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Experienced risk manager

Location:
United States
Posted:
March 07, 2010
Email:
s5qg29@r.postjobfree.com
Contact Info:
*************@*****.***


In depth knowledge of finance, accounting and risk management and strong familiarity with popular risk management tools such as QRM & MIAC. Expert in automating and streamlining valuation process. Outstanding modeling/programming experience using SAS ,VBA, and SQL.. Successful management experiences with proven ability to train, motivate, and lead cross-functional teams of employees.

PROFESSIONAL CERTIFICATION

Chartered Financial Analyst (CFA) - Charter # 304402
Financial Risk Manager (FRM) by GARP
Certified Public Accountant (CPA): Passed all sections of AICPA examination (qualified)

WORK EXPERIENCE

Citigroup, St.Louis, MO
Sr. Vice President of Modeling Supporting Team, Capital Markets Dec 2005 – Current

• Developed & Automated valuation process for portfolio purchase as well as sale, including
 Loan level valuation engine based on different spread on market, and automated report with gain on sale, capital release as well as future forgone NIM impact
 Optimization tool to select pool to maximize capital impact from portfolio sale as well as meet customized constraints of multiple investors
 Cash flow valuation model to determine price to provide proper return on different economic capital
 Optimization tool to decide best coupon slotting considering extra servicing and agency guarantee fee buy up/down
 Uniform data management tool to automatically convert over 200 sellers specific data to Citi unified format
 SAS based loan level credit analysis tool to determine feasibility of loan against Citi credit policy as well as multiple investors policies
 Automated process to create pool to fit different CRA investor criteria, and select best fit, as well as tracking sale process

• Built MIS database to track our asset disposition process, covering trading, structure finance, and deal management activity after streamlining its flow
• Reviewed entire Citi REMIC payment systems, and drove project to rebuild current systems
• Strong capability to streamline and automate process thru computation using Excel, Assess, VBA, and SQL as well as SAS, and familiar with Java, C++ and C#
• Automate process to create MIAC input and export output for valuation process, and set up diverse accounts in QRM for hedging analysis
• Manage team composed of 3 senior modeling analysts, and train & support asset disposition group composed of over 30 people

Assistant Portfolio Manager, Sep 2003 - Dec 2005
• Risk Management
 Daily reviewed entire portfolio’s risk characteristics from market movement, and kept these within proper tolerance range using liability management
 Set up accounts in QRM for 1st lien as well as 2nd lien portfolio, and automated daily reports based on QRM outputs. Implemented internal prepayment and credit loss function into QRM process
 Anticipated multiple projects using QRM including portfolio valuation in several-stressed scenario for Basel 2 economic capital requirement
 Developed many tools for portfolio management including automated market alert, and automated summary
• Pricing
 Priced portfolio and acquired $ 5 billion of hybrid arms
 Automated ROE based pricing model, and built automatic bulk review model for senior managers
 Developed reinsurance pricing model, and published mortgage reinsurance price monthly

AMEREN FUEL SERVICE, St.Louis, MO
Quantitative Analyst (Summer Intern), 2001
• Modified option valuation models, and evaluated venture capital projects

MINISTRY OF NATIONAL DEFENSE, Songtang, Korea
General Managerial Official/ Weapon Controlling Official, 1996 - 2000
• Led supporting section to support operation unit made up of 200 enlisted men and 10 officials
• Guided fighter planes by using computer aided information and geometric calculation
• Awarded best administered military unit by chief commander of the Korean Army (1999)

KOREA MEDICAL SUPPLY, Seoul, Korea
Finance Associate, 1993 - 1996
• Provided financial analysis to support management

EDUCATION

OLIN SCHOOL OF BUSINESS, WASHINGTON UNIVERSITY, St. Louis, MO
Master of Business Administration, May 2003
• Concentration in Finance and Accounting and graduated as Member of Beta, Gamma, Sigma
• Courses taken include computational finance, fixed income, econometrics forecasting, risk management, corporate valuation, derivatives, mortgage backed securities, financial modeling, financial analysis, advanced accounting, lease etc
• Research Assistant & Teaching Assistant for Advanced Derivative Analysis

KOREA UNIVERSITY, Seoul, Korea
Bachelor of Economics, Mar 1993
• Courses taken include international economics, international trade and finance, and econometrics

PERSONAL

• Fluent in English and Korean
• Proficient in MatLab, MIAC, QRM AL/MB, SAS, SQL, Visual Basic, Java, C++, C#, advanced Excel and Access etc.