Executive Director, Model Risk Management
SPIRSE HOLDINGS, INC – Cleveland, OH – August 2018 to Present
Manage all market, credit and operational model risk for a startup engaged in B2B transactions for multiple currency pairs during the initial funding stages. Produce stress-testing deliverables for FX risk associates with foreign equity portfolios. Establish relationships with foreign banks to provide customized non-exchange-traded hedging strategies for FX and interest-rate risk.
Credit and Market Risk Management – Cleveland, OH – June 2017 to August 2018
Risk managed market and credit risk of a $50B loan portfolio including model development, back-testing, development of OPM for SR 11/7, interaction with internal audit, model validation and regulators. Primary purpose of MFCRE model was for regulatory and internal stress-testing requirements. Extensive interaction with ALM and Treasury forecasting groups on scenario generations for C-level reporting. Designed extreme stress-case scenarios.
Quantitative Equities Risk Developer
BOSTON CONSULTING GROUP – New York, NY – April 2017 to June 2018
(Short-Term Contract role)
Developed market risk models and built Monte-Carlo simulation algorithms to support BCG’s Platinion product.
VP, Equities Model Risk Governance and Validation
JPMC ASSET MANAGEMENT – New York, NY – January 2016 to March 2017
* Team lead managing 3 VPs and associate for model validation function within Asset Management. Developed independent PNL attribution models and evaluated conceptual soundness of models to meet regulatory requirements, including SR 11/7, Basel 3 RWA, and FRTB.
* Validated investment, CCAR and PPNR models. Senior liaison for JPMC Alternatives businesses (Hedge Funds and Investment Funds offered through the Private Bank, Global Investment Management and Global Wealth Management divisions.
* Designed and evaluated extreme stress scenarios for levered multi-asset class portfolios, to include volatility and correlation shocks and second-order effects.
SVP, Equity Portfolio Risk and VaR Analysis Group
CITIGROUP – New York, NY – June 2012 to July 2015
* Leading teams of 5-15 individuals, oversaw the production of monthly and quarterly Market Risk RWA process (Basel 2.5 and Basel 3), including both firm-wide and LOB level, for multiple legal entities. Designed and maintained the IT App necessary to upload RWA results into the firm’s financial systems.
* Investigated the major PNL drivers of trade-specific strategies (i.e. long-short equity, volatility arbitrage) on the firm’s VaR, SVar and RWA calculation. Coordinated with analytics team to implement model changes to improve risk measurement (correlation, volatility and Beta adjustments). Worked with Quantitative Development Group to assess impact of move from VaR to Expected Shortfall calculations per FRTB.
* Developed methodologies to calculate Risk-weighted Asset allocations (RWA) of VaR, Stress VaR and IRC taking into consideration the correlation impact across Citi at the LOB level. Conducted back testing of business unit trading PNLs and investigate material VaR tolerance breaks. Interacted with Capital Optimization Groups to determine alternative hedging strategies to minimize RWA impact. Distributed commentary and analysis of changes in risk-based capital requirements, VaR movements, and changes in risk profile of the portfolio to both outside regulators and the internal Citi market risk steering committee.
Followed boss to start-up
NEWOAK CAPITAL – New York, NY – August 2010 to February 2012
Director, MBS and Structured Products Risk
* Quantified risk and enhanced hedging strategies by implementing valuation and stress models for non-agency and agency MBS, MBS derivatives, and CDOs. Implemented “what-if” scenario impacts of adding hedge instruments to MBS portfolios. Created proprietary risk-scoring models for CDOs and structured securities.
* Produced loss and default transition matrices for RMBS portfolio risk evaluation; used non-linear multiple regression and matrix procedures in loss and default forecasting. Integrated results and model parameters to determine the impact of hedging effectiveness of specific trade strategies on clients’ portfolios.
Senior Portfolio Risk Manager
STATE STREET CORP – New York, NY
2005 to 2010
* Managed daily production, including model development and model selection criteria for the Firm’s “Truview” software product, a valuation and risk C++ GUI-based multi-asset class valuation and risk product.
* Designed a downside risk portfolio attribution and risk platform to quantify active vs tactical asset allocation. Developed in-house valuation and risk models for complex derivative products such as conditional variance swaps and inflation options. Enhanced short dated options volatility surfaces and re-engineered models to accommodate normal volatility skew models for a $2 billion volatility portfolio. These enhancements were critical for accurate valuation and risk management of exotic relative value volatility positions.
* Developed “what-if” analysis to determine the impact of hedging effectiveness on a given trade strategy by using different hedging instruments for alternative multi-asset class strategies.
TRADING AND QUANT EXPERIENCE 1994-2005
Quantitative Risk Consultant
KPMG – New York, NY – 2004 to 2005
Fixed Income Derivatives Trader
INDY MAC BANK – Pasadena, CA – 2003 to 2004
AEP ENERGY TRADING – Columbus, OH – 2000 to 2002
Fixed Income and FX Derivatives Trader
FIRST UNION CAPITAL MARKETS – Charlotte, NC – 1995 to 2000
MBS Trader and Structurer
NOMURA SECURITIES – New York, NY – 1994 to 1995
Master of Business Administration in Business Administration
CORNELL UNIVERSITY – 2016
Bachelor of Science in Economics & Engineering in Economics & Engineering
UNITED STATES NAVAL ACADEMY
SAS, VBA, SQL, R, MATLAB, Multiple Vendor Modules (FINCAD, QRM, etc.)