Expert level in the Modeling, Risk Management, Data Analysis and IT:

MBS, CDO, Swaps, Convertible Bonds, Credit/Equity/Commodity/FX/Muni Derivatives

Low Latency/High Frequency Systems, Machine Learning, Big Data, CCAR/DFAST

Core Java/J2EE, Python, C , NoSQL/SQL databases, R

Confidential

Consultant

• Implemented Collateral Optimizer and CVA/DVA/FVA calculations
• Trades generation for finance trading desk by optimizing collateral portfolio
• Developed CCAR, DFAST and Basel calculators, reports and stress tests
• Use Python, MongoDB, JavaScript, Tomcat/JSP/Servlets, Java, Perl, C ,

Scala/Play/Akka, Groovy/Grails/GPars, Excel/VBA, Oracle, shell scripts, R

Confidential

Consultant

• Designed multifactor simulation and aggregation for real-time distributed
• pricing analytics for all bank securities, financing trades and collateral
• Developed multithreaded Market and Credit Risk/CVA for Credit Derivatives
• Fixed Income, Convertibles, FX and Libor/OIS Swaps, MBS, CMO, CDO
• Developed low latency/high frequency real-time Credit approval system
• Designed and implemented Basel, CCAR and DFAST Stress Testing system
• Quantitative support for Credit Derivatives traders and portfolio managers
• Used Java, Spring, Hadoop, HBase, Storm, Kafka, Memcached, XMLRPC,

Python, ActiveMQ, RabbitMQ, ZeroMQ, Oracle, Sybase, C , FIX, R

Confidential

Senior Application Developer

• Designed and implement MBS/CMO/CDO cashflow generations models
• Monte-Carlo distributed simulations and pricing for MBS/CMO, CDO, ABS

• Developed realtime FX and Equity Derivatives Pricing and Risk Models
• Implemented MapReduce framework for Collateral simulation and aggregation
• Used Java, Spark, Mahout, CEP Esper, Drools Fusion , Scala, Python/Django,

REST, SOAP, XMLRPC, FIX, HTML5, Hadoop, C , managed 5 developers

Confidential

Consultant,

• Determined data requirements, validated pricing/risk models and parameters,
• estimated volatilities, correlations for Credit Derivatives, Equities and FX
• Calculated Prices and Risk profiles for CDS, CDO and Interest Rate Derivatives

• Designed Real-Time High Frequency/Low Latency Deal Approval system
• Investigated pricing differences in Front Office vs Back Office systems
• Calculated Convexity Adjustments for Futures/Forwards and CMT/CMS Swaps
• Modeled OIS/Libor Curves, Volatility Smile/Skew/Kurtosis
• Implemented Pricing/Risk Management for illiquid repo collateral
• Responsible for explaining MTM and Potential Exposure daily change
• Used Java/JMS/HornetQ, iBatis, C , Oracle, Sybase, Matlab, FIX

Confidential

Vice President

• Built OIS/LIBOR/Treasury/Commercial Paper/Fed Funds Swap Curves
• Developed Models for Mexican TIIE Swaps and Swaptions, Brazilian Swaps
• Implemented BGM, HJM, BDT Market model for Interest Rates
• Designed Trade Capture System and real-time pre-trade risk analytics
• Developed optimal trade execution algorithms/Order Matching Engine
• Used C /C, Java/Swing, Excel/VBA, managed 3 developers

Confidential

Vice President

• Developed Commodity Trading and Risk Management for Oil and Natural Gas markets
• Designed and implemented Pricing Models for Commodity Swaps/Exotics/Quanto Options, Basket Swaps and Options and Structured Notes
• Implemented Pricing Models for Commercial Paper, Federal Funds and Prime Basis Swaps
• Developed electronic trading system for commodity options
• Provided analytics support for commodities trading desk
• Used Java/Swing, C , Excel/VBA, managed 4 developers

Confidential

Consultant

• Conducted a Cash Flow Scenario/Stress analysis for 12b-1 Mutual Fund fees
• Designed Commercial loan portfolio management system, CreditMetrics, KMV
• Developed Portfolio rebalancing for generating trades from client in/out cashflows,
• and market changes to keep following performance benchmarks
• Estimated Alpha/Beta for CAPM and multifactor APT Models
• Used C , Excel, VB

Confidential

Vice President

• Developed and implemented Pricing models and Total Return Calculator for MBS/CMO
• Designed Monte-Carlo pricing using Linear Path Space, Stratified and Importance Sampling
• Built Libor Swap and Treasury Curves,
• Developed Pricing Models for CMT/CMS Swaps and Bermudan Swaptions
• Implemented Option Adjusted Spread Calculator OAS
• Designed and implemented Cash Flow Generation Tools using Intex ICMO
• Developed Statistical and Implied Prepayment Models for Residential MBS
• Built BDT and two factor HJM Models using one/two-dimensional binomial lattices
• Monte-Carlo pricing including Key Rates and Linear Path Space
• Used C , Excel/VBA, VB, managed 3 developers

Confidential

Consultant

• Built Credit spread curves from market prices of Corporate and Convertible Bonds
• Implemented Pricing for Municipal Bonds, Derivatives and Refunding Options
• Designed Pricing models for Asset/Credit/Default Swaps, Credit Options

• Developed Portfolio Optimization, Dedication and Immunization Strategies
• Designed Multi-dimensional Linear Path Space model and Monte-Carlo methods
• Implemented Backward/Forward Inductions for Black-Derman-Toy
• Black-Karasinski and Hull-White Interest Rate Models
• Developed Pricing Models for Insurance Derivatives SPDA, GIC
• Used C/C