Senior Quantitative Finance Analyst (Contractor) Resume San Francisco, CA - Hire IT People

SUMMARY:

Experience in quantitative modeling, validation and implementation of statistical and Confidential credit risk models for fixed income portfolios
Experience in data analysis including data retrieval, cleansing and manipulation using SAS and R
Experience in Confidential reporting using SAS and SQL Server Reporting Service(SSRS)
Experience in risk management conducting the Stress Testing outlined by US Federal Reserve
IT experience developing applications of trading tools using C# and SQL

TECHNICAL SKILLS:

Quantitative Skills: Statistical models, Portfolio Analytics, Credit Risk

Programming: C#, C/C++, SQL, SAS, R, Excel/VBA, JAVA, PERL

Database: SQL SERVER 2008/2012

Reporting Framework: SQL Server Reporting Service, Crystal Reporting, DevExpress

Development Environment: MS Visual Studio 2010, SAS Enterprise Guide 4.2/4.3, JAVA Eclipse, Subversion, VSS, TFS

PROFESSIONAL EXPERIENCE:

Confidential, San Francisco, CA

Senior Quantitative Finance Analyst (Contractor)

Responsibilities:

Generate projection of macroeconomic variables, GDP, UR, CPI, IR and HPI on different scenarios for CCAR and Stress Testing.

Confidential, San Francisco, CA

Model Validation Analyst (Contractor)

Responsibilities:

Validated PD and LGD Stress Testing (DFAST/CCAR) Models for Confidential commercial wholesale portfolio.
Check model concept soundness, data integrity, variables selection rationales and outcome performs.
Have weekly meetings with model developers to discuss replicated result and findings.
Wrote final validation reports. Using SAS and R

Confidential, Los Angeles, CA

Quantitative Analyst

Responsibilities:

Implemented mortgage models into our Loan Analytics Pricing System (LAPS), which is a standalone system developed using Monte Carlo methodology to calculating cash flow of mortgage loans based on default/prepay models and pricing the RMBS bonds with embedded INTEX API. Using C#
Independently completed Cash Flow Testing for risk management team. It calculates bond cash flow and prices on different scenarios given monthly treasury par yield curve. Using C#
Conducted impact analysis of our portfolio: measure price/yield change of our portfolio from last quarter with the updated HPI, Interest and Unemployment rates. Using C#
Independently developed a WPF tool for loan modification optimizer which output an optimal rate, term and forbearance to maximize loan present value.
Maintained and improved the LAPS system using C++ and C#: add functionalities and reporting items, perform data analysis per trader’s request
Redesigned code structure of LAPS to enhance the performance and reduce the development time by 50%.

Confidential, Calabasas, CA

AVP, Quantitative Analyst

Responsibilities:

Developed and maintained LGD Stress Testing Model for the HFI portfolios of Confidential residential mortgage loans. Using SAS
Conducted the Stress Testing (DFAST) on the different economic scenarios and delivered loss forecasting reports to the accounting, executive teams and regulators in a quarterly basis. The Stress Test passed all internal and external audits and proved that Confidential has enough capital to resist severe economic recession. Using SAS and Excel
Independently calibrated REO discount rates on state level which was used to calculate property value in LGD models. The calibration provided a more accurate estimate of property value. Using SAS
Implemented the Treasury HAMP Model using C# and SQL, which led Confidential to obtain the certification of Loan Modification Business from the US Department of the Treasury.
Improved and maintained the Fallout Model, which predicts the ratio of closed loans to locked loans, and delivered daily P&L reports on pipeline data based on the Fallout Model for trading managements. Using C++

Confidential, Calabasas, CA

Senior Quantitative Analyst

Responsibilities:

Analyzed historical loan data to help risk management and traders make data driven decisions. The analyses include calculation of loan default rates and prepayment rates under different metrics cuts, like LTV, FICO score, region and loan amount. Using SAS
Created recurring (monthly and quarterly) and ad - hoc loan performance reports for internal traders and external clients. The reports include company new loan originations and portfolio performance. Using SAS
Improved codes for automate report creation.
Model validation - Back testing mortgage Default (PD) models used for credit risk analysis on mortgage loans. Using SAS

Confidential, Los Angeles, CA

Software Developer

Responsibilities:

Wrote SQL scripts, like views, stored procedures and user defined functions to analyze data to support trading desks.
Developed standard business reports (accounting and client monthly statements) using SSRS. These reports are created through browser and the users can control their own parameters passing to the report.
Developed ASP web-based application to support securities lending and trading activities.