Process improvement: hedge funds’ and CTAs’ performance, enterprise risk, and operation model
Risk and Analytics Consultant
Senior product manager on the design and delivery of the beta version of a strategic business intelligence platform for the front office (trading, portfolio, data scientists, and risk teams) to perform model review and run performance and attribution reports; hands - on contributor using Tableau (VizQL, TabPy), SQL, Python, and firm’s web services.
Supervising the offshore team and closely working with PMs, quants and traders on a project to create visualization dashboards for Transaction Cost Analysis (TCA) team used to evaluate the performance of AQR trading algorithms.
Risk and Analytics Consultant
Coordinated and heavily participated in an organization-wide effort to make analytic enhancements to the goals based wealth management (GBWM) retirement tool.
Successfully implemented the variable annuities (VA) business rules in the Monte Carlo calculation engine on the backend of the GBWM retirement tool.
Performed risk and scenario analysis on fixed income products (including CDOs, CDSs, etc.), equities, and equity derivatives for all funds and individual trades/positions to report performance and exposures to the management.
Calculated and back-tested the financial metrics and risk metrics (IRR, PnL, Yields and sensitivities, VaR, etc.) for portfolios of fixed income securities; replicated legacy C++ codes in Matlab and SQL (PoC’s created for Python).
Worked with the chief compliance officer, head of operations, and application development team to create and maintain regulatory reports and automated compliance tests (overnight batch, pre-trade, and post-trade).
Performed extensive data mining and analysis using various tools including VPM, Bloomberg and Paladyne; created and maintained risk and performance reports using MS SQL, Tableau, SSRS, Crystal Reports, and Charles River OMS.
Led the firmwide efforts to prepare reports on performance and attribution, distribution waterfall, and liquidity/regulatory/market risk status of holdings across all funds for both internal and external clients.
Financial Advisory Manager
Started and led the “transaction cost analysis: big data & visualization” team within the practice line’s risk group, covering both listed and over the counter (OTC) securities.
Worked with process improvement pillar (asset and wealth management) to develop a comprehensive enterprise operating model and risk management framework for hedge funds, fund of hedge funds, and private equities.
Led a team of senior consultants on an enterprise-wide project to implement portfolio and trading analytics forensic testing for several risk control areas including trading anomalies and portfolio performance analysis.
Designed a visualization and reporting dashboard to improve the efficiency of compliance analytics group’s forensic testing, working directly with the chief compliance officers, utilizing R and Spotfire and data feeds such as Capital IQ.
Acted as the senior technical analyst and created analytic framework and tools to monitor the budgeting, KPI’s and the performance of a global team (US and EMEA) working to improve the private bank’s operational risk model.
Ran scenario and gap analysis on the performance of the bank’s Know Your Client (KYC) framework, optimized the project tracking and the client’s private banking operating model.
Led a data analytics team (analysts and consultants) on an engagement with BAC’s risk analytics group to assess inherent risk factors, using various statistical analysis methods and the client’s large amount of unstructured data.
Successfully identified flaws, issues and gaps in the bank’s vendor risk management methodology used to specify operational risk factors, using statistical analysis and tools including Tibco Spotfire.
Led the data/business governance and analytics work-stream of a project on planning and implementing information management framework across the middle office, resulting in $60 million cut in the annual operating costs.
Supervised and finished the design of a risk analysis data-mart under the guidance of the Board of Directors for the Finance and Research groups to run financial analytics and trading risk models.
Led a team of senior consultants and business analysts on rolling out the Basel II data mapping and attestation framework across the bank’s Investment Strategy Group and Global Wealth Management.
Worked with various practice lines across the bank in a global initiative to find data process gaps in Comprehensive Capital Analysis and Review (CCAR) requirements and end-to-end process flow.
Risk Management Consultant
Acted as the team’s quantitative business analyst and implemented proprietary VaR models for FX, CDOs, and TBA positions utilizing BlackRock (BRS, Aladdin, and Green Package) and Bloomberg.
Worked with internal teams across the bank, application service providers (BlackRock, MSCI/RiskMetrics), and consulting firms ( Confidential & Young, Protiviti) to create a firm-wide risk and PnL reporting infrastructure.
Led and worked with a team of investment analysts, risk analysts, and developers to design a risk reporting tool in Excel/VBA for tracking daily PnL, sensitivities, performance and optimization of the firm’s various portfolios.
Helped portfolio managers and risk team with the development of an automated investment risk tracking system using Business Objects (end user) and C++ (analytic engine).
Conducted research and analysis on Market Impact and Opportunity Cost of the current trading strategies, assisting with improvement of firms’ Transaction Cost Analysis (TCA) application on both front-end and back-end.
Contributed to the development of the TCA server side (back end) written in C++ and validated the codes by designing Excel/VBA spreadsheet templates; Performed time series analysis on daily transaction volume of equities and futures to come up with prediction of daily volume curves used to find the drivers of trading performance.
Successfully prepared a comprehensive repository of detailed requirements for derivative tradables (including options, swaps, FX, IR, and credit products) from an analytical angle utilizing SecDb/Slang and SQL.
Lead and actively worked with a team of individuals from different security groups (equity and FICC) across the firm in a project to properly calculate and update derivative Greeks for open OTC trading positions.
Prepared reports for PnL and what-if scenarios on Sharpe ratio, Jensen’s alpha, and Value at Risk (VaR) for the management by preparing and maintaining reusable templates created in Excel.
Researched and prepared reports on projects proposed by startup companies to evaluate the financial positions of prospective investments and private equity takeovers.
Consulted institutional clients with risk diversification, business plan assessment, and industry analysis through financial modeling, requirement gathering, and market research.
Developed and validated risk models and simulations to enhance existing online trading tools for basket execution by minimizing timing risk and impact cost (trade optimization).
Carried out research in portfolio risk evaluation using extended Fama-French multi-factor model, Riskmetrics, and PCA; used Excel/VBA and MATLAB and wrote codes in C++ to test Miletus extended equity risk model.