SUMMARY:

• A professional with over fifteen years of experiences in market/credit risk management business process re - engineering, risk system implementation, and regulatory compliance for investment banks.

TECHNICAL SKILLS:

Financial Software: Risk Metrics, Summit, Murex, Calypso, Loan IQ, FinCAD, MatLab, Crystal Ball, SAS

Technology: SQL, VBA, Excel, Perl, UNIX, Visual Basic, C/C++

PROFESSIONAL EXPERIENCE:

Confidential, New York NY

Senior Business Analyst/PM, CCAR Program

Responsibilities:

• Responsible for end-to-end implementation of 14A Global Market Shocks (GMS) and 14Q Trading reporting for Comprehensive Capital Analysis & Review (CCAR). This includes data sourcing, calculation, and report production/submission via Axiom.
• Responsible for implementation of key aspects of new market risk capital framework - Fundamental review of the trading book (FRTB)
• Replacing the current incremental risk charge (IRC) with a default risk charge (DRC) as the modelled measure for default risk. The model has a simulation-based loss distributions and associated default risk, as well as inclusion of equities.
• Developing the new Expected Shortfall (ES) measure under revised IMA approach to replace VaR measure.
• Enhancing the P&L attribution & back-testing process to facilitate the approval of Internal Model approach (IMA)

Confidential, New York NY

Project Manager/Business Analyst, Firm Risk Management

Responsibilities:

• Responsible for the design and implementation of the multi asset/multi risk factor full revaluation engine to support scenario analysis and stress testing.
• Designed and implemented a global market risk reporting and Value-At-Risk (VAR) application and enhancements, such as Conditional Volatility VaR, Stressed VaR.
• Designed and implemented process for regulatory capital requirements for market risks in bank's trading book under Basel 2.5 rules, including Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM).
• Contributed to the firm’s annual Comprehensive Capital Analysis and Review (CCAR) stress testing process.

Confidential, New York NY

Vice President, Market Risk Management

Responsibilities:

• Responsible for daily market risk measurement and management process (VaR/Limits monitoring), covering equity derivatives, convertible bonds, high yield, and commodity business.
• Performed VaR back test, stress testing, sensitivity analysis, and ad hoc analysis to identify and investigate risk issues. Performed model validation on equity and commodity derivatives.
• Conducted monthly Independent Price Verification (IPV) analyses to identify and resolve price discrepancies. Produced summary report for FAS 157 disclosure. Analyzed model-based and illiquid price in Level 3 assets.

Confidential, New York NY

Vice President, Global Credit Risk Management

Responsibilities:

• Responsible for planning and project management in a multi-year business technology initiative - Credit Infrastructure Transformation (CIT) program, specifically for counterparty credit exposure.
• Managed applications which perform mark-to-market (MTM), P&L explain, and sensitivity valuations for traditional credit products (TCP) and Derivatives. The portfolio consists of all investment bank’s portfolio, with notional over $300 billion dollars.
• Provided estimation of Expected Default Frequency (EDF), Loss Given Default (LGD), calculation of current and potential credit exposure for counterparty using Monte Carlo simulation.
• Full knowledge of various products such as traditional loans, credit derivatives (CDS, CLN, TRS), fixed income derivative and the methodology to measure their risk.

Confidential, New York NY

Assistant Vice President, Market Risk Management

Responsibilities:

• Responsible for developing market risk model including Value-at-Risk (VaR) analysis (historical simulation). Worked with market risk technology team in design and implementation of the application solution.
• Perform ad-hoc analysis related to risk management such as back test, scenarios analysis, stress test, risk reconciliation, risk trend and risk variance analysis. Validated related risk modeling methodology for risk measure and maintain all related documentations.
• Managed group of 5 product specialists to support daily risk reporting for business community and senior management. Covering all Fixed Incomes products such as Interest Rates, High Grade/High Yield, and Mortgage products, as well as their associated derivatives such as futures/options, swaps/swaptions.

Confidential

Senior Manager, Next Generation Trading System Project Team

Responsibilities:

• Responsible for product development and design of the Next Generation Trading System. The system will support cash equities, fixed income, financial derivatives, and ETFs (Exchange Traded Funds). New trading mechanisms include quote driven and hybrid model. Also designed standard interface with broker front office using FIX.
• Evaluated third-party software and hardware vendors. Managed cross-functional team of business analysts, developers, and specialists in system design and implementation.

Confidential, New York, NY

Founder, Principal Consultant

Responsibilities:

• Founded consulting firm specialized in providing strategic business solutions to financial service firms, in areas such as front-office management (order management and STP), back-office management, and risk management.
• Major clients included Lehman Brothers, CIBC (World Market), and Merrill Lynch.
• Lehman Brothers, Global Fixed Income Derivatives
• Developed a risk hedging and P&L system for Lehman Brothers’ fixed income derivatives business to provide daily risk position for the financial control group.
• Analyzed business needs, re-engineered and designed technical solutions for market risk group. Responsibilities include gathering requirements, managing user relationships, interfacing with developers and leading projects in trading systems development and support efforts.
• Created valuation and hedging models for fixed income derivatives, FX derivatives, MBS, and other new products.
• Calculated daily global market risk positions in multiple currencies for fixed income derivatives market-makers; analyzed firm-wide interest rate and foreign risk exposure; computed firm-wide Value-at-Risk.
• Merrill Lynch, CICG
• Designed and implemented a listed futures and options trading system for Merrill Lynch’s CICG unit. Established an integrated derivatives processing to cover multi-entity trading.
• Provided equity derivatives settlements and daily mark-to-market (MTM) to clients.

Confidential, New York, NY

Associate Consultant

Responsibilities:

• Designed and developed various management information systems for financial service clients including Bankers Trust, Lehman Brothers, and New York Foreign Exchange (NYFX).
• Performed business requirement analysis and functional design specification.
• Managed overall project life cycle, including analysis, design, implementation, and installation.