SUMMARY

• Skillful and dynamic quantitative analyst with more than 15 years ’ experience in applied econometrics, risk model development and numerical analysis techniques.
• Successful interest rate, equities and derivatives pricing under stochastic discounting curves, programming and optimal control, bootstrapping, PV - 01, DV-01, neural networks, deep learning techniques and pricing tools in Python, Matlab/Visual Basic and C++ environment.
• Adept at identifying issues and control gaps in existing infrastructure build-out and implementation.
• Track record of successful risk oversight for currency, global equities and interest rate derivative trading desks involving different trading strategies covering (Rates, FX, Credit, Bonds, and Equities traded derivatives).

PROFESSIONAL EXPERIENCE

Confidential, CHICAGO, IL

Senior Derivatives Analyst

Responsibilities:

• 100% on time daily P&L review, profiling risk positions and P&L analysis for significant market movement for both flash and formal differences.
• Approved identified Global Financial Control reporting system and assisted investigate breaks and monthly reviews and escalation to senior management.
• Assisted with the quality assurance (QA) reviews of various control assessment programs testing and production.
• Gained opportunities for process improvements to deliver increasing efficiencies.
• 15+ gaps in current process identified by partnering with development teams, 10 SIAIs closed with Risk Control group Team and Technology issues added to beta phase.
• Organized front and back end integration meetups with component owners to align strategic roadmaps with overall risk and control framework.
• Verified all trade parameters, brokerage and broker allocations. 100% recorded and processed accurately on trade systems and amend/correct as needed.

OTC Derivatives SPECIALIST

Confidential

Responsibilities:

• Assessed production variation and IA results for errors covering futures, options, swaps, credit default swaps, forward rate agreements and swaptions.
• Performed in-depth analyses of discrepancies in margin/IA results between the firm and counterparty to validate and explain change factors in IA to CPM and collateral operations for counterparty disputes.
• Executed fail management and break resolutions of OTC derivative cash settlements.

Confidential

Enterprise Risk Officer

Responsibilities:

• Led commercial diligence and origination through internal and external research; negotiated legal documentation.
• Managed P&L attribution and risk capital trading.
• Developed investment strategies for co-investment opportunities, including long-only, distressed liquid opportunities, special situations and event-driven.
• Ensured compliance with financial regulations and other statutory requirements.

Confidential

Investment Manager

Responsibilities:

• Managed trading book value of $1.5 billion in active discretionary institutional accounts.
• Led acquisition of new lucrative long term third-party mandates with AUM growing by more than three times to $1.5 billion.
• Reviewed market risk exposure and P&L attribution report to produce daily, weekly, monthly, and quarterly reports (VaR, Position Limits, model and P&L validation, broker coverage) and analyses on various trades, positions, and portfolios.
• Applied risk factor models to identity and decompose portfolio risk. Developed tools for higher order hedging strategies, analyzing and solving various quantitative problems. Investigated large sets of numerical and textual data using PCA analysis, interest rate, stochastic discounting curves, bootstrapping, PV-01, DV-01, machine learning techniques and pricing tools in Python, Matlab/Visual Basic and C++ environment.
• Directed fund outperformance versus benchmarks by 720 bps annualized since inception, with 5yr Sharpe Ratio of 1.6.
• Implemented of Risk Control Self Assessments and input and analysis of operational incidents in adherence to the Firm-wide Risk Management Framework.
• Worked with all business units in obtaining approval for and implementing new activities, including but not limited to the review of governance structures, product management and processes in line with global risk policies and local regulation.
• Documented and lodged incident reports, self-assessment results, KRI dashboard reporting and other ORM reports in supporting areas such as compliance, finance, settlements, risk, IT in ensuring businesses are operating in a controlled manner.
• Trained and coached programs designed to increase awareness of operational risk across business staff and liaised with Internal Audit during Internal Audit/External systems Audit reviews and follow-ups.

Confidential

Portfolio MANAGER & Head

Responsibilities:

• Analyzed quantitative equities fixed income sector for presentation to investment team.
• Coordinated marketing initiatives with various distribution channels to increase interest in structured product offerings.
• Executed profitable fixed proprietary yield book. Implemented risk capital calculations under Basel II standard and advanced approaches.
• Developed internal risk management tools, credit risk and risk arbitrage validation as well as volatility calibration of internal models to market, capital, counterparty and funding value adjustments.
• Worked with structured credit, IB, syndicated and trading desks to market and distribute $50mn+ in new issue mandates.
• Executed profitable carry on paired bond trades, repos, and BSBs. Added more than US$1mn to PBT- 2003 and 2005.