, Struts, JSP, Servlet, JDBC, JavaScript, HTML, PL/SQL, Ksh Script on WebLogic and Oracle.

Senior Consultant

Confidential, Wilmington, DE

Responsibilities:

• Involved in design and development of Web-based Payment Program application for Customer Support Department, using Java, Struts, JSP, Servlet, EJB, JMS, JDBC, JavaScript, HTML, PL/SQL with WebLogic and Oracle, in charge of Assist and Hardship program.
• Designed and developed mission critical processes for First Specialty using Java, JDBC, PL/SQL, Perl, Korn Shell Script on Oracle, Sybase and IBM AIX (HACMP), including transaction data ETL process, specialty event processing and analysis reports.
• Designed and developed Visa EPay application using C++, STL, Pro C, Korn Shell Script, Perl, PL/SQL, SQL loader on Oracle, including payment processing engine and response reports.

Software Engineer

Confidential, Houston, TX

Responsibilities:

• Involved in design and development of three-tier airline revenue management system, using C++, Visual C++, MFC, COM, Orbix (CORBA), RogueWave DBTools, PL/SQL and Oracle, in charge of forecasting engine and optimization tools.

Programmer/Analyst

Confidential, Houston, TX

Responsibilities:

• Involved in design and development of credit card payment transaction processing application using C++, Pro C, PL/SQL, Perl, and Korn Shell Script on Oracle.