SUMMARY:

Experienced mathematician/statistician and quantitative financial analyst with 8+ years in financial services (15+ years of total experience). Strong qualifications in quantitative finance, mathematical modeling, research, predictive modeling and statistical analysis. Also expert in credit risk modeling, investment analysis, asset allocation construction, asset - liability management and risk management. Additional experience includes model development and validation, Economic Capital estimation, stress testing (CCAR/DFAST) and Value at Risk (VaR) simulation. Proven ability to initiate and improve processes, work cross-functionally, manage projects, reduce costs, and train staff.

StrengthsFinder Signature Themes: learner, ideation, strategic, intellection, maximizer

TECHNICAL SKILLS:

PROGRAMMING LANGUAGES: C/C++, VBA, Fortran, Pascal.

OPERATING SYSTEMS: Windows, UNIX ("power user" level).

SOFTWARE/SERVICES: Matlab (w/ financial and statistical packages), SAS (including EM), R, Minitab, basic SQL, Tableau, Compass Point, BondEdge, Bloomberg, Barclays Live, FactSet/DS, MoSes, @Risk, Microsoft Office, Adaptive, Maple, LATEX, HTML.

PROFESSIONAL EXPERIENCE:

Confidential, Minneapolis, MN

Finance Manager

Responsibilities:

• Development, implementation, and monitoring of stress testing models used to forecast Pre-Provision Net Revenue for the bank’s annual CCAR/DFAST submission.
• Management of the suite of RPS PPNR models, which encompasses
• projection of balance sheet and income statement items, variance analyses, and sensitivity analyses across various economic scenarios to support the assessment of the Bank's overall risk position and capital adequacy;
• technical documentation of theoretical and model assumptions, statistical assumptions, macroeconomic logic and theory, statistical output and diagnostics, out-of-sample testing, sensitivity analyses and model testing aimed at validators and regulators;
• support for regulatory exercises and requests.
• Developed CCAR Prepaid Cards PPNR model for the RPS organization.
• Currently developing a large suite of replacement RPS PPNR models.

Confidential, Minneapolis, MN

Lead Analyst

• Helped schedule capital projects in stores.
• Developed a model of workforce characteristics influence on incidents frequency/severity.

Confidential, Minneapolis, MN

Business Line Officer

• Developed loss forecasting models suitable for stress testing of Inventory Finance, Equipment Finance, and Winthrop portfolios.
• Redeveloped Retail Lending TDR portfolio loss forecasting model.
• Reviewed and validated internally and externally-developed models including credit scoring, loss forecasting and property valuation models for retail mortgage and indirect auto lending portfolios, completing the entire model validation cycle and producing in-depth validation reports.
• Provided analytical and modeling support/consultations to assist TCF Bank model risk management activities: fair-lending issues and credit concentration assessment.

Confidential, Bloomington, MN

MSR Sr. Modeling Analyst

• Supported VaR model and process development.
• Conducted valuation and reporting activities for MSR and pipeware portfolios.
• Supported model validation and development, process improvement and documentation of daily closing activities.
• Created a price grid process for the Secondary group, now used in daily pricing.
• Performed ad-hoc statistical studies.

Confidential, Golden Valley, MN

Investment Associate

• Proposed rigorous liability-driven Asset-Liability Management (ALM) process: developed methodology, phased-in plans and business case; validated methodology with test runs, educated stakeholders, defined system requirements, evaluated vendors and made recommendations.
• Saved at least $1M relative to a vendor-based solution considered by the company by designing ALM processes and tools internally.
• Developed real-world based Strategic Asset Allocation (SAA) process for FI portfolios: expanded assets universe, added various risk metrics into optimization and incorporated sensitivity analysis for econometric assumptions. This process is now used in several FI portfolios at Allianz and at P&C subsidiaries in North America. Directly supported portfolios of P&C subsidiaries.
• Researched new asset classes to be added into the assets universe for FA/FIA and P&C portfolios: inflation-linked bonds and commodities.
• Researched characteristics of Canadian FI asset classes and regulations and developed a new SAA, including exposure limits, for a Canadian subsidiary of Allianz.
• Investigated potential approaches to SAA development for Variable Annuities (VA) portfolios (including equities). Conducted proof-of-concept runs in Matlab. Conducted due diligence during selection process for a VA portfolio consultant.
• Evaluated rebalancing strategies and hedge efficiency and made recommendations.

Confidential, St. Paul, MN

Quantitative Risk Analyst

• Contributed to LDB/RMP ERM framework development and improvement, via both direct involvement and cross-functional activities: ALM EC group, EcVal Basics team, and Credit Risk Management (CRM) team.
• Participated in the work of Hedge Implementation Team: efficiency reports, daily and weekly processes of performance evaluation.
• Conducted a comparative study of different prepayment models and made recommendations.
• Saved the company $80K annually in perpetuity by evaluating and recalibrating a real-world scenario generator (from SOA) needed in CF testing and elsewhere in ERM.

Confidential, Bloomington, MN

Staff Development Engineer

• Initiated modeling of various servo-writing processes, drastically reducing the need for costly experimentation.
• Evaluated existing and new technology extendibility. Supported product troubleshooting missions and roadmap development. Analyzed servo performance sensitivity to various system parameters and gave system design recommendations.
• Evaluated alternative servo-writing technologies: servo-patterned media and contact printing.
• Identified the need for and developed proper modeling techniques of perpendicular servo-writing processes. Facilitated a company-wide change in how perpendicular recording is modeled.
• Verified performance capability of MDW writers in several generations of products via simulations and correlation with experiments.
• Contributed ideas and conducted simulations that were instrumental in Contact print Servo Pattern Media (CSPM) technology development and in design of servo-writing optimized longitudinal and perpendicular writers for multiple-disc writing (MDW).
• Led servo-pattern design project for CSPM: identified the need for specialized servo patterns, suggested possible solutions, built a team, identified needed resources, and built models.
• Selected and purchased several servers and software for conducting large-scale simulations.

Confidential, Minneapolis, MN

Visiting Assistant Professor

• Taught Short Calculus.
• Declined an offer of a summer research grant from Clay Mathematics Institute Liftoff Program in order to accept a position at Seagate.