Manager High School

Michael Manti

Email: ********@************.***

Address:

City: Vienna

State: VA

Zip: 22182

Country: USA

Phone: 857-***-****

Skill Level: Any

Salary Range:

Primary Skills/Experience:

Quantitative analyst and manager experienced in applying statistics to modeling risk at financial institutions and in communicating methods and results to technical and non- technical audiences. Interested in opportunities to apply my skills to problems inside and outside the financial sector.

Educational Background:

High School Dipolma from George Mason University, Fairfax VA 1/2001 to 12/2006 (Statistics)

High School Dipolma from Northwestern University, Fairfax VA 1/2001 to 12/2012

Job History / Details:

Summary

Quantitative analyst and manager experienced in applying statistics to modeling risk at financial institutions and in communicating methods and results to technical and non- technical audiences. Interested in opportunities to apply my skills to problems inside and outside the financial sector.

Summary of Qualifications

Statistical modeling

Technical writing

Technical presentations

Scientific computing

Data visualization

Model validation

Risk analytics

Basel II

R

Stata

MATLAB

SAS

Shell scripting

Experience

December 2011 to Current

Capital One McLean, VA

Sr. Statistical Analysis Manager

Validate risk rating, probability of default (PD), loss given default (LGD), and exposure at default (EAD) models for Capital One's commercial portfolio. Models are part of Capital One's Advanced Internal Ratings Based (AIRB) approach to Basel II. Supervise two analysts.

Conducted annual reviews for 17 models.

Effectively challenged model developers to improve performance monitoring and development methodology for several models.

Taught course on technical writing to model developers and validators. Updated course materials to be consistent with new model policy. Course was received well by students.

January 2010 to December 2011

State Street Corporation Boston, MA

VP/Director of Financial and Statistical Modeling

Managed research, development, testing, documentation, and execution of four of State Street's models for estimating capital requirements: Advanced Measurement Approach (AMA) Operational Risk, Market Risk Economic Capital, Stable Value Wrap, and Business Risk. Supervised four analysts. Presented methods and results to technical and non-technical audiences, including State Street executives and Federal Reserve examiners.

October 2008 to January 2010

State Street Corporation Boston, MA

VP/Director of Operational Risk Measurement

Managed research, development, testing, documentation, and execution of State Street's Advanced Measurement Approach (AMA) Operational Risk Model, which estimates State Street's capital requirements for operational risk under Basel II. Supervised two analysts. Presented methods and results to technical and non-technical audiences, including State Street executives and Federal Reserve examiners.

Led development of version 3.0 of the AMA Operational Risk Model, which follows the loss distribution approach (LDA) to estimating Value at Risk (VaR). Model development required writing custom routines in MATLAB, Stata, and R for estimating loss distributions via maximum likelihood and simulating outcomes via Monte Carlo.

July 2007 to October 2008

State Street Corporation Boston, MA

VP/Sr. Quantitative Analyst

Developed risk management models. Conducted ad hoc quantitative analyses.

Updated quantitative models underlying State Street's credit rating tools for evaluating bank and corporate counterparties. State Street uses these tools in its Advanced Internal Ratings Based (AIRB) approach to rating counterparties under the Basel II accords. Estimated models via ordinary least squares and ordered logistic regression.

Without assistance from IT, built data mart to support development of credit rating models. Wrote scripts in awk to generate SQL queries and Stata code from data dictionaries stored as spreadsheets. Data mart also integrated data from vendor databases (Capital IQ, BankScope).

December 2006 to June 2007

Freddie Mac McLean, VA

Risk Modeling Director

Managed assessments of adjustments to models to quantify risk of new products. Reviewed models used to manage credit risk and produce financial statements. Supported credit risk oversight with quantitative analysis. Supervised two analysts.

Validated the Goals Performance Forecasting Model, which used autoregressive, moving-average models to forecast Freddie Mac's performance against HUD's affordable housing goals.

Built Monte Carlo simulation to forecast charge-offs from hurricane Katrina. Simulation improved upon earlier, deterministic charge-off forecast by introducing random variables and incorporating correlations among outcomes.

August 2005 to December 2006

Freddie Mac McLean, VA

Sr. Economist

Reviewed models used to manage credit risk and to produce financial statements. Supported credit risk oversight with quantitative analysis.

Validated the Short-Term Credit Loss Forecast Model used to set reserves for Freddie Mac's multifamily portfolio. Model employed a Markov chain, where probabilities in the chain were predicted from loan attributes (e.g., debt coverage ratios) by an ordered logit model. Recommended improvements to statistical methods (e.g., calculation of sample weights) and to data management (e.g., avoidance of unnecessary censoring).

Assessed quality of data used in valuation of Freddie Mac's guarantee obligation for 2005 annual report. Performed exhaustive review of SAS programs used to produce data. Mapped process flow, which had been mostly undocumented.

March 2001 to August 2005

Freddie Mac McLean, VA

Sr. Economist

Managed team of four analysts who researched problems with, wrote requirements for, and tested implementation of complex stress test. Collaborated with Freddie Mac's safety and soundness regulator on requirements, testing, and deployment of software that determined regulatory risk-based capital requirements for Freddie Mac and Fannie Mae.

Managed project to implement automated regression testing of regulatory stress-test software. Delivered project on time and under budget. Corrections to software defects detected by testing improved accuracy of calculations.

March 1999 to March 2001

Freddie Mac McLean, VA

Sr. Financial Analyst II

Analyzed, tested, and implemented mortgage prepayment, default, and loss severity models for calculating stress-test regulatory capital.

March 1998 to March 1999

Freddie Mac McLean, VA

Sr. Financial Analyst I

Collaborated on surveys and focus groups of prime and subprime mortgage borrowers

March 1997 to March 1998

Freddie Mac McLean, VA

Sr. Financial Analyst

Supported economists with programming, data management, and statistical analysis.

June 1995 to March 1997

Freddie Mac McLean, VA

Financial Analyst

Supported economists with programming, data management, and statistical analysis. Produced quarterly estimates of current loan-to-value ratios (LTVs) for Freddie Mac's mortgage portfolios.

August 1992 to June 1995

Board of Governors of the Federal Reserve System Washington, DC

Research Assistant

Supported three economists with programming, data management, and statistical analysis. Areas of research included banking regulation and corporate governance.

Education

2007 George Mason University Fairfax, VA

Master of Science Statistics

Applied Probability, Applied Statistics, Statistical Inference, Nonparametric Statistics, Numerical Methods, Time Series, Computational Statistics, Bayesian Statistics and Decision Theory, Survival Analysis, Regression Analysis

1992 Northwestern University Evanston, Illinois

Bachelor of Arts Economics

Econometrics, Microeconomics, Macroeconomics, Money and Banking

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