Management Analyst

Samar shah

* ***** ***** *** # ****, New YORK, NY 10005

email: ********@*******.*** PHONE: 404-***-****

SYNOPSIS

EXPERIENCE WORKING AS A BUSINESS ANALYST SUPPORTING TRADERS, FINANCIAL ENGINEERS,

ANALYST & PORTFOLIO MANAGERS

Excellent research, impact analysis and writing skills

Strong knowledge of pricing concepts & financial mathematics

Strong understanding of Investment Banking and specific knowledge related to Fixed

Income, Structured Finance, Equities, Portfolio Management, FOREX, Derivatives Risk

Metrics etc

Worked with Financial Engineers and Developers to conduct sophisticated validation of

existing and new models

Worked with Developers for Model's Stress Testing from data perspective and identify

flaws and propose solutions

Strong ability to map conceptual financial and business elements to practical system

capabilities and able to translate Front Office/Middle Office /Back Office business

requirements into actual system configuration

Created Business Requirement Documents & Functional Requirement Specification

Strong quantitative, qualitative, analytical, interpersonal, written, leadership and

problem solving skills.

Enthusiastic fast learner, self-motivated, a team player, able to work independently and

collaboratively

CFA - Level II Candidate

Key Competencies

Previous experience has included working in domains of:

Tri-Party Repurchase Agreement & Global Collateral Management

Derivatives

Portfolio Management and Performance & Risk Analytics

Fixed Income and Structured Finance

Technical SKILLS

Databases/Vendors: Oracle, Sybase, MS Access, SQL/Fed Broadcast, Bloomberg, Gifford Fong,

IDC, SMDB

Tools: MS Office suite (MS Word, Excel, PowerPoint, MS Project), Matlab, SAS

Experience

THE BANK OF NEW YORK MELLON NEW YORK, NY

OCT 2008-PRESENT

The Bank of New York Mellon is the global leader in the Tri-Party Repo collateral

management. It supports $1.5 trillion of daily trading in the US and international

markets.

Projects:

Tri-Party Repo Infrastructure Reform Program - Risk Exposure Reporting

Federal Reserve Bank of New York Tri-Party Repo Task Force is reshaping the tri-party

repo credit markets. The project focused on capturing the bank's risk exposure arising

due to Broker/Dealer borrowing cash to collateralize their tri-party repo deals

intraday.

Deciphered the Federal Reserve Bank of New York research paper to mandate the Tri-Party

Repo Reform Program

Based on the analysis of research paper, implemented tri-party repo term deal unwinding

robust intraday auto collateral substitution to reduce Risk Exposure of the bank

Created the reporting tool for calculating the Tri-Party Repo Risk Exposure

Designed the tool to calculate Loss Given Default, Exposure At Default, Probability of

Default based on Broker/Dealer position movements and specific tri-party repo deal

Designed the tool to calculate Portfolio Concentration Risk, Liquidation Horizon Risk,

Historical and Implied Asset Volatility, Margin Level Stress Risk, VaR etc

Designed the tool to calculate Net Free Equity of the bank for all the Broker/Dealer

based on position movements and Intraday secured financing

Dynamic Collateral Optimizer

The Dynamic collateral optimizer (DCO) optimizes the allocation of collateral to the

deals. It maximizes the returns of the Dealer by allocating the least preferred

collateral first and preserving the best quality of the collateral on the books of the

dealer.

Deciphered the entire allocation process into Pre-Optimization, Optimization and

Post-Optimization stages

Created FRS for MINMOD Algorithm for the Pre-Optimization stage

Created FRS for Maximal Allocation & Replacement Algorithms for Optimization phase

Created FRS for Basket Prioritization, Cost of Carry, Internal Short Prioritization etc

Algorithms for Post-Optimization phase

Enhanced the Ruleset manager to accommodate the DCO logic and its algorithms

State Street Corporation Boston, MA

Jan 2008-Oct 2008

State Street is one of the world's leading custodian banks. The project focused on

enhancing the OTC Derivatives Hub by integrating some of the derivative products

(Variance Swap, Correlation Swap etc) that were not supported by the existing system.

Designation: Business Analyst

Conducted interviews with Analysts, Traders, Risk Managers, Head of FX Operations

(SME's) for business and functional requirements for Derivative instruments

Involved in decision-making process with relevance to Bond forward agreements, currency

forward agreements, Currency Swaps, Interest Rate swaps, Variance Swap, Correlation Swap

for alignment with existing system capabilities

Familiarity with ISDA Master Agreement

Prepared Business Process Models that includes modeling of all the activities of the

business from the conceptual to procedural level for Back Office application based on

FAS 133 & FAS 157 for U.S Gaap and I.F.R.S

Worked on creating Delta, Gamma, Vega, Theta, Rho (Greeks) for Derivatives

Ameriseprise Financial Atlanta, GA

Feb 2006- Nov 2007

Ameriprise Financial is a leading financial planning and investment management company.

The objective of the project was to implement the Portfolio Management System for asset

allocation and portfolio optimization.

Designation: Business Analyst

Worked closely with the Head of Asset Management (the SME's) to obtain a detailed

knowledge about Wealth management and Portfolio Management business process

Designed the Equity Research Analysis Module based on Global Industry Classification

Standards (GICS) codes

Demonstrated exceptional valuation techniques, financial analysis and modeling skills by

providing industry and company analysis and database support to the Senior Analyst

Created FRD for portfolio characteristics, Mean-Variance Analysis, Minimum-Variance

Frontier, Multifactor models, CAPM, ICAPM, standard deviation, expected return, risk

measures, VaR, volatility, beta, Sharpe ratios etc.

Constructed FRD for utility curve and asset allocation according to client's investment

horizon and risk averseness

Constructed FRD for security's variance- covariance matrix, Beta, SML, Efficient

Frontier, CAL and CML

Performed manual tests and created SQL queries for data verification for Performance and

Analytics Reports.

Generated and enhanced Performance calculation and Attribution reports, Asset allocation

reports, Global Performance Attribution report, Value-at-risk report etc reports.

SunTrust Robinson Humphrey Investment Bank Atlanta, GA

May 2004- Jan 2006

The project was to enhance the existing software for providing risk management,

portfolio management and valuation of fixed income products.

Designation: Business Analyst

Created FRD's for bond's inter/intra market yield, credit, option adjusted spreads,

yield- to -call, yield- to- put and yield to worst

Created FRD's for interest rate, yield curve, call, liquidity, volatility etc risks for

bonds

Determined the spot yield curve by bootstrapping technique and forward rates thereby

Created algorithm for fixed income securities based on arbitrage free model and

profiting from stripping and reconstituting bonds

Explained the Developers the concept of Fixed income portfolio risk using

duration/convexity approach

Created a graphical interface for price yield relationship for straight, callable and

putable bonds

EDUCATION

Georgia State University, Atlanta, GA

2000-2004

Bachelors of Business Administration

Concentration :Investments and Finance

Awarded scholarship for 3 semesters

Chartered Financial Analyst

June 2011

Level II Candidate

RELEVANT COURSES

Finance: Investments, Derivatives, Fixed-Income, FX, Portfolio Management, Financial

Modeling, Advanced Corporate Finance,

Loan Structuring, Money and Banking, Advanced Micro-Economics, Real Estate Investments

Mathematics: Business Calculus, Applied mathematics, Probability Theory & Statistics,

Multivariate & Vector Calculus

Advanced calculus sequence, Differential equations, Linear algebra, Decisional Science I

& II, Discrete mathematics, Mathematical Statistics, Data Mining

Programming: Programming for financial markets using C ++, Excel, Matlab, SAS

GRE Quant Score: 770/800

30 White Sisters Way . CANTON, MA 02021 . Phone 404-***-****

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