JOSEPH Y PERLMAN

Address : **** ***** *******, *** **, Brooklyn NY, 11223 Tel: 917-***-**** (c) 718-***-****(h)

E-mail: acxlib@r.postjobfree.com

SUMMARY:

Finance professional with experience working in fast paced environments demanding strong technical, business, and interpersonal skills. Team-player with consulting experience who enjoys working with clients. Detail oriented and resourceful in multi-tasking, solving problems and completing projects:

Knowledge of economic Reg. capital (Basel) for market risk, counterparty credit and liquidity and risk management including VaR and CVA and the financial instruments available to be used to hedge risks

Experience with Monte Carlo simulation and other numerical methods

Knowledge of futures, exotic options, and various swaps including CDS’s, interest rate caps and floors

EXPERIENCE:

06/2013 to date

Citi, Vice President, Risk Analytics New York, USA

Notable Accomplishments:

Performs market risk backtesting and PnL on monthly basis attribution analysis (using Greeks such a delta, gamma, Vega, rho) of Citi Brazil equity, derivatives and fixed income portfolios

Member of Risk Not in Model (market risk), Risks not in IMM and Basel 2.5 Model Control Committee for market risk

Member of counterparty credit risk, model input and model performance committees

Prepares and updates on a quarterly basis the inventory of approved products and exposures in respect of specific risk VaR for US regulators and prepares same for internal purposes on a monthly basis

Responsible for preparing material for quarterly meetings with all US regulators for market and counterparty credit risk

Responsible for managing projects for Basel 2.5 Market Risk including Value at Risk (VaR), stress VaR, Incremental Risk Charge (IRC) and Comprehensive Risk Measure (CRM)

Managing projects around specific risk in respect of credit products, equities and derivatives and other products

Responsible for ensuring that all models not in production comply with end user computing standards Responsible for ensuring that risk analytics model documents comply with internal documentation standards

12/2011 to 6/2013

IBM/ Algorithmics, Lead Pre-Sales Financial Engineer New York, USA

Validated complex derivatives for pre-sales suite including CDS, CDO, vanilla swaps, exotic swaps and interest rate and equity derivatives for clients

Validated Hull-White, Black-Derman and Toy, Black Karisinki and LIBOR market models for clients

Prepared summary on comparison of Basel II and Basel III for market risk and Counterparty Credit Risk (CCR) for management

Prepared summary documents on Basel III of market risk, counterparty risk, incremental risk charge and initial margin calculation for internal use by IBM financial engineers

Prepared and demonstrated historic, parametric and Monte Carlo Value at Risk (VaR) for clients

Demoed market risk solution to client showing capabilities including VaR, Expected shortfall, historic stress testing, stress testing of risk factors, fixed income analytics & regulatory capabilities of software

Demoed CCR software showing exposure measures such as Effective EPE & PFE and CVA & DVA

Performed proof of concept of market pricing, market risk, counterparty credit risk (CCR) and credit valuation adjustment (CVA) for large Japanese bank

Prepared proof of concept of market pricing, market risk for bulge bracket bank and large broker

Prepared market risk and CCR section for RFIs and RFPs in respect of multiple clients

Delivered training program on CDOs and prepared CDO training material for internal pre-sales financial engineers

Demoed ALM and liquidity risk solutions for training to FE’s

Mentored new junior financial engineers who joined Pre-sales team

2/ 2010 to 7/ 2011

Price Waterhouse Coopers (PwC) LLP, Senior Associate New York, USA

Notable Accomplishments:

Performed detailed business analysis for Morgan Stanley to define the future state vision following introduction of Dodd-Frank and other banking reforms

Analyzed effect on Basel capital requirements for Morgan Stanley of moving OTC interest rate and credit derivatives market to various exchange traded markets

Co-authored Enterprise Risk Management section of Recovery Plan submitted to authorities by Citi

Performed quarterly valuations of complex securities and derivatives in commodities space including energy for private equity clients

Rebuilt financial models for investment portfolio of prestigious energy private equity fund and ran various stress tests so to advise client on parameters that profitability of different investments were sensitive to

Advised audit team on methodologies used by private equity funds in evaluating the fair value of their investments

Reviewed Independent Price Verification process at Royal Bank of Canada and recommended various improvements in line with industry best practice

Reviewed Operational Risk capital modeling and VaR methodology for investment management business of Morgan Stanley

Co-authored a series of fifty guidance notes for controls in respect of daily PnL close process and correct marking of portfolios to market for Deutsche Bank

Performed project management role for a global multinational insurer for Solvency II implementation

Assisted in preparation & delivery of proposals, interim reports, and final presentations to various clients

2009-2010

Touro College, Assistant Professor New York, USA

Instructor in Statistics and Econometrics courses

11/2007-11/ 2008

KPMG LLP, Manager New York, USA

Notable Accomplishments:

Performed quarterly valuations of derivatives for Citi using FinCad

Built binomial models to value derivatives

Reviewed annual valuation and PnL results of clients US GAAP and IFRS embedded derivatives liabilities from an economic and US GAAP accounting standpoint including FAS 133, 157 and 159

Advised management of top twenty global insurer on improving effectiveness of its hedging strategies regarding embedded liabilities including its volatility hedging strategy

Advised insurer on improving efficiency of interest rate risk and general Asset-Liability management by meeting with client and presented to senior management to explain analyses and recommendations

Provided comprehensive review to KPMG partners in respect of a then global AAA rated mono-line insurer’s marking to market its exposures to wraps/ guarantees sold on senior tranches of exotic CDOs invested in sub-prime mortgages, other asset-backed securities and CDO squared’s

Co-authored white paper on statutory valuation and risk based capital in respect of variable products with embedded liabilities

12/05 to 11/2007

AXA CORP., Analyst New York, USA

Notable Accomplishments:

Enhanced models used to value of embedded options and hedge parameters (Greeks) in variable products

Enhanced methodology used to perform attribution analyses to explain daily and monthly movements in embedded option values and effect on daily PnL

Coordinated with traders in review of market risk exposures

Determined Economic Capital to be held in respect of financial options embedded within annuity products using stochastic simulation

Back-tested the performance of existing risk models for Economic Capital

Ran regulatory capital models and performed scenario analysis on regulatory capital

Ran multiple stress tests and stress analysis on regulatory capital models

9/2003 to 1/2006

METLIFE INSURANCE CORP., Senior Consultant New York, USA

Notable Accomplishments:

Pricing project management leader on reengineering of institutional annuity pricing system delivered early

Designed a framework for calculation of Economic Capital for asset risk

Advised overseas subsidiary on building economic capital build model in respect of savings products offering interest floors allowing product to be marketed for first time

Advised on asset-liability management of blocks of insurance and annuities business

Built models for future emerged cash-flows of assets and liabilities for various insurance and annuity products and provided recommendations for optimized return versus risk through changes in product design, investment strategy and reinsurance

Analyzed profitability, stress tested and performed scenario and sensitivity analyses to determine expected profitability and potential deviations on various blocks of new insurance and annuity business with economic capital requirements being explicitly modeled in the analysis

2002-2003

AMBAC ASSURANCE CORP., Assistant Vice President New York, USA

Notable Accomplishments:

Successfully presented several deals to senior credit committee of company for approval

Prepared analytic section of underwriting documents for Ambac senior credit committee review

Modeled and analyzed Structured Life and P&C Insurance securitizations by building waterfall cash flow models and stress tested these transactions

Modeled & priced baskets of Credit Default Swaps (CDSs) and synthetic Cash Flow Collateralized Debt Obligations (CDOs) using Monte Carlo simulation using Crystal Ball and @Risk

Modeled & priced primary and secondary CDOs using CDO Manager and Monte Carlo simulation

Analyzed the strength of CDO transactions through rigorous scenario analysis and stress testing

Replicated both Moodys and S&P rating agency methodologies for CDO transactions including Binomial and Double Binomial Methods and CDO Evaluator

Performed quantitative analysis on various transactions to determine their attractiveness from a risk/ reward perspective including capital requirements

Back-tested the performance of existing risk models for Economic Capital

IT SKILLS

Basic C++ and SQL, Unix operating system

VBA programming. MS Office, including Excel, Word and PowerPoint at expert level

Bloomberg functionality. Algorithmics Risk Management Suite

EDUCATION & PROFESSIONAL QUALIFICATIONS:

COLUMBIA BUSINESS SCHOOL, NEW YORK, USA 2001-2002

MBA, May 2002: Dean’s List May 2002: GMAT Score: 740; (98th %)

FELLOW OF THE SOCIETY OF ACTUARIES, USA, March 2003

UNIVERSITY OF WITWATERSRAND, JOHANNESBURG, SOUTH AFRICA

Master of Science in Mathematical Statistics, 1995

Assistant Professor in the Department of Statistics and Actuarial Science, 1992-1995

ACADEMIC PUBLICATION

"A Reaction to Compound Generalized Recursions", jointly written with Professor A.V. Boyd, published in the Scandinavian Actuarial Journal, 1996, No. 2, pp.183-186

SCHOLARSHIPS AND BURSARIES AWARDED

Freda Lawenski Scholarship for 1993. University of the Witwatersrand

Israel Samuel Berman Bursary and Robert Nemen Bursary for 1993, 1994

LEGAL STATUS IN THE US

Permanent resident (Green card holder) since August, 2007. Citizen since 2012.

LEGAL STATUS IN THE EU

Citizenship of an EU member country with no working restrictions in any EU country whatsoever

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