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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.
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).