Vice President/senior Quantitative Finance Analyst Resume
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OBJECTIVE:
- Seeking a senior Quant position in modeling, model review and validation, and mode risk audit.
PROFESSIONAL EXPERIENCE:
Confidential
Vice President/Senior Quantitative Finance Analyst
Responsibilities:
- Extensive testing and preparation of work papers on BAC’s model development and validation reports of stress testing CCAR models and IRB Basel Capital PD/LGD/EAD models including prepayment covering wholesale and retail mortgage, US, UK and small business Cards, Auto loans and Global Markets, IMM, EQ and IR pricing models, model Ongoing monitoring reports, etc.
- Audit testing and preparation of work papers on MRA issues raised by fed regulators, internal issues identified by Global Risk Analytics, Model Risk Management and Audit.
- Frequent interactions with model developers, MRM and participate in regulators CCAR meetings.
Vice President, CCAR Quantitative Modeling Team
Responsibilities:- Extensive quantitative modeling in PPNR 9Q projections under Feds and internal macro scenarios for BNP's Global Markets: Equity derivatives, Commodity Derivatives and Futures, Prime Brokerage, GES, Fixed Income, etc. Overseeing the modeling work of the non - Global Markets.
- Frequent interactions with GECD trading desks on their future business plan and strategy for CCAR.
- Hands-on skills from revenue data preparation to model building and documentation, validation and remediations, implementation support and presentation to business and senior management.
- Hands-on skills in General Market Risk VaR modeling and Market RWA, Credit RWA and Counterparty Credit RWA Modeling for Basel and CCAR purpose.
- Developed the Credit Loss Modeling framework and helped Finance team with their B/S forecasting.
- Managing and overseeing 6 external consultants' (quants/modelers) modeling work and reporting.
Associate Director, Risk Exposure and Management
Responsibilities:- Counterparty Credit Risk/Basel models Valuation Control: price testing of credit parameters (CVA risk, hedge risk and recovery rate) within REM space by carrying out independent price verification (IPV) work on both internals and generics, Gemini CDO and Inflation Curve (non-credit parameter).
- Daily and weekly interactions with trading desks across US, EMEA and APAC regions for any breaches found out of IPV work and PnL remarking; preparation and submission of monthly report summary on IPV work to different levels of senior management.
- Redeveloped trading desks' CDS Pricing models for illiquid names with significant improvements on the models' performance to cut the big IPVs and the new models were adopted by desks .
- FVA: Designed the FVA backtesting template, coordinated with both Finance and trading desks across APAC, EMEA and US regions, analyzed and stress-tested the executed uncollateralized trades.
- Prudential Valuations on credit parameters of internals/CDS and generics; managing offshore team.
Vice President
Responsibilities:- Hands-on and engaged in the full cycle of credit risk modeling: project design, model building and development, validation, implementation support and model documentation.
- Redevelopment of Fund Availability Coverage model for consumer with a lift of 15% over old model.
- Successfully developed and validated a new scorecard model for CBNA’s Checking Plus and a new decision tree model for Personal Installment Loan with a lift of more than 15% over benchmark score.
- Redevelopment of the Portfolio Stress Early Warning (PSEW) model for CBNA’s DM portfolio and re-fitting the Fed stress testing model for Credit Loss by using Principal Component Analysis.
- Preparation of comprehensive technical reviews of models built, meeting decks and various ad-hoc documents to support senior management team’s needs; Basel 2.5 and Basel III training.
Programming Skills: C++, SAS, Excel/VBA, SQL, Matlab, R, Python, C#; OS: Windows, Linux/Unix.
Confidential, Princeton, NJ
Senior Research Scientist
Responsibilities:- Key innovative contributions in discovering the drug candidate for CCR1 arthritis pain program.
- Successful use of computational modeling tools to improve the efficiency of drug discovery.
- Published Patents: US8288371, WO 2009082526 , WO 2008011392 and 2 peer-reviewed manuscripts.