WORK EXPERIENCE:

Confidential, San Francisco

Director of Risk Engineering

Responsibilities:

• Managing a team of 20 - 25 developers across three regions, focused on the development and support of the firm’s cross asset risk management system, for use by front-office and middle office clients across rates, credit, fx, and equities asset classes
• Industrialized coding, testing, and deployment practices across a large existing code base (1.5M lines) by introducing procedures and tools to stabilize and improve code quality, reducing reported issues and turn around time from hours and days to minutes (fisheye, Sonar, jacoco, Jenkins, Lattix)
• Introduced a more agile development process, including proper dashboards, roadmaps and weekly meetings between developers and BAs and monthly meetings between developers and key clients
• Introduced clean APIs to the various layers in the code, making the system more modular, hence easier to extend, deploy and test
• Standardized the code into a set of global, horizontal, modularized services, supported and developed in a ‘sun never sets’ team structure
• Significantly reduced product support cost by introducing real-time service telemetry and associated dashboards for all running server processes
• Standardized deployment topologies from dozens to three primary patterns
• Developed plans for next generation risk system able to support real-time (push based) and traditional on-demand (pull based) processes on the same platform
• Dramatically improved product quality by introducing enterprise wide test gateways and benchmark procedures

Confidential

CTO

Responsibilities:

• Creating innovative and engaging games for iOS and Android platforms using AI technology
• Built Java based NLP/AI engine around AIML 1.0.1 standard (e.g. ‘Alice’)
• Added machine learning classifiers for sentiment analysis (RandomTrees/Bayes)
• Built Jersey REST service to access NLP/AI engine
• Built storage containers via SimpleDB and S3
• Deployed Rest Service to Amazon AWS EC2 and Elastic Map Reduce (Hadoop cluster)
• Built Client side Applications on iOS and Android
• Implemented InAppPurchase w/encryption, Game Center/Google Play Games extensions
• Kanban and Scrum methodologies
• Established mobile SEO metrics, significantly improving product development lifecycle and revenue generation
• Released Applications
• Bot World AI Chat on Google Play and iOS AppStore (50k+downloads)

Technologies: Android 2.+,4.+, iOS 5,6,7+, Core Java 1.6/1.7, Guava, Trove, Java Concurrent libraries, AIML, XML, JSON, Apache Math3/Commons, Stanford NLP, Weka, JCE Encryption, Jersey 1.17, Apache HTTP (1.1) Client, SmartFoxServer, JSON-Jackson 2.+, Kryo 2.20 messaging, Zip compression, Amazon Web Services (AWS), Git, Eclipse Indigo, xCode, Maven 3, CocoaPods, Junit 4, Mockito

Confidential

Consultant

Responsibilities:

• Defined and delivered strategic risk architecture blueprint for use by the Strategic Risk Program, a cross-asset on-demand risk platform
• Created blueprint for defining and linking business risks, operational risks and technology risks
• Presented blueprints to senior IT and business management
• Worked with technology teams on implementation

Confidential

Director, Global Risk Lead

Responsibilities:

• Transformed risk management practices across Equity capital markets by delivering innovative risk platform and associated suite of equity applications to all trading desks globally
• New system capability
• Real-time market risk
• Pre-Trade Pricing & Analytics
• PnL & PnL Attribution (delta/gamma/kappa/theta/div/…/cross greeks)
• Parameter calculators (implied volatility using option market prices)
• Index calculators (S&P, FTSE, HSI,..)
• Single name option trading (bid/ask volatility into trading stack)
• Back-testing (option portfolios, vol/skew/kurtosis/corr implied & historical metrics)
• EOD Marking (w/regional price service)Worked closely with senior trading management and desk heads in all regions on product specification and strategic multi-year roadmap definition
• Responsible for overall project technical architecture, system implementation, business content and operational delivery
• Oversaw team of 15-25 developers in London, New York, and Hong Kong
• Rationalized volatility based metric definitions across equities
• Implemented volatility metrics in java and python based on flow derivative desk specifications (volatility, skew, convexity, correlation)
• Back-tested option portfolio strategies, subject to daily hedging constraints
• Helped develop and introduce proprietary skew measure
• Final multi-tier SOA system consisted of position, calculation, and aggregation services built in 64 bit Java with imbedded C++ analytic library (JNI); system runs on 1000+ Linux cores with real-time and historical information displayed on light-weight C# GUIs; communication between tiers handled by REST/JMS and custom messaging solutions

Technologies: 32/64 bit Core Java (1.6), Java Concurrent Libs, Python, C#, C++, JMS, XML, REST, Tibco EMS, Coherence, Oracle, Data Synapse, SNV, Maven2, Eclipse, JUnit 3

Confidential, New York

Director, Global Lead

Responsibilities:

• Communicated architectural and technical vision, building consensus across senior IT and business management
• Established first ever enterprise wide Java based valuation layer at the bank, working with the quantitative teams to enhance Java/JNI interaction (previous stack was entirely C++ based)
• Architected and prototyped bi-temporal parameter management database, storing volatility, rates, correlation, dividends, and exotic parameters, using java, coherence, and Oracle db
• Worked closely with quantitative team on analytic-IT interface design and library optimizations
• Final multi-tier SOA system ran on 1000+ Linux cores; system was able to value 80k positions in under 10 seconds, model independent design; results displayed on C# GUIs
• Promoted and mentored staff to take leadership positions

Technologies: 32/64 bit Core Java (1.5), Java Concurrent Libs, C++, JMS, XML, REST, Tibco EMS, Coherence, Oracle, Data Synapse, SNV, Maven, Eclipse, JUnit

Consultant

Confidential

Responsibilities:

• Developed technical strategy road-map around a real-time risk and analytics platform
• Sold road map to heads of IT and Business units
• Built proof-of-concept system to demonstrate viability of system to senior managers

Technologies: Core Java (1.5), Java Concurrent Libs, JMS, XML, REST, Coherence, Oracle Data Synapse

Confidential, New York

Associate, Quantitative Researcher

Responsibilities:

• Built trade back-testing environment
• Back-tested and executed cash and Convertible bond based trading strategies
• Developed trading indicators over 3,6,12,18 month time-scales (e.g. volatility, correlation, auto-correlation, sharp ratios plus proprietary indicators)
• Created and maintained large databases holding historical prices and back-testing results

Technologies: Java, Maven, SVN, MySQL

Confidential, New York

Vice-President, Global Team Lead

Responsibilities:

• Dramatically improved server side performance and stability with new testing suite
• Responsible for building multi-tier real-time risk services to support flow derivative and cash trading businesses (C++/Linux/GCC/Sybase db); system consisted of 200k+ lines of code and 100s of classes
• Developed server side, multi-threaded Java based architecture, with links to imbedded C++ analytic library; designed and built Sybase databases
• System valued 20-30k positions in under 10 seconds using 160 Linux cores

Vice-President, Global Team Lead

Confidential

Responsibilities:

• Managed a team of 5 developers responsible for building trading engines that executed volatility strategies against the open market using C++/Java server side, multi-threaded engines
• Developed system architecture, worked with team to implement system, improve performance
• Worked with key traders on the flow derivatives desk to define basic strategies

Associate, Team Lead/Developer

Confidential

Responsibilities:

• Managed a team of 6 developers responsible for building and maintaining the global real-time risk platform
• Introduced innovative multi-threaded calculations which optimized existing valuation techniques, improving calculation performance by a factor of ten
• Designed and built a scalable, enterprise wide risk valuation service in C++, which published real time risk valuations globally to all platforms

Associate, Developer

Confidential

Responsibilities:

• Worked with traders and senior managers on the equity derivatives desk gathering requirements for and designing a next generation risk management system
• Developed Profit and Loss analytics tool for traders, controllers, and operations personnel used worldwide

Associate, Developer

Confidential

Responsibilities:

• Built parsers that captured and stored dependencies between software modules