Languages: Microsoft Azure, .NET, C#, PERL, Transact - SQL, VBA, C++, C, PERL, PL/SQL, UNIX shell scripts
Databases: MS SQL Server, Azure SQL, Sybase, DB2, Oracle, Informix
Tools: Excel, STL, Rogue Wave, Microsoft Visual Studio, Microsoft .NET, Intex subroutines, Embedded SQL
Principal, Sr Project Manager, New York, NY
- Responsible for firm's structured product analytics and technology solutions for CLO investment and Whole Loan lines of business. Led a team of 2 developers to build and support multi-servicer portfolio management system for non-performing and re-performing and S&D loans.
- Led firm wide digital transformation effort to migrate company’s technology to cloud platform using Microsoft Azure and AWS. Built cloud based system to produce weekly VaR analysis on firm’s portfolio of high yield bonds and bank loans. The system consists of historical scenario generation, price simulation engine and VaR aggregation module.
- Oversaw the agile software development process including business analysis, technical design and implementation, integration test, release management and etc. Responsible for production of daily reporting package used by trading desk, operations, fund accounting and investor reporting group.
- Designed and implemented valuation, risk, and surveillance systems for the US and European CLOs. Utilized the former to produce daily in-depth NAV analysis, scenario pricing, risk sensitivities, and cashflows on the entirety of the CLO universe.
- Directly supported trading activities by analyzing potential CLO investments offered on bid lists or out of dealer inventory. Produced surveillance reports covering historical price and credit performance of deals, manager activity, collateral quality tests and etc.
- Responsible for the timely production of month-end marks and related analytics for firm-wide and investor reporting.
Vice President, New York, NY
- Worked on daily position and P&L reporting application for scratch and dent loans. Built intraday pricing functionality for repurchased loans.
- Migrated reports to use the Loan Management System as a source of inventory loans.
Consultant, New York, NY
- Worked on portfolio management system for RMBS family of funds.
- Added asset pricing and portfolio analytical capabilities to risk reporting system.
- Developed PL and performance attribution reports for mortgage REIT distributed to senior management and investors.
Associate VP, New York, NY
- Supported RMBS desk with daily analytics, risk, P/L, and market data for subprime positions. Wrote various reports such as amortization, issuer exposure, daily stat report etc.
- Built pricing functionality and daily snapshot report for european CLO deals.
- Developed a process to map underlying CLO assets to pricing sources such as LoanX and Reuter.
- Implemented number of enhancements to CLO calculator like optional redemption, credit support overriding and etc.
Consultant, New York, NY
- Developed distributed portfolio system for distressed structured products based on Intex cashflow engine. System was used for intra-day valuations, pre-trade analyses and producing P&L metrics on CLO, CDO, ABS, and RMBS positions.
- Worked on assumptions generation module, cashflow reporting, and P&L calculation parts of the system.
- Built CLO/CDO and non-agency mortgage database for periodic deal updates for analytical and reporting purposes.
- Wrote a process to validate and load reference data from vendors such as Loan Performance, Intex and LoanX.
- Developed a mapping jobs for pool and loan level data between different data providers.
Associate VP, New York, NY
- Built CLO repackaging tool capable of identifying potential candidates available for repackaging on secondary market, calculating subordination and risk profile for restructured note using Moody’s BET methodology.
- Developed structuring, valuation, and risk platform for waterfall synthetic deals and later extended to CLOs. Implemented cashflow engine, collection of rating agencies models, and monte-carlo default time simulation engine.
- Developed S&P capital loss distribution model for SIV-lite structures. Wrote cashflow engine, credit spread and interest rates simulation processes as well spread calibrating tool and goodness of fit test.
- Used SIV model to analyze the results and help to negotiate with S&P prospective ratings.
- Developed the application for calibrating the rating transition matrix and underlying asset correlations for synthetic CDO pricing model. Automated correlation data feeds and implemented lookup and interpolation for base correlation data.
- Modeled cash flows for a number of US and European corporate and synthetic CLOs. Verified Intex models against structuring models.
- Maintained all in-house deal models and rolled to next payment date.
- Worked on Intex-based reporting, tranche and hedge valuation system. Implemented NAV calculation and surveillance reports. Incorporated Intex periodic updates, load data feeds into CDO valuation system.
- Redesigned and implemented yield curve construction library to derive discount factors, spot rates, forward curves.
- Designed trade aggregation process for counterparty risk exposure. Developed tools to monitor and validate daily change
Consultant, New York
- Designed and implemented a credit risk engine for corporate and warehouse loans. The server is used to calculate probability of default, loss given default and other credit metrics for regulatory and economical capital computation.
- Implemented a model to compute daily VAR exposure for trades unable to go through the simulated VAR process. Developed a process to back-test, calibrate parameters and validate this model against the simulated VAR approach.
- Developed liquidity adjustment pricing models and data feeds for stock loans, warrants, REPOs, and OTC derivatives.
Senior Programmer/Analyst, New York, NY
- Set up Tax Account balances reconciliation process and built monthly tax balance report to display results to end users. Implemented multiple enhancements to Tax Positions, Trades and General Ledger reports.
- Migrated all back end code for Global Corporate Tax System to Solaris 8 platform. Redesigned database schema and migrated tax information and audit systems to use the new versions of Orbix Iona, Rogue Wave Source Pro and Sybase
- Designed and developed a set of tools to generate and archive production distribution packages for Corporate Tax reporting and audit systems in compliance with institutional and security requirements.
Associate, New York, NY
- Designed and implemented the data model and multi-tier application server for all client portfolio reporting such as holdings, transactions, performance and P&L. Developed transaction ledger, tax-lot and consolidated position reporting.
- Fully redesigned a system for archiving and online delivery of all monthly statements and trade confirms. Implemented TCP/IP message based application server that provides all statement related information by given set of criteria.
- Redesigned and enhanced fixed income module of real time multithreaded reporting server for calculations of returns, yields, accruals, cash flows used in year to date and inception performance reports.
- Built front-end tools to generate and display monthly statements, performance, transactions, holdings, and P&L reports.
- Designed, implemented, and deployed web based applications to create and manage medical claims online
- Built uploading, translating and conversion programs for a claim submitting and processing system.
- Responsible for process execution on a number of remote servers based on the analysis of the applications’ results and performance.
Analyst, Ashburn, VA
- Processed loan payoffs and purchase operations forms in the note-tracking department.
- Worked with banks to identify and analyze problems with individual loans.
- Facilitated data entry operations in the local network environment.