SUMMARY

• Proven success at delivering market risk, quant, controls and reporting systems for pricing, risk, and capital requirements for financial services organizations. Excellent communication and problem - solving skills. Highly skilled at partnering with senior management (trading, risk managers, quants and OCC/Fed regulators) for new products, methodologies, stress testing, and regulation. Development experience in C/C++, VBA, R, Python and SQL.

PROFESSIONAL EXPERIENCE

Confidential

Senior Manager / Quant Analyst

Responsibilities:

• Validated VaR & Pricing for cross asset products (CDS, CDS Index, TRS, Bonds, MBS, IR Derivatives, FX Options, Equities Options, Leveraged Loans, CLO, High Yield Repo, ABS), specific risk (idiosyncratic, default and rating migration) and RNIV.
• VaR validation for market data, IID, normality and tails risk of risk factors, scenario methodology (relative, absolute, compressed), historical simulation, sensitivity / full revaluation comparison and portfolio aggregation. VaR validation for bonds, MBS, CLO, ABS, credit derivatives, interest rate derivatives, equity derivatives, FX derivatives and secondary loans.
• Incremental Risk Charge (IRC) model validation included monte-carlo based Gaussian Copula for default/rating migration and credit PnL ladder for CDS/CDX loss calculations.
• Fixed Income validation in Polypaths (using Libor Market Model) for OAS and sensitivities (key rate duration and convexity, vol/spread duration)
• MBS Prepayment validation for sensitivity of key parameters (average life, effective duration, CPR, CDR, prepayment optionality) to LTV, loan size, WALA, WAC, HPI.
• Credit derivative validation for CDS, CDX Index, TRS in Calypso for hazard rates, asset/funding legs, premium/default legs, index weights / basis, sensitivities to key parameters (interest rates, credit spreads, recovery rate, correlation).
• Interest rate derivatives for swaps, caps, floors and swaptions in Summit using, vol/skew surface (with SABR) and greeks..
• Validation for LIBOR to SOFR migration for futures, swaps and floating rate notes.
• Equity derivative validation for linear products and options using vol surface (parametric/local vol) and greeks
• Leveraged loans validation using MSCI Barra model that included testing the sensitivities with prepayments, credit spread and default scenarios.
• Presented successful model reviews to the regulators, Model Oversight Committee for product and methodology approval.
• Developed business requirements and specifications for risk and pricing model implementation.
• Performed UAT on risk projects that required developing data loading, extraction and cleansing from market data / risk factor / scenario data, developing pricing and VaR model validation tools in Excel/SQL/VBA/R/Python/C++.
• Developed exposure reports in Access (for IR Delta, CR delta, EQ Delta, FX delta, NPV) that required loading csv files from trading systems and developing SQL queries/views, data mapping and transformation and analytics to produce final reports.

Confidential

Senior Market Risk Consultant

Responsibilities:

• Market/credit risk measures validation for multi-strategy, RMBS, CMBS, credit hedge funds. Reported to Head of Market Risk; developed exposure, market risk, sec product risk and VaR reports. Utilized IR01, CS01, equity delta, currency delta, PFE, VaR, 3mo CPR/CDR, tranche credit support/writedown/interest shortfall/thickness, interest rate & credit stresses for reports. Utilized C++ and SQL.
• Market risk measures implementation for regulatory compliance all global business lines. Reported to Head of Market Risk. Enhanced VaR, Stressed VaR, sensitivities, inventory turnover measures to meet Volcker requirements for equities, credit, FX, rates, securitized products, commodities and emerging markets business lines globally. Defined VaR and position limits. Developed policies & procedures. ank Market risk limits and reporting framework implementation for market risk measures for all global business lines. Reported to Head of Market Risk. Developed future state for limits and reporting framework globally. Improved transformations, data management, reporting, adjustments, limits setting/approvals; risk measures included VaR, IR delta/vega, spread delta, inflation01, credit delta, correlation01, issuer risk, equity delta, commodity delta, commodity vega, FX delta, MBS MTM, ABS MTM. Utilized Excal/VBA and SQL.
• Market Risk analytics development of VaR, sensitivities, greeks and exposure models. Developed VaR model using historical simulation and relative/absolute scenarios, risk factor, product, curve mapping for FX, IR, CR, MBS and ABS. Demised Algo for annual savings of $2 million. Developed risk sensitivities and reporting for cancel and amended trades and impact to market risk. Developed IR01, CS01, FX Delta, EQ delta sensitivities per trade by using trade data from Polypaths, Calypso, Summit, Murex, Bloomberg etc.; products included bonds, MBS, CDS, CDS Index, Interest Rate Swaps and Swaptions, FX Spot/Fwd, FX options, equity derivatives. Utilized Excal/VBA for development.