SUMMARY

• Versatile investment management professional with high - level skills in quantitative modeling and risk management, as well as the support of day-to-day operations.
• Considerable experience in currency hedging, performance attribution, econometrics analysis, PNL attribution, and performance reporting.
• Extensive experience in collecting, cleaning, and transforming large datasets of indices, economic indicators, and securities that are used for performance reporting, back testing, and estimating asset-class returns.
• Experienced in Basel 1, Basel 3 Standardized and Basel 3 Advanced Rules related to CCAR and DFAST submission.

PROFESSIONAL EXPERIENCE

Confidential, New York, NY

Internal Audit

Responsibilities:

• Worked within the internal audit team to validate the CCAR models for Investment Management Division.
• Performed data reconciliation between several source and aggregation systems used for PPNR Modeling.
• Performed excel/database-based testing for capital calculation models.
• Contribute to SR 11-10 projects impacting the Counterparty Credit Risk. Detect data quality issues, follow up on resolution with Business Lines and/or Information Technology and optimize/automate processes.

Confidential, Jersey City, NJ

Business Analyst

Responsibilities:

• Worked with technology team and business to migrate prime risk application from RM3 to RM4.
• Worked with MSCI Risk Metrics to calculate various Risk Parameter such as regular VAR, Stress VARs and various Greeks for several distinct Institutional portfolios across the globe.
• Analyze the data provided by Risk Metrics for accuracy and completeness related to CCAR submission for 2016. Worked with technology team to automate the CCAR process for prime brokerage exposure.
• Worked on delivery of sensitivity-based method (SBM) risk calculations according to BSBS352. Developed business and functional requirements for seven risk classes (Credit Spread Risk - CSR, Equity, General Interest Rate Risk etc.) and three measures (Delta, Vega, Curvature).
• Worked with development team on creation of python-based calculator modelling pseudo calculators for all risk classes and risk measures for FRTB.

Confidential, New York, NY

Senior Business Analyst

Responsibilities:

• Provide support for investment performance measurement, asset allocation, benchmark maintenance, and ad hoc requests from investment teams.
• Work with technology, prime brokers, and accounting systems (BBH) to ensure that position market values, collateral, and cash balances are correctly reflected on a daily basis.
• Work extensively with vendors such as RIMES, FactSet, JPM, BAML, and so on to source various indices and analytics required to calculate historical and forward-looking risk premia.
• Create custom commodity indices (prompt and 12-month forward) required for gold, agriculture, and energy risk premia based on methodology used for BCOM indices using MATLAB.
• Provide advanced analysis of portfolio and investment risk for portfolio manager, trader, and relationship managers. Analyze performance discrepancies, provide detailed security-return analysis, and sector attribution; and create specialized client reports.

Confidential

Vice President

Responsibilities:

• As part of strategic finance team lead the project with Moody’s to implement Moody’s Risk authority for US and PRA. SME for bank’s Retail, Commercial and Treasury portfolio.
• Provide subject matter expertise for RWA calculations under Basel 1 and Basel 3 rules for US and PRA.
• As part of strategic finance team implement Moody’s Scenario Analyzer for forecasting risk weighted assets for 9 projected quarters for CCAR. Analyze the models created in SAS.
• Performed capital calculation for the Bank including DTA, AOCI and Minority Interest calculations.
• Create capital forecasting models to enhance flexibility and functionality to accommodate more complex analyses and contemplate the impact of new capital requirements.
• Conduct detailed comparative analyses to evaluate balance sheet, capital and overall risk position of the bank relative to peers.

Confidential

Risk Management Consultant

Responsibilities:

• Strong understanding of full spectrum of products offered, and participated in production of presentation and marketing materials for derivatives products for GFI customers.
• Managed and completed CCAR schedule for counterparty credit risk. Worked across groups to implement Fed-prescribed scenarios for annual and mid-year CCAR.
• Responsible for measuring and reporting potential future exposure on house-clearing and client-clearing trades across various asset types, including but not limited to rates, FX, and credit and equity trades, as mandated by the Dodd-Frank Act.
• Developed and captured clearing counterparty exposure for FCM (future commission merchant) clients, and submitted the risk/exposure reports to the CFTC every week. Worked with different groups to accurately capture all the exposures, and ensured that appropriate firewalls were maintained, as mandated by Dodd-Frank regulations.
• Considerable experience in Calypso (Rates, SCP), Opics, Imagine, Credit View, Galaxy, SSRS, AFS, Fenics, Sunguard Adaptiv, ALGO, Bloomberg, Excel, Access, SQL, and VBA.

Confidential, Boston, MA

Financial Services Associate

Responsibilities:

• Supported applications such as PAS, BOB, MFL, and EDB.
• Provided infrastructure support for time-series analysis, and generated MPT statistics on various funds.
• Developed and automated performance reports.
• Worked as business analyst to implement portfolio risk modeling using the Monte Carlo Simulation, historical data, and variance and covariance approaches.