Manager Customer Service

Matthew E. Durante

*** ****** **, *** *, Hoboken, NJ 07030

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

Phone: 201-***-****

WORK EXPERIENCE:

RBC Capital Markets (www.rbccm.com) New York, NY

June 2011 -Present

Risk Manager, Trading Credit Risk

. Responsible for the market and credit risk management of the entire

securities lending (repo) business. Involves monitoring the credit

risk of the repo counterparty and the market risk of all collateral

held against the loan. Requires knowledge of market risks

associated with all possible collateral types.

. Currently in charge of re-building the entire securities lending

risk reporting system. New system will calculate counterparty

credit usage, run multiple stress scenarios on collateral types,

and automate all report generation

. Alongside methodology team, developed a pricing model to assess the

risk/reward of secured repo trades backed by non-agency MBS

. Analyze and approve all non-standard trades proposed by the repo

trading desk

. Single-handedly increased the productivity of risk reporting by

using Excel VBA macros to streamline all manual reporting processes

. Developed new stress test scenarios to simulate stressed market

environments pertaining to current events (i.e. Eurozone breakup,

excessive inflation, deflationary spiral)

Barclays Capital (www.barclayscapital.com) London, UK June

2008 -June 2011

AVP, Market Risk Manager, Structured Credit

. Analyzed and monitored the spread, default, and correlation risks

associated with the European structured credit business.

. Presented weekly summary of outstanding risks in structured credit

business to the entire Market Risk Management team. Maintained

daily dialogue with structured credit traders regarding new trade

approvals and risk limits.

. Involved with design and implementation of stress testing and VaR

methodology used for regulatory capital calculations

. Ensured adequate risk infrastructure was in place for new risk

methodologies geared towards the structured credit business (e.g.

assessing default risks using dynamic recovery rates vs. fixed

rates, reporting the default risk exposure of fully delta hedged

CDS portfolios, amending the methodology of index basis risk

calculations associated with the correlation trading business)

. Worked closely with senior management and market risk engineering

to further improve risk infrastructure in a way that met the

demands of market risk managers and reduced overhead related to

producing all market risk reports for the credit trading business.

GAIN Capital Group (www.forex.com) Bedminster, NJ Feb

2001 - June 2006

May 2004- June 2006 - Market Risk Manager

. Managed and developed the FX trading desk's in-house proprietary

algorithmic hedging model, which was a signal-based system that

evaluated client trading behavior in real-time. Worked directly

with the Head of FX Trading to calibrate model parameters and

improve performance on a continuous basis.

. Reported directly to the SVP of Risk Management and COO regarding

all outstanding FX market risks, product control issues, and market

risk/front office projects

Feb 2001 - May 2004 - Business Analyst

. Oversaw a team of three analysts assigned to institutional

services, internal metrics, and operations; prioritized the

development of all accounting, operations, and reporting software

applications (both client-side and internal)

. Created and maintained automated calculation procedures for fund

administration, management metrics, accounting reconciliation, and

institutional partner payments

. Managed all joint venture-related tasks; developed branded

solutions for institutional clients; designed software to calculate

fee and commission structures for introducing brokers; served as

main contact for partner correspondence

. Responsible for operations during the overnight sessions (e.g.

server maintenance, customer service, technology performance of the

trading systems)

EDUCATION:

University of Chicago, Chicago, IL, USA

June 2007

MSc. Financial Mathematics

Option Pricing Theory, Exotic Options Pricing, Credit

Derivatives Pricing,

Portfolio Risk Management, Stochastic Calculus, Statistical Analysis

University of Virginia, Charlottesville, VA, USA

January 2001

B.A. Economics Minor: Mathematics

Differential Equations, Advanced Statistics, Numerical Methods,

Economic Development, Econometrics, Macroeconomics, Microeconomics

COMPUTER SKILLS:

. Excel VBA, Access, SQL (queries, stored procedures, jobs, data

transfers, database design), Matlab, PHP

LANGUAGES:

. French (working knowledge)

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