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Anthony Karl Ruda

Anthony Karl Ruda

Associate Director
Navigant Consulting
90 Park Avenue 10th Floor
New York, NY 10017
B.B.A in Finance ( minor in
Computer Information
Systems) from Zicklin School
of Business, Baruch College,
New York, NY- 9/2000
Employment and
American Home Mortgage
Mortgage IT Holdings, Inc.
Technical Skills
Microsoft Office (XP/2003):
Excel, Access, Word,
PowerPoint and Outlook
Programming: SQL, Visual
Basic for Applications (VBA)
and SAS
Proficient in using QRM
(Quantitative Risk
Management) and Bloomberg

Anthony Karl Ruda is an Associate Director in the Valuations and Financial

Risk Management practice. Mr. Ruda specializes in VaR and Option and
Derivative modeling using Monte Carlo and Lattice Models. His expertise in
various programming languages such as VBA and C++ allows him to build
custom tailored option models specific to the clients instrument structure and
nuances. In addition, He specializes in Quantitative Modeling with respect to
regulatory and accounting implementations such as CCAR, Basel III, GAAP,
and IFRS. His proficiency in programming languages such as SAS, C++,
VBScript and VBA for applications enabled him to develop complicated
quantitative and qualitative models for various clients. His extensive
quantitative experience helped him manage complex regulatory
implementation projects for large financial services clients.

Professional Experiences
Portfolio Risk Management
Effectively applied quantitative techniques and technology to measure a multi-billion
dollar portfolio risk and analyzed its performance.
Designed earnings, liquidity, and strategy forecasts utilizing QRM forecasting model and
Excel based models.
Designed earnings, liquidity, and strategy forecasts utilizing QRM forecasting model and
Excel based models.
Implemented, calibrated, and integrated Andrew Davidson and Co. and other vendor
supported prepayment models into QRM.
Integrated QRM as primary decision support tool for interest rate risk management for a
publicly traded REIT in the NYSE.
Actively stress tested prepayment models developed by major Wall Street firms (e.g.,
Bear Stearns, Greenwich) and quantified their impact on the portfolio of loans.
Implemented and ran QRM to quantify daily hedge positions and calculated daily markto-market values using interest rate/price shock scenarios.
Based on previous securitization structures and forecasted inventory activity, created
income and risk analytics about future securitization opportunities.
Helped project manage the stress testing process for market risk.

Options Modeling and Valuation

Developed Monte-Carlo based option valuation models to value performance, IRR and
time based options.
Developed models to value warrants, contingent considerations, employee stock options,
Designed, modeled and implemented a Binomial Pricing Model using VBA and Excel
to calculate prices for municipal bonds and various derivative instruments such as puts
and gain share agreements.

For our Disputes and Investigations Team, reverse engineered a Monte Carlo program, document the visual basic
framework, variable inputs and outputs and map the programs logic flow.
Designed, modeled and implemented a Binomial Pricing Model using VBA and Excel to calculate prices for municipal
bonds and various derivative instruments such as puts and gain share agreements.
Modeled and priced portfolio of hedges (Interest rate caps, corridors, swaps and euro-dollar futures) in QRM and Bond
Studio (A product of Bear Stearns).

Model Validation and Documentation

Authored model documentation for fair lending models used within the practice.
Performed analytical independent reviews of in-house and vendor models in accordance to industry standard model
validation practices by reviewing a models input, processing, reporting and output processes.
Experienced in developing strong model governance around risk models by ensuring proper documentation and
validation is in place for existing models.

Securities/Loans Analysis and Valuation

Modeled cash flows of over 2000+ whole loans of different product types (ARMs, Hybrids and Fixed) originating
from several different regions (US, UK and Spain)
Using SAS, developed several different cash flow models to handle various loan types to be used for impairment
Designed and developed access and excel tools to handle SOP 03-3 accounting of loans and debt securities.
Valued RMBS, CMBS and CDO securities by employing various credit models (in-house and vendor developed) and
INTEX to arrive at our fair market values.
Using VBA, Access and Excel, Developed stand-alone tools to calculate Impairment based on IFRS rules and
regulations and analyze monthly price movements of UBS and vendor provided prices.
Reverse engineered several municipal bond securitization structures and modeled the cash flow and waterfall behavior
using excel and VBA.

Data and Reporting Analysis

For a regional bank, automated their quarterly financial reporting consisting of 22 wholesale and retail reports by
developing a SAS program that aggregated the banks data into one central location.
For the nations largest mortgage insurer, utilizing SAS to developed and automated various reports that performed
UAT testing on various releases of the companys in-house credit models
Used SAS to automate the process of generating cash flows, roll rate reports and various other analytical and statistical
For a Boston Bank, Created a database for treasury team to download and store Bloomberg data for use in FAS 157
pricing verification analysis and automated the stratification process that identified bond price outliers using several
different statistical methods
For a publicly traded REIT, developed and automated monthly and on-demand risk reports for board and management
distribution (Earnings at risk, GAAP earnings at risk, Interest rate risk, market value at risk).
Built a user interfaced loan selection model to support the securitization asset selection process of a mortgage REIT.
Automated the production of monthly credit reports and developed trend analysis- (delinquency reports, transition