Management Engineer
Resume:
Sergei Lubensky
Email: **********@********.***
Address: **** ******* *** ***
City: Mill Valley
State: CA
Zip: 94941
Country: USA
Phone: 415-***-****
Skill Level: Management
Salary Range: $150,000
Primary Skills/Experience:
See Resume
Educational Background:
See Resume
Job History / Details:
SERGEI LUBENSKY, EngD FRM
3107 Shelter Bay Ave Mill Valley, CA, 94941, USA 415-***-**** **********@********.***
OBJECTIVE
A senior position in quantitative finance involving challenging work, high visibility and commensurate compensation, leveraging;
Twelve years of hands-on innovative technical, project management and leadership experience;
Expertise in statistical and quantitative analysis of complex problems, systems and data flows;
Proven strategic, communication and organizational skills;
Aptitude in creating vision, prioritizing and coordinating work, organizing and inspiring others;
Practical knowledge of enterprise risk tools and approaches covering balance sheet risk profile, (credit, liquidity, interest rate, event, prepayment and reinvestment risks) gap analysis and derivative product valuation in the context of credit portfolio management and capital adequacy;
Hands-on model management through all phases of the production cycle, from conceptual design, to development, coding, deployment and governance.
EXPERIENCE
UNION BANK San Francisco, CA 2010 - present
Vice President, Senior Quantitative Leader Commercial Portfolio Risk Management
Quantitative risk models for stress testing and economic capital applications, including risk-weighted-asset calculations, provisioning, wholesale default models, PD scorecards, LGD parameter estimation, LEQ and commercial credit rating migration models;
Development of quantitative framework and analytical support for ALM strategy, including IRR and optionality for both sides of the balance sheet. (MBS, callable debt, MMDA and option advances.) Practical application of modern delta hedging and securitization techniques;
Technical and business intelligence support to ICAAP management on most aspects of enterprise risk modeling and reporting in the context of Basel II regulatory compliance framework;
Methodology research and consulting in statistical analysis, documentation and data flows, particularly in preparation for and in support of the model validation review process;
Technical direction to quantitative analysts and subject matter support to senior management on general mathematical, econometric, computational and documentation tasks;
Procurement and integration of vendor applications and models into Union Banks work stream.
DISCOVER MUSIC CORPORATION Chicago, IL 2006 - 2010
Founder Music Search and Advertising Startup Company
Technology start-up in developing innovative web service where consumers can find music by melody and artists can auction to showcase their music based on its likeness to other known pieces;
Design of innovative signal processing and semantic search algorithms for discerning musical notes from acoustic recordings and identifying them within the MIDI collection in the company catalog;
Numerous business functions including management (10 employees), organization, paralegal, accounting, operations planning and system architecture.
CASHNET USA Chicago, IL 2006 - 2007
Chief Quantitative Analyst (CONSULTING)
Predictive default and profitability models for online payday loan provider based on the historical loan applications and performance data of its customers; direct report to the executive management.
NORTHWESTERN UNIVERSITY Evanston, IL 2004 - 2006
Visiting Scholar School of Engineering
Research and analysis of the structure and topology of complex connected networks;
Invention of a novel approach to partitioning networks into clusters with applications to business, finance, transportation and biology.
RAYTHEON COMPANY Woburn, MA 2002 - 2004
Senior Systems Engineer
Algorithms for adopting a land-based radar to operate on a floating platform (Sea-Based X-Band Radar - key component of the US Ballistic Missile Defense shield)
Autoregressive stochastic models (GARCH, ARIMA) for the systems position and velocity measurements (GPS and gyroscopes) for providing corrective inputs into the radars Kalman filters
Team lead (three engineers) in constructing a laboratory test-bed for collecting live data from third-party Inertial Navigation System used on the rig;
Technical lieutenant to Chief Engineer on the Communication, Command and Control (C3) design project for the Pacific Theater Ballistic Missile Defense System. (TBMD Japan)
EDUCATION
Massachusetts Institute of Technology
Winner of MIT/Harvard Biotech (CIMIT) award and research grant to design and develop a functional prototype for remotely controlled miniature magnetic robot for minimally invasive surgery.
Graduate (1998 2002)
EngD in Electrical Engineering and Computer Science
MEng in Electrical Engineering and Computer Science
Undergraduate (1994 1998)
BS in Theoretical Mathematics
BS in Electrical Engineering and Computer Science
Concentration: Systems Engineering (management and design of complex engineering projects)
Dissertation Title: Dynamics and Control of Magnetic Manipulators for Minimally Invasive Surgery
Teaching Experience: Analog and Digital Electronics, Control Theory and Higher Mathematics
QUANTITATIVE SKILLS
Modeling and simulation of random processes using Monte-Carlo and analytical tools
Exploratory analysis, mining and statistical interpretation of experimental data
Risk Management Certifications: Financial Risk Manager (FRM)
Project Management Certifications: 6-Sigma (Raytheon), SCRUM Master (ISI)
Financial modeling and data tools: Bloomberg Desktop; Moodys RiskCalc and Risk Frontier
Technical computing environments: MATLAB, Python, C++; SAS; SQL; MS Office with Macros
MISCELLANEOUS
Born in Ukraine (former USSR); Immigrated to USA in 1991; US Citizen since 1998.
Enjoy literature, jazz, outdoors, theater and sports; ran 2004 Boston Marathon in an arm cast.
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