SUMMARY:

Leadership and expertise in Quantitative Trading Models, Pricing Models and Model Calibration Techniques, I am a Quantitative Finance Analyst with over 19 years of modeling experience (e.g., Quantitative Trading Algorithms, Trading/Pricing/Price Verification, Econometrics, Market and Credit Risk, Securitization - payment and default and Principal finance). Excellent management reporting with specialization in board reporting. And also I program in BBG DLIB, SAS, R-Software, Python, C/C++, VBA and SQL.

Career interests include quantitative trading algorithms, model implementation and validation, quantitative analysis/modeling, assessing capital market and treasury activities relative to industry practices and regulatory guidance, development and review of financial risk management policies/procedures where I can apply my quantitative skills, understanding of academic research, passion for policy initiatives and building strategies for non-market competition.

PROFESSIONAL EXPERIENCE:

Confidential,New York City, NY 

Risk Management

Responsibilities:

• I validated liquidity models and help FBO to reduce liquidity by USD 1.2 Bn.
• I calibrated and validated firm’s newly implemented VaR Market Risk Model and produced Model Validation Report. I helped to shape the back testing for VaR models, Product Level Model Performance and governance framework around VaR Model production (i.e. FX, IR, Credit, Equity and Equity Volatility VaR);
• I calibrated and validated SABR (Shifted and free-boundary) models, Hull White Two Factor Model, Independent Price Verification / Pricing Models (Front office pricing models for Cross Currency Swaps, IR Swaps, FX Forwards/Options), and produced Model Validation Reports (BBG DLIB);
• Evaluate Model Risk Management, Global Model Validation and Governance framework ensuring continuous improvements for model risk management (Input and output data statistical properties analysis, model & vendor selection process, constructive challenge to the model methodology and model verification & version control) in light of industry best practice, materiality of the firm’s model risk and regulatory requirements (Model Validation for Trading, Credit Risk, Market Risk, Operational Risk, Treasury/Finance models and Anti Money Laundering models); and
• Communicating firm’s model risk status to senior management - delegation of authority of the Internal Audit for making decisions on model risk management issues and representing Internal Audit when necessary.

Confidential,New York City, NY 

Treasury Risk

• Led teams of validators and consultants, validated internal as well as vendor models (e.g., Calypso, RiskMetrics, Numerix, Murex, Bloomberg, EQF etc.,) used in various lines of business for CCAR stress testing purposes. (Modeling techniques include Discounted Cash Flows, Hull-White one/two factor models, Black-Scholes, shifted SABR, etc.,);
• Led and contributed to the independent implementation of econometric models, including variable selection, testing of stationary, normality, hetroscedasticity, multicollinearity and co-integration. Regression model inventory includes HPA, Unemployment Rate, PPNR, mortgage PD and LGD models;
• Led all aspects of model review and validation, model ongoing monitoring and governance covering all aspect of SR11-07/OCC 2011-12 in conjunction with Enterprise Model Risk Management Policy;
• Effectively challenged the model developers in model assumptions, limitations, mathematical framework and implementation. Managed model risk by ensuring that the model exposure, market conditions and model restriction are not materially different from the approved model (Model Validation);
• Led regulatory engagement for all aspects of Model Risk Management Framework;
• Worked with all stakeholders (Trading, Credit Risk, Market risk, Treasury and Finance) to actively identify emerging model risk issues; and
• Built reserve models and recommended operational reserve to United Nations agency Executive Boards.

Confidential,New York City, NY 

Expert Adviser / Senior Quantitative Analyst

• Lead Wholesale Credit CCAR administration for MRIAs and MRAs from FRB and OCC;
• Assist Risk Management Committee, Audit Committee, and Board Risk Committee in decision making of
• Develop strategic plan for overhauling model governance framework to comply with Federal Reserve Board and Financial Conduct Authority (the U.K) regulations;
• Draft model submission policy for gathering model inputs, implementation details, theoretical justification, and intended use;
• Assisted in loss forecasting initiatives of a major commercial bank by validating models for Probability of Default, Loss Given Default and Exposure at Default using Monte-Carlo simulation and Logistic Regression as part of the CCAR efforts to stress test over 50,000 Wholesale Credit (CRE, C&I, ML) loans over different time horizons;
• Managed validation of revenue models implementation overlay of Global Markets at a large bank holding company (FED SR 11-7). First difference first Order linear regression (AR(p)) models that model absolute revenue levels based on two explanatory variables, stationarity validation using KPSS, Phillips-Perron, and Augmented Dickey Fuller, variable significance, mode p-value, serial correlation (Durbin Watson, Breusch godfrey), multi-collinearity (Variance Inflation Factor), residual hetroscedasticity (Breusch-Pagan, White’s correction), residual normality (Jarque Bera), Back-tests (Out of Sample, Jack-knifing), stability of model predictive power, out-of-sample error, model sensitivity, stressed scenario vs outliers for balance sheet, income statement and PPNR revenue models; and

Confidential, Charlotte, NC 

Senior Quantitative Analyst

• Validation of pricing and risk models including Rate - FX hybrid model for pricing XVA and PFE computation, Rate-Credit hybrid model for pricing structured notes, shifted SABR model for pricing interest rate derivatives, and multi-curve framework for pricing interest rate and cross currency swaps, Hull-White Two Factor model for CVA (FI Flow), and Market Risk models for VaR.
• Forecasted revenues for CT&CI portfolio systematically using Autoregressive-Moving average (ARMA(p,q) Box-Jenkins (1976)). The model parameters are estimated using maximum likelihood estimation process and number of parameters identified using information criteria (AIC, & SBIC). And also forecasted ARMA models and determining whether a forecast is accurate or not (MSE, MAE, (A) MAPE).

Confidential, New York, NY 

Senior Adviser/ Senior Quantitative Analyst - Financial Planning and Analysis

• Business default model to empirically predict control for time for default, loan contract structure, macroeconomic and industry risk characteristics. Built scenario designs to validate the prediction of business default behaviors
• Built Principal Component Analysis (PCA) models to identify various risk factors within umbrella group (317 agencies)
• Build valuation models for merger and acquisition (VBA, R and SQL)
• Build risk models for known and unknown risks such as corporate compliance, cyber security and reputation risks
• Create Balance Sheet/Financial Analysis models to support and enhance business decision making to support Office of the CEO

Confidential,New York, NY

Senior Consultant - Trading Strategies

• Create Statistical and mathematical models and trading strategies - High Frequency trading strategies(SAS, VBA)
• Lead efforts in building, enhancing and maintaining new and existing strategies for different trading business
• Analyze, design and develop trading strategies for multiple exchanges (eg. NYSE, Nasdaq, Direct Edge etc.)
• Build non-market trading strategies to incorporate halt requirements, regulatory and compliance requirements
• Led client and consumer risk specific trading strategies for exchange services for Direct Edge Exchange service, DE Shaw, LEVEL VIRTU/ETF, Interactive Broker, Barclays, PDQ, etc.