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Risk Manager Resume

New York, NY

SKILLS:

Programming: MATLAB, Python, Excel VBA, Mathematica, FORTRAN

Software, OS, and Database: SQL Query, Tableau reporting, Intex, Ploypaths, Oracle BI tool, UNIX, Bloomberg, Micro Strategy, Visio, SnagIt, Quality Center, JIRA, Perforce, Jasper iReports, Actuate Reports

WORK EXPERIENCE:

Confidential, New York, NY

Risk Manager

Responsibilities:

  • Ran Incremental Default Risk schedule for 14Q and IRC RWA modeling for mock run
  • Ran the market risk stress testing and RWA/Charge calculation execution team for US IHC CCAR reporting (14Q, 14A, FRY - 9C)
  • Developed internal rating methodology for ratings with hybrid model utilizing both internal methodology and external ratings.
  • Led liaison between Finance, Risk, FO and IT for input data regarding counterparty RWA, CVA for netting sets agreements, EAD calculation, counterparty ratings, QCCP, and FR stress MTM.
  • Led CVA and PFE calculation using CEM method, stress, sensitivities and counterparty (14Q L.1 to L.4) reporting implementation for all US capital market products under Fed’s market risk final rule with self developed calculation via Matlab
  • Implemented initial framework for SA-CCR and CVA RWA calculation
  • Developed securitization product workstream capital charge calculation model and execution using the SSFA methodology including Regulatory VaR, Stress VaR, back testing for ABS and Non Agency MBS
  • Quantitative Impact Study for OSFI on the next Basel Securitization Framework for identifying Simple, Transparent and Comparable securitization including studies for SEC-IRBA, SEC-ERBA, and SEC-SA frameworks
  • Build Intex Script Model for detail RMBS differentiating Category 1 and Category 2 loans for SSFA Kg Calculation
  • Initiated forecasting methodologies via Confidential Co prepayment model (Intex) and Unemployment rate for 9Q projection
  • Prepared and planned future processes in production, challenger reviews, historical data, audit, independent reviews, model reviews, line of business reporting, and capital plan for Fed
  • Directed and provided requirements for IT and Project Management team on all CVA and RWA calculation automation projects via SQL database and Oracle Business Intelligence tools
  • Prepared Fed SR 15-18 requirements for explaining plans on governance, risk management, internal controls, capital policy, scenario design, and projection methodologies
  • Managed and coordinated between teams for the newly created CCAR office on Market Risk related CCAR, Stress Testing, Model Risk Management for Fed SR11-7 standards and RWA projects
  • Represented RBC side for City National Market Risk integration and CCAR requirements review programs
  • Revised policy for trading certificate identifying trading book vs banking book for market risk treatment
  • Initialized scenario design for global market shock as the BHC scenario for internal mock exercise
  • Researched CLASS framework from NY Fed for Top Down PPNR, Balance Sheet, and Capital Forecasting purposes
  • Reviewed and Challenged PPNR and Balance Sheet 9Q forecasts for forecasting standard charge and securitization
  • Reviewed and Challenged GARCH framework for VaR and stress VaR 9Q projections
  • Reviewed advantages and disadvantages of Fed Basel IIl RWA Rules versus Canadian OSFI Rules

Confidential, New York, NY

VP, Manager, Capital Calculation & Analysis and LOB Reporting

Responsibilities:

  • Managed a team of 3 FTE with coverage in Capital Analysis and consolidation/Regulatory reporting and Line Of Business reporting, Ratios Denominator RWA calculation, Market Risk Standardized Specific Risk Charge, Operation Risk, and Other Assets Calculator
  • Write rationale and reasons for Month over Month and Quarter over Quarter change for LOB reporting
  • Initiated new FRY9-C HC-R reporting for B3S/B1 Standardized framework and internal automated checks
  • Led Market Risk Standard Charge reporting development via Tableau and Python
  • Managed Capital Analysis projects, delivery, timelines, releases for Enterprise Capital Management team
  • Led Financial System Roadmap migration for new ledger system eLedger from old system In$ight from a Enterprise Capital Management team perspective
  • Managed reconciliation (MRA) project for ANIDC Schedule B ANIDC categories for calculation risk weight and averages for respective FFIEC schedules
  • Designed capital calculation framework for all work streams including wholesale, retail, counterparty, equity, cash securities and securitization at consolidation level and also for reports under each line of business for new Basel III Advanced and Standardized Framework.
  • Led business design on automation of Basel III Regulatory FFIEC 101, 102, and Pillar 3 Reports
  • Identified Basel III gaps versus Basel II and directed technology for changes
  • Designed reconciliation process for each work streams against internal GL system and Line of business reporting
  • Designed Product View reports for assisting CCAR RWA reporting generation and reconciliation
  • Implemented K calculation based on scorecard models for wholesale workstream

VP, Quantitative Portfolio Analysis and Support

Confidential

Responsibilities:

  • Designed new centralized real time trading system for CDS related products for intraday risk and PnL used for trader tool, trade capture and risk/pnl systems
  • Explained complex designs and business process to developers to easily understand and documented business requirements.
  • Led CVA/RWA calculation project for Banking Book Loans for Trading Desk reporting
  • Prototyped Risky Bond Model and OIS discounting/CSA for CDS products via internal quant library for developers to implement
  • Analyzed Bloomberg Real Time Trading System TOMS to bring in real time trades and position risk/ pnL processing for Bond and Money Market business
  • Initiated Structured Product (CDO, Tranches) real time risk and PnL design for trade capture and risk systems
  • Led daily global risk and pnl business support including a team in India to maintain daily and weekly risk reports including quality assurance
  • Estimated balance sheet numbers and targets for traders on daily basis
  • Assisted in managing exposure and cs01 limits across issuer level for HY and IG desks
  • Developed daily risk reports design with portfolio managers
  • Designed and verified daily forward exposure, annual cash flow, jump to default risk reports
  • Integrated bank’s analytics to monitor risks for Basis and Curve trading strategies
  • Coordinated all Merrill trading books migration and risk number verification for all credit products
  • Designed and lead automated reconciliation of daily and weekly senior management reports for traders via excel VBA

Confidential, Chicago, IL

Associate - Global Credit Products

Responsibilities:

  • Managed projects and Quality Assurance group across various application within credit space
  • Verified real time intra day risk values (MV, CS01, IR01), End of Day PnL, and limits for credit products including CDS, CDSI, Loans, Bonds and Basket Tranches
  • Reviewed and developed bootstrapping PD from CDS curves and market LGD for CVA models.
  • Assisted building reports on market indicators for risk management to identified risk factors
  • Organized business requirements for new CDS marking system and analytics for credit products
  • Ensured functionality of trading and risk monitoring platforms for bonds, loans and credit derivatives
  • Developed credit analytics prototype for application developers via Excel/VBA

Confidential, Northbrook, IL

Research Analyst

Responsibilities:

  • Built due diligence, aged inventory management, operational management reports, and cash flow forecasting procedures for defaulted credit card portfolios
  • Developed and implemented new methods in consumer portfolio credit analysis

Confidential, Oakbrook, IL

Broker Assistant

Responsibilities:

  • Contacted future client prospects for promoting company products
  • Assisted in stocks and mutual fund asset allocations, and quarterly P&L reports for clients

Confidential

Lead Structural Engineer and Finance Division

Responsibilities:

  • Managed internal structural analysis system and design
  • Constructed construction material appraisal procedures and cost forecasting
  • Managed all material buying and cost management procedures

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