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Manager Engineer

West Babylon, New York, United States
February 07, 2018

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Thomas G. Villella, CFA, FRM

Long Island NY

Residence: 631-***-****

Mobile: 631-***-****



Senior risk manager (financial engineer) with broad experience in increasingly responsible positions in Risk Management including Market risk, Credit, Asset/Liability, Liquidity, and Regulatory risk. As a career long change agent, used technology to solve business problems in multiple industries. Hands-on technology experience includes the ALGO suite of products, Moody’s products including MPA, KMV and CMM, Financial CAD, C#, Mathematica, SQL, VB, R and S+. Major strengths include:

Structured Products Systems Implementation Hands On CCAR/DFAST

Financial Engineering Model Validation/Development Treasury Management


Astoria Bank Lake Success, N.Y.

Director of Enterprise Risk Modeling Sep-2013 – Dec 2017

Responsible for all aspects loan portfolio credit modeling in accordance with SR 11-07 as well as the bank-wide validation of all econometric models, ETLs and complex spreadsheets. Directed a staff of three Senior Risk Analysts.

-Built credit default (challenge) models for the residential and MFCRE loan portfolios under SR 11-7 guidelines. Models supply PD and LGD.

-Designed management overlays for select credit models to support both Dodd-Frank Act stress testing and the bank’s ALM processes.

-Responsible for managing all independent 3rd party model validations including the remediation of all validation findings.

-Special projects included the development of a structural credit model for C&I lending (KMV type), the implementation of ETL tools in lieu of Excel spreadsheets and development of an Enterprise Database.

-Wrote model documentation for Credit Model and credit section of DFAST Narrative.

-Member of the Management Risk, Stress Testing and Data Governance Committees.

-Interfaced with OCC Horizontal Review team, resolving all quantitative challenge questions.

TVillella Consulting Inc. West Babylon, N.Y.

Principal Jan 2012- Aug 2013

Formulated proposals and developed the functional design and technical specifications primarily for database applications and user interfaces. Responsible for all aspects of application development, testing and implantation in the client’s production environment.

Algorithmics, Incorporated New York, N.Y.

Lead Pre-Sales Consultant - Financial Engineering Jan 2009 – Dec 2011

Thought leader for ALM, Liquidity and Structured Finance applications. Responsible for client facing engagements in counterparty credit, structured finance and investment and market risk. Sponsored the development of a Structured Products Module for the ALM product and developed the design specifications for this application.

-Led numerous “proof of concept” projects.

-Assisted clients with deploying internal measures into the ALGO Reporting Tool “ARS.”

-Collaborated with Sales Team and Business Line in understanding client requirements, qualifying potential clients and positioning products.

-Led product demonstrations for both commercial and investment banks.

-Worked numerous financial services industry meetings and trade shows and manned the Algorithmics desk at these events.

Lead Financial Engineer Apr 2005 – Jan 2009

Provided consulting and systems implementation services to the financial services industry as a member of the North American Professional Services Group. Areas of specialization included VaR, stress testing, credit modeling including CVA and counter-party risk.

-Developed design specifications and custom applications in response to client requests. Assisted with model set-up, testing and valuation checks.

-As a value added consultant recommended industry best practices and advised on credit, market and treasury risk.

Atlantic Bank of New York New York, N.Y.

VP Treasury Risk Manager Mar 2003 – Apr 2005

Reported to the SVP - Finance. As Chief Risk Office for the Treasury function, managed a staff of three, chaired the Market Risk Committee and was a member of ALCO. Responsible for all aspects of managing and trading a $1.6 billion portfolio of structured securities including stress testing.

-Performed sensitivity analyses on inverse floaters, step notes, leveraged bonds and other securities deemed to be “Structured” by the FDIC.

-Performed pre-purchase vetting of all structured products in accordance with company policy and submitted such evaluations to ALCO and executive management.

-Designed and built a transaction database that stored both historical prices and market parameters.

-Created a counter-party credit risk monitoring system for the Bank.

-Reported to ALCO monthly and to the Board of Directors quarterly.

Credit Lyonnais Americas New York, N.Y.

Director, Balance Sheet Management Mar 1997 – Feb 2003

Reported to Chief Risk Officer as Unit Manager of a senior management team. Responsible for hedging strategy and advising executive management on capital allocation, interest rate risk, liquidity, and regulatory guidelines.

-Invested working capital using bonds or long-term loans depending on availability.

-Hedged ALM positions using swaps or caps/floors.

-Shared responsibility with Treasury for funding all North American entities of the bank.

-Directed the setting internal funds transfer pricing in conjunction with the ALCO.

-Built a Jarrow/Turnbull reduced form model for all credits not covered by KMV

-Responsible for projecting Loss Given Default (“LGD”) for all off-balance sheet transactions used to hedge the commercial book.

Vice President & Director, Analytics Team Jan 1990 – Mar 1997

Dual reporting to the Controller and Chief Risk Officer. Responsible for oversight of Treasury and the trading room. Directed a staff of 18 and the operations of Middle Office Treasury Analytics, Forecasting & Planning, Asset Liability Management and Financial Systems.

-Responsible for sensitivity base verification of mark to market values for all Treasury desks including trading and funding.

-Responsible for validating all front office trading systems and processes.


-Citicorp North American Investment Bank. Served in the capacity of Manager, Interest Rate Derivatives Middle Office.

-Manufacturers Hanover Corporation. Served as a Financial Manager and later Treasurer.


Certified Financial Risk Manager, 1997, Global Association of Risk Professionals

Chartered Financial Analyst, 1991, Association for Investment Management and Research

MBA, Finance, Lubin Graduate School of Business

BS, Accounting, Hunter College


Professional Risk Managers’ International Association

Global Association of Risk Professionals

Association for Investment Management and Research

New York Society of Security Analysts


Moody’s MPA and CMM, Eviews, Empyrian, Python, R, SQL, C#, ProfitMaster, CreditMonitor, Sendero ALM, Sendero DMS, QRM, MS Access and Bloomberg including API commands


Hands on experience with – Nelson Siegel, Black Scholes, Cox model, Jarrow Turnbull, Garman Kohlhagen, Black76, Hull White Short Rate, Hull White Multifactor, Black Karasinski, Heston Stochastic Volatility, Heath Jarrow Morton, CAPM, Arbitrage Pricing, and Libor Market model. Graduate level coursework on Econometrics, Mathematical Economics, and Operations Research.

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