Confidential, Norwalk, CT 2010 to 2011Front office quantitative analyst
- Validate the Quantitative models involved in pricing the Credit Default Swaps, Exotic Options, and Bonds.
- Implement algorithms inVBA, MATLAB,C++, STL/Boost.
- Implement models for pricing Swaps, and Swaptions.
- Conduct quantitative analysis through price, Greek calculation, valuation of forward price curves and volatilities.
- Perform independent valuation using Black-Scholes model, Bloomberg, Binomial trees, and an internally developed system written on VBA.
- Oversee the controls of quantitative models, formulas, price sources and secondary controls. Acknowledged by portfolio managers for having improved the pricing validation process using improved desktop technology.
Confidential,New York, NY 2008 to 2010
Senior Valuation Analyst
- Responsible for global reporting of price-testing results and valuation adjustments meeting FAS 157 requirements.
- Create supporting documentation describing results of price verification analyses and reconciliation of pricing discrepancies.
- Independently validate prices used in the valuation of Fixed Income, FX, and Commodities.
- Identify and implement solutions to potential pricing discrepancies and provide a valuation summary assessment to senior management.
- Perform a monthly review validating market data used in the internal valuation systems against independent source.
- Develop Models using C++ that facilitated the Independent Price Verification of the Commodity, FX, and Fixed Income portfolios.
- Conduct analysis to research and resolve identified potential pricing discrepancies.
Confidential, New York, NY 2006 to 2008
Team Leader - Derivatives
- Oversee a staff of three pricing analysts responsible for the independent valuations of all OTC and listed derivatives including caps, floors, futures and options, currency forwards and options.
- Set-up a control process on ACCESS to review monthly values for over 100 derivatives positions.
- Provide daily reports to traders and portfolio managers on values out of tolerance.
- Reduced error rate in department by 15% by providing stricter standards using mathematical models.
M.A., Applied Math
Bachelor of Science in Physics
Microsoft Office: (Word, Excel, Access, PowerPoint), Bloomberg, SAS, Java with Data Structure, C++, MAT LAB, VB, and UML, UNIX, Linux, and Microsoft Widows XP, and Vista, Oracle 10g, SQL Server 2003, MySQL.