SUMMARY:

• Quantitative Modeler, Business Analyst, and Risk Executive with experience in all facets of portfolio trading and risk management.
• Trading expertise and extensive asset class/product knowledge in FX, commodities, futures, derivatives, and equities.
• Offer record of achievement successfully managing financial risk portfolios as well as modeling risk.
• Experience presenting in small 10 - 20 person groups, small lectures (50 people) as well as C-level suite personnel. Series 3, 7, and 66 licenses.

TECHNICAL SKILLS:

• ALM balance sheet modeling (QRM). Validated NII, NIR, MBS, and NMD models (transition matrix, structural, logistic analyses, etc.). Familiar with AD&CO models as well as Blackrock MBS models.
• Proficient in C++/Matlab/SQL/Murex/Excel/SAS/Bloomberg API
• Extensive model construction of PPNR models, Credit models, and consumer behavioral models.
• Expert in Econometrics/Time Series Analysis(OLS, Logistic, Constrained regression, ARIMA)
• Thorough understanding of risk management/audit protocols and financial instruments used in hedging risk exposures as well as familiarity with market rules and regulations
• Familiar with Dodd-Frank(DFast),CCAR, Basel III and RWA, SR11-7, SR15-18 and SR 15-19 regulations and calculations. BCC 14-3, 13-5, and BCN #6 LDP framework used extensively.
• XVA (CVA, DVA, FVA, etc.) modeling
• Developed, validated, and audited BAU and CCAR models
• Extensive LCR/HQLA work as well as EVE sensitivity analysis

PROFESSIONAL EXPERIENCE:

Confidential

Senior Model Validation

Responsibilities:

• Responsible for Validating the PPNR models for DFAST/CCAR submissions (Feeder models into QRM including NII, NIR, Origination, NMDs, etc.)
• Responsible for developing Ongoing Monitoring Framework and KOPs as well as implementation for all GMVG models
• Led GMVG effort for validation of IRRBB models including EVE sensitivity analysis.

Confidential

Sr. Quantitative Model Auditor

Responsibilities:

• Audited LGD, PD, EAD wholesale credit models under AIRB approach under both cohort and duration PD and LGD downturn scenarios and providing concrete remediation actions for MRAs. Validated Markov chain approach for roll rate models
• Implemented global market shock methodologies for PPNR and credit models
• Audited and validated OIS/Libor Stripped curve models for collateralized derivatives, IRS, and options.
• Audited Equity TRS pricing models
• Recommended plans of action to remediate MRAs including addressing data insufficiency and methodology gaps
• Audited NMD models and conducted sensitivity analyses for deposit runoffs as well as Beta calculations.

BNP Paribas Lead Consultant 

• Developed, modeled and tested OTTI models for Private Equity, Debt, and Equities using SAS (ASRF framework/PD/LGD/EAD Methodology). Used LDA models for various retail credit modeling
• Developed and calibrated Operational Loss model using Frequency/Severity Analysis models.
• Extensive PPNR modeling (for both Income Statement and Balance Sheet items) using time series and structural models (Equity Derivatives, Advisory, ECM, DCM) for 14A/14Q 9QProjections and Stress tests using SAS.
• Produced, calculated, and reviewed daily VAR, P&L and P&L attribution by asset class, escalated VAR and DV01 limit breaches for the Mkt Risk group in various asset classes such as EM FX, local markets, fixed income and equities
• Worked on special projects for DFAST, liquidity ratios and inventory aging. Prepare and report market risk metrics using Excel, Murex, AIRE, and Access DB tables. Worked on calculating RWA ratios using(Basel II and III methodology: PD, LGD, and then applying Monte Carlo generated paths for rates in the Derivatives and calculating CVA and EADs to estimate capital charges)

Confidential

• Used propriety trading AR (1) trading model with Kalman filters for entry and exits, however a top down approach for instrument selection in various credits

Confidential, NJ

Portfolio Manager/Analyst

Responsibilities:

• Worked with UHNW portfolios on investment allocation and portfolio construction to include alternative investment strategies with an energy and commodity emphasis and manage commodity risks.
• Designed and implemented efficient frontier/optimal portfolio strategies in equities and fixed income using MVO Resampling approach.

Confidential

Portfolio Manager

Responsibilities:

• Managed individual investor’s family office. Grew individual’s account beginning November 16, 2009 from $19.3mm to $43.0mm through June 18, 2014 with gains through positioning in equities, etf’s, commodities, and fx

Confidential, Greenwich, CT

Trader/ Emerging Markets Credit Portfolio Manager

Responsibilities:

• Contributed actively to investment strategy decision making and guiding expansion of investment products (local markets, commodities, and currencies) within existing mandate as well as discussing general fund strategy, performance, and outlook with current and prospective clients.
• Designed Excel-based real-time P-L and risk management system, which incorporated various commodities, including credit derivatives, FX, and equities. Enabled firm to monitor its risk and P&L on real-time basis as well as consider adverse scenarios based on 10 different inputs by developing new risk management report incorporating scenario analyses and drawdown/stop-loss criteria, thus delivering new platform and risk reports

Confidential, Connecticut

Former investment advisor

Responsibilities:

• Global Macro trader, made 27% return on capital mainly in fx and derivatives.

Confidential, New York

Risk Analyst/Emerging Markets Portfolio Manager

Responsibilities:

• Created credit, currency, and derivative trading strategy for all EM in local and external products. Held positions encompassing broad spectrum of product classes, including: CDS, and commodities.

Confidential

Senior Trader

Responsibilities:

• Managed FX forward trading out to 5 years, along with executing treasury funding activities, Cetes and Bonos trading, and Spot FX trading for Mexico.
• Ran flow and proprietary trading books in Argentina, Chile, Colombia, Peru, and Venezuela NDFs. Established with 3 other individuals CS’s presence as new bank in Mexico and established its trading operations.
• Drove increases in EMTA market share in options from 2% in Q1 2000 to 22% in Q2 2001, boosting overall distribution capabilities of CSFB while expanding breadth of its product line.
• Oversaw Local Markets Trading group controlling $6B client portfolio in Moscow; managed 3 personnel
• Traded dollar-denominated Russian external debt, local currency credits, NDFs, forwards, and credit-linked notes (hedged dollar product), while actively contributing to management of proprietary trading risk and leveraging client franchise. (1997-1999)