Development Manager

Lee dunn

*** **** **** **** *** E*** ( Rockville, MD 20850 (

********@*****.*** ( 815-***-****

SUMMARY OF QUALIFICATIONS

. MASTER OF SCIENCE IN FINANCIAL MARKETS WITH A CONCENTRATION IN FINANCIAL

ENGINEERING AND PROGRAMMING.

. Passed all three levels of the Chartered Financial Analyst (CFA)

examinations.

. Expertise in quantitative research / analysis, financial modeling and

application development using multiple computer programming languages,

particularly C++, C#, Matlab, Excel and VBA.

. Ability to analyze and solve complex problems using company, market,

economic, and portfolio data.

. Quantitative proficiency in Regression Analysis, Time Series Modeling,

Principal Component Analysis, Factor Analysis, Monte Carlo Simulation

techniques, Portfolio Optimization methods, VaR, Derivatives Pricing and

Advanced Options and Equity Trading Strategies.

. Excellent written and verbal communication skills.

. Ability to excel individually and in a team environment.

Professional Experience

ANALYTICAL/MODEL DEVELOPMENT NOVEMBER 2007-JANUARY 2010

STANDARD & POOR'S - STRUCTURED FINANCE GROUP Bethesda, MD

. Development and senior review of Cash Flow Models for various types of

Structured Finance transactions, including CDO's, RMBS, CMBS, ABS and

Master Trusts.

. Pricing and evaluation of Asset-backed securities under varying levels of

interest rates and credit spreads, prepayment rates and default /

recovery rates.

. Stress Testing, Scenario Analysis and Break-Even Analysis of various

types of securitizations, to determine the impact of relevant risk

factors on price and yield.

. Surveillance and analysis of securitized assets, including corporate

loans and bonds, residential and commercial mortgages, credit card debt

and student loans.

FUND MANAGER / Investment analyst January 2006-June 2007

stuart investments (IIT) Chicago, IL

. Assisted in the construction of and actively managed a long-only US

equity portfolio.

. Monitored the portfolio holdings and continually analyzed economic and

financial market events.

. Developed and maintained equity valuation models used to produce price

targets and evaluate potential equity investments.

. Produced monthly and quarterly performance reports for the investment

committee and worked with faculty advisors and the Board of Directors to

ensure the Endowment objectives were being met on an ongoing basis.

account executive (SERIEs 7 AND 63 Licensed) July 2004-September 2005

gunn allen financial Boca Raton, FL

. Managed and cultivated relationships with clients and provided strategic

investment advice based on individual needs and financial abilities.

. Continually analyzed financial markets and economic events to plan

appropriate investment strategies.

Education And Training

MASTER OF SCIENCE - FINANCIAL MARKETS

AUGUST 2007

illinois institute of technology Chicago, IL

GPA 3.88/4.0 ? Financial Engineering and Programming ? Academic

Distinction

Finance: Active Portfolio Management, Option Pricing Theory, Credit and

Market Risk Management, Econometric Analysis, Time Series Analysis,

Bayesian Inference in Econometrics, Interest Rate Modeling

Mathematics: Stochastic Calculus, Probability Theory, Principal Component

Analysis, Matrix Decomposition, Cointegration, Kalman Filters, Monte Carlo

Simulation Methods

Programming: Advanced Object Oriented Programming (C Trading System

Development, Database Management (SQL), Data Structures and Algorithms,

Optimization Techniques

FinancIAL RESEARCH/ Project Highlights

TRADING SYSTEM DEVELOPMENT (C++, Matlab)

. Object Oriented Design: Designed and programmed a fully Object-Oriented,

multi-threaded, high frequency statistical arbitrage trading system in

C++.

. Algorithm Development: Developed an algorithm that utilized a Dynamic

Linear Model to detect statistical arbitrage trading opportunities within

a basket of equity securities.

MARKET AND CREDIT RISK MODELING (Matlab, Excel, VBA)

. Value-at-Risk (VaR): Implemented multiple methods for estimating the VaR

for a portfolio of equity options, including parametric methods,

historical simulation, and Monte Carlo simulation methods.

. Volatility Modeling: Estimated various GARCH Models for modeling

volatility and correlation.

. Credit Risk Modeling: Researched various credit derivatives, particularly

pricing and valuation of credit default swaps. Bootstrapped the implied

term structure of default probabilities from credit default swap spreads.

INTEREST RATE MODELING (Matlab)

. Yield Curve Modeling: Applied various techniques for modeling the term

structure of interest rates, including using regression splines and cubic

polynomials.

. Model Development: Calibrated various equilibrium and arbitrage-free

interest rate models using Maximum Likelihood estimation and methods of

indirect inference, which were then used to price different interest rate

related derivatives.

. Portfolio Immunization: Compared the effectiveness of various techniques

for hedging interest rate risk in different types of bond portfolios,

including Duration, Convexity and Principle Component hedging.

QUANTITATIVE EQUITY MODELING (Matlab)

. Model Development: Developed Factor Models using trading signals

generated by a genetic algorithm.

. Portfolio Optimization: Back-tested various quantitative investment

strategies using portfolio optimization techniques such as linear

programming and mean-variance optimization.

bachelor of science - business administration

Spring 2004

florida international university Miami, FL

GPA 3.87/4.0 ? Finance and International Business ? Magna Cum Laude

professional associations/technical skills/other

. PASSED ALL THREE CHARTERED FINANCIAL ANALYST (CFA) EXAMINATIONS, JUNE

2006-2008.

. MS Office Suite, C++, C#, MATLAB, VBA, SQL.

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