Mechanical Engineering Vice President

HENRY ASARE

** ****** ****, ********* ******, NJ 07632

201-***-**** ******@***.***

EDUCATION

MASSACHUSETTS INSTITUTE OF TECHNOLOGY, Sloan School of Management: SM -

Finance and Applied Economics.

UNIVERSITY OF CALIFORNIA. PhD Mechanical Engineering with minor in

Econometrics

MASSACHUSSETTS INSTITUTE OF TECHNOLOGY. SB, SM - Mechanical Engineering (4

year Program)

EXPERIENCE

BANK of AMERICA / MERRILL LYNCH., New York, NY 2010 - 2013

DIRECTOR, Head Valuation Risk Group for Credit Valuation Adjustment - CVA.

. Responsible for Valuation, Risk management, Pricing and Model Validation

of the CVA business. The bank is currently in the process of centralizing

its CVA/FVA/DVA trading and risk management effort. Participated in New

Product Approval Process

. Involved in modeling/pricing/hedging counterparty credit risk arising

from Rates, Commodity, FX, Emerging Markets and Muni derivatives. Signed-

off the appropriateness of valuation models, model calibrations, risk

metrics, and risk limits .

. Developed Factor models to estimate unobservable Inputs to CVA/FVA/DVA

model (eg. counterparty credit spreads, default correlations, cross-

gammas, LGD, EPE, PFE) for Valuation and IMM framework, requirement for

Basel 2.5 and Basel 3 regulations and for cross-product margining.

. Work closely with the desk to calibrate CVA model to Quanto CDS, CCDS,

and other market factors.

. Developed approaches to estimate Counterparty Credit Exposure to

Derivative Product Companies (DPCs) and Monolines. Developed a CVA

methodology for SPVs and CDS on Super Senior CDOs, and for Balance

Guaranteed Swaps

. Worked on Credit risk Valuation model for Legacy Balance Guaranteed

Swaps.

. Worked with the Strategic funding desk to develop Term Total Return

Swap(TRS)/Repo pricing model (CVA/FVA model)

RBS GREENWICH CAPITAL, Greenwich, CT 2006 - 2010

MANAGING DIRECTOR, STRUCTURED CREDIT TRADING RISK MANAGEMENT and VALUATION.

. Managed Credit Derivatives, Structured Credit, Synthetic and Cash Flow

CDOs (Including CLOs and ABS CDOs) books.

. Set up risk measures for embedded risks in CDOs (Structured Finance, and

Loans), Fund derivatives, and other structured and flow credit products

. Developed simple, powerful valuation tool for single-name ABS CDS and ABS

CDOs, by building benchmark credit surfaces, based on delinquency

pipelines, loss coverage, and projected principal return.

. Developed a Top-down approach for Pricing and Valuing CLOs .

. Led independent evaluation of opaque risks, like ABS portfolio,

distressed CLO's, corporate loan warehouses, commercial property debt.

Explored new price-verification approaches, where market observability

had ceased.

. Played key coordination and tracking role in the following regulatory

area with various regulators (Fed, FSA etc) ; Basel 3 counterparty risk

modeling (OTC derivatives, SFT, CCP, etc.), Basel 2.5 market risk

modeling (VaR/Stressed VaR, IRC, CRM), Dodd-Frank rules related to

modeling (e.g. minimal initial margin modeling requirements)

. Risk managed the banks Credit portfolio and sat on the Credit and

Portfolio Review Committees and ALCO.

. Worked on enhancing the bank's existing Market Risk Capital model

(Regulatory and Economic) - Basel 2, 2.5 and 3

. Was North American Head of Market Risk at ABN AMRO after acquisition.

Covered Structured Credit, Exotic Interest Rate Derivatives, Equities,

Exotic FX, Alternative Investment Products (Fund-of-Funds) and Emerging

Markets.

. Enforced rigorous daily marking of trading books, to improve fair-value

and market-risk reporting for global regulatory compliance. Updated price-

verification methodologies, for relevance despite unprecedented

volatility. Eg: benchmarking bespoke ABS CDO's versus TABX indices; back-

testing loan default models against ABX/LCDX-implied losses.

. Participate in New Product Approval (NPA) discussions to identify key

risks and appropriate mitigating factors Participate in New Product

Approval (NPA) discussions to identify key risks and appropriate

mitigating factors Participate in New Product Approval (NPA) discussions

to identify key risks and appropriate mitigating factors Participate in

New Product Approval (NPA) discussions to identify key risks and

appropriate mitigating factorsParticipated in New Product Approval

process to identify key risks and appropriate mitigating factors.

. Responsible for monitoring, reporting, escalation and resolution of risk

issues, focusing on Market and Counterparty risks Responsible for

monitoring, reporting, escalation and resolution of risk issues, with

specific focus on counterparty credit risks

BAYERISCHE HYPO-und VEREINSBANK AG (HVB), Munich, Germany 2003 - 2006

MANAGING DIRECTOR, Head of Structured Credit Trading & Structuring.

. Hired to setup Structured Credit desk at HVB. Responsible for; offering

structured solutions to Retail and Institutional clients and managing

the Structured Credit Portfolio.

. Products offered included; Tax Structures, Cross-asset Participating

structures, Spread Floaters, Portfolio Insurance, Equity Default Swaps

(EDS) Baskets, Synthetic and Cashflow ABS CDO Tranches and CLO Tranches,

ITRAXX/CDX Tranches, Bespoke Tranches, CDO/CLO squared, N-th to Default

Baskets, Synthetic Convertibles (Hybrids), Options on Tranches, Callable

Structures, Constant Maturity Structures, Extinguishing Structures, CPPI,

Leveraged Super Senior Structures, Combination Notes, Emerging Market

Derivatives structures.

. Managed the Banks CVA for the Credit portfolio and OTC Derivatives

GOLDMAN, SACHS & Co., New York, NY 2000 - 2003

VICE PRESIDENT, Derivatives Analysis Gp. Worked on Global Credit Hedge

Portfolio to structure and Hedge Goldman's total Credit Risk Exposure

using Credit Derivatives( Single names, Baskets) and via securitization.

. Involved in pricing Exotic Credit Derivatives structures ; e.g. First

-Loss and Second-Loss Default Baskets, Default Swaptions, Mini and Large

Baskets, Extinguishing Asset Swaps ( Corporate bonds and Emerging Market

bonds), Synthetic and Cashflow CDOs (Corporates and Loans), Involved in

Convertible Bond Arbitrage, Capital Structure Arbitrage, Total Return

Swaps of ABS.

. Worked on a methodology to repackage and hedge Emerging Markets-linked

dual currency structures. Involved in Convertible "stripping" and

structuring of the stripped components for various accounts

ABN-AMRO Inc, New York, NY 1998 - 2000

DIRECTOR, Global Head of Credit Derivatives and Emerging Markets

Derivatives.

. Set up the Corporates Credit Derivatives and Emerging Market Derivatives

group. The group comprised of three areas Credit Options, Credit

Derivatives, and Structured Products.

. Products offered included: Credit-linked and Leveraged notes, Credit-

linked zero coupon notes, Principal protected notes, Callable and

Puttable notes, and Credit-Linked basket notes, Credit default Swaps and

Credit Risky Bond Options, Credit Spread Forwards and Options, Total

Return Swaps and Asset Swaps, Synthetic CDOs / First to Default Baskets,

Repackaged notes / Convertible Bonds Stripping, Currency related products

(Currency convertibility derivatives, Currency indexed and basket notes).

. Priced Argentina ECU strips issued for the Argentinian Government

DEUTSCHE BANK, New York, NY 1996 - 1998

VICE PRESIDENT, Credit Derivatives Trader/ Structurer.

. Was a member of the Credit Derivatives and Structured products group

. Products offered included: Credit-liquidity and cross-boarder derivatives

based on Emerging and Corporate market credits (Credit-linked and

Leveraged notes, Credit-linked zero coupon notes, Credit default swaps,

Repackaged notes and Total return swaps), Currency related products

(Currency convertibility derivatives, Currency indexed and basket notes),

Convertible bonds linked to Emerging markets equities.

CITIBANK, New York, NY 1990 - 1996

VICE PRESIDENT, Trader - Emerging Markets Derivatives/ Global Derivatives

Groups.

. Managed the Emerging markets debt derivatives portfolio.

Responsibilities included; developing pricing models, structuring,

pricing and marketing structured derivative products. Some of the

products offered were Credit spread products, Forward Spreads, Credit

default swaps, Total return swaps Asset swaps, Credit-linked and Currency-

linked notes. Was also responsible for positioning and hedging the

derivatives book. Interacted regularly with the Sales force to identify

customer needs, and to suggest trade ideas and strategies

. Led a team that priced and traded Interest Rate Options (Caps, Floors,

Collars, Swaptions and other Exotic OTC Interest rate Options) in the

U.S. market. My tasks included using Exchange traded Eurodollar Futures,

Bond Futures and Options, U.S. Treasury Bonds as tools for hedging

interest rate exposure and for positioning. Interacted daily with the

Sales team.

. Developed pricing models for valuing Interest Rate and Currency Swaps and

Forward Rate Agreements, and risk management system for tracking Foreign

Exchange risks. Responsibilities included trading Yen FRAs, Forwards,

Futures and Interest Rate Swaps.

PERSONAL

. Registered Representative - General Securities, New York Stock Exchange

(NYSE), National Association

Of Securities Dealers (NASD) -Series 7, 55

. Agent, Uniform Securities Law (Series 63)

. Member of the American Society of Mechanical Engineers

. Member of the Institute of Electrical and Electronic Engineers

.

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