Independent Credit Model Review (Consultant) Resume New York, NY - Hire IT People

SUMMARY:

Credit / Market Risk Modeling
Quantitative Risk Control
Trading Strategy Development
Business & Data Analysis
Experience in Modeling, Valuation, CCAR and DFAST; Applicable modules in Matlab applying Scenario & Monte Carlo simulation techniques
Knowledge in VaR, CE/PE/EPE, PD/LGD, OTC Derivatives Risk Factors
Back - test & P&L Attribution in type models; Risk Limit Set-up

TECHNICAL SKILLS:

Chartered Financial Analyst (CFA®) level III Candidate; Financial Risk Manager charter holder
Statistical skills with Excel, R, Matlab, SAS, SPSS, Python in financial analyzing and modeling
Programming in MS SQL Server, Sybase, VBA, C# & VB.net; Windows Server adapted; Proficiency in Bloomberg
Quantitative strategy development in script-based auto-trading platform in Multicharts® and MetaTrader®

PROFESSIONAL EXPERIENCE:

Confidential, New York, NY

Independent Credit Model Review (Consultant)

Responsibilities:

Reviewed stress Scenario severity assignment model; Improved the model by introducing Copula & occurrence matrix
Independently produced model review report in compliance with SR 11-7; Raised findings in assumptions and inputs
Reviewed and assessed Moody’s macro-economic model inventory, delivered in the form of linear functions
Evaluated model performance and statistical stability during financial downturn using t, F, stationarity & fitting test
Reviewed PIT PD to IRB PD conversion model and Stressed LGD model; Replicated the parameters in Excel

Confidential, New York, NY

Credit Risk Product Technologist (Consultant)

Responsibilities:

Studied valuation models & class structure (in FX, IR, Commodity, Equity & Credit derivatives) for implementation
Participated in running re-pricing batch of Monte Carlo simulation given stressed scenarios and market factor shocks
Wrote queries to examine pre-promotion results in SQL-Sybase; conducted consistency checks in deal or entity level
Coordinated enterprise stress testing cycle and provided Expected Potential Exposure & CVA data in granular format
Identified key risk factors required for valuation, e.g. Credit Spread, Forward Curves and Volatility Surface
Represented EST and took ownership in periodic upgrade/release discussion while avoiding delivery risks or conflicts

Confidential

Fund Risk Manager & Quantitative Strategy Analyst

Responsibilities:

Automated real-time VaR; Extended VaR measure to attribution and variation by instrument & fund
Implemented weekly money management and Risk Budgeting tactics for indices and commodities futures
Led periodic Stress Test, Factor Sensitivity Analysis and futures/spot strength/weakness valuation
Tracked global macro events and quantified calendar/policy impact through correlation/co-integration
Initiated algorithms design, from idea-generation, parameterization, scripting, optimization to back-testing

Confidential, New York, NY

Technical Risk Analyst

Responsibilities:

Set up option Greeks analytics in Matlab; Deployed Black-Scholes and GARCH model in Excel
Worked directly with hedge funds and prime brokers on Exposure, Performance & Allocation initiatives
Co-built the web-based portfolio management tool (TouchTM), in database and .Net environment
Executed middle-to-back-office operation for clients; Ensured reconciliation and business continuity