SUMMARY:

• Trading strategies developed based on technical analysis
• Portfolio optimization, risk and return estimation using MLE optimization tools
• Developed and programmed statistical techniques to solve constrained optimization problems
• Maximum likelihood, Bayesian and classical statistical estimation on mortgage payment
• Taught regression analysis and Confidential to grad and undergrad students
• Build queries in ArangoDB queries to map Confidential ontology words to concepts; Confidential / Confidential for intent and entity extraction to build Confidential skills and implement interface using Api.ai. C# speech - to-text for control of sensors for Internet of Things.
• Data visualization in support of analytics for machine learning, Confidential and trading including
• Three publicly available CRAN packages in R
• 2016 presentation at the Data Visualization Camp at the United Nations
• Extensive academic research on multidimensional scaling and correspondence analysis

PROFESSIONAL EXPERIENCE:

Confidential, Princeton Junction, NJ

Senior Data Architect

Responsibilities:

• Developing a vertical search engine to understand the published medical and pharmaceutical research along with ways in which this information is used.
• The project is a joint venture between Medmeme and Confidential .
• I develop Confidential and ML tools to turn unstructured data into a knowledge graph of medical research.
• Development tools include Python, RDF4j, Solr/Lucene, SPARQL and packages such as Sklearn, SpaCy, WordNet, NLTK, Jupyter Widgets and SPARQLwrapper.
• Currently developing a Python/Rasa chatbot that drives the user’s search of the medical database.

Confidential, Short Hills, NJ

Confidential consultant

Responsibilities:

• Developing real time methods to classify, extract named entities, and visualize media articles using Latent Dirichlet Allocation, Confidential and other natural language processing models. Development tools include Scala, Python, R, Spark, Databricks, and Tableau.
• Emphasis is on streamlining the acquisition of information for economic and financial analysis and commentary.

Confidential, New York, NY

Managing Director

Responsibilities:

• Systematic trading of futures, ETFs, and currencies.
• Trading models based on statistical time series analysis of historical prices.
• All modeling done in R running on Hadoop running on cloud servers.
• Consulting on portfolio management, hedge fund due diligence, risk management, fund of hedge funds, operational due diligence, application of machine learning techniques to finance .

Confidential, New York, NY

Senior Vice President, Chief Risk Officer & Portfolio Manager, Senior Risk Advisor

Responsibilities:

• Created interactive tools and reports to monitor the manager due diligence process and facilitate portfolio construction.
• Direct reports include risk analysts, members of the IT department, and head of operational due diligence.

Confidential, Plainsboro, NJ

Vice President

Responsibilities:

• Advised management on the restructuring of investment teams and the use of derivatives to reduce yield curve exposure
• Developed sector- and single security-performance attribution analysis for fixed income portfolios
• Monitored equity, debt, loan and counterparty exposure to selected credits including California Electric Utilities, FINOVA...

Confidential, New York, NY

Director - Market Risk Management on Fixed Income and Mortgages Derivatives

Responsibilities:

• Developed a methodology for calculating market and credit counterparty exposure when financing senior and subordinate commercial MBS and CMOs. Developed methods for calculating market and counterparty credit risks for MBS tail swaps.
• Supervised vetting of vanilla and exotic bond option pricing models as part of the new product approval process.

Confidential, New York, NY

Vice President

Responsibilities:

• Created trade notes and mortgage strategy commentary in support of JPMS trading and sales
• Co-editor of Short Duration Cross Sector Report.
• Regular contributor to all Fixed Income and MBS publications.
• Developed hedging strategies based on historical data.
• Created a relative value model from historical agency pass-through prices.

Confidential, New York, NY

Vice President - Portfolio Analyst

Responsibilities:

• Advised RTC on the controlled downsizing of a $5.1 billion portfolio of CMOs, residuals, strips, swaps, and other derivative mortgage-backed securities held by Franklin Savings Association.
• Tasks included identifying market opportunities, oversee rich-cheap analysis

Confidential, New York, NY

Vice President

Responsibilities:

• Modeled default and repayment speeds for manufactured housing contracts.
• Coefficients in a partial likelihood logistic regression were estimated using 100,000 life histories.
• Also modeled loss severity and homeowner equity over time.

Confidential, New York, NY

Vice President

Responsibilities:

• Coordinated execution of $1 billion of Confidential ’s senior-subordinate mortgage pass-through placements. mathematical analysis of options and statistical modeling of prepayment rates used in the pricing of mortgage backed securities.
• Modeled the term rate structure using time series analysis.
• Critiqued the methodology for simulation and closed-form option pricing techniques.