JERRY WALDRON, Ph.D.

Email: ad0gp2@r.postjobfree.com 7 Primrose Lane

Mobile: 203-***-**** Westport, CT 06880

Financial Executive, Risk Manager, and Data Scientist with hands-on expertise in multi-asset class trading risk analysis, portfolio construction, risk reporting and model governance. Demonstrated ability to identify and communicate complex issues to internal and external stakeholders. I take a holistic perspective of the investment process and integrate trading and operational risk considerations. I bring a collaborative team building perspective of working across organizational lines to drive results.

Capital Market Skills AI Skills Analytical Skills

Fixed Income Model Interpretability Statistical Analysis

MBS Regression Analysis Risk Identification & Mitigation

Interest Rate Derivatives Decision Trees Risk Reporting

Structure Credit Large Language Models P&L Attribution

Equity & Equity Derivatives Prompt Engineering Effective Writing & Presentation Skills

FX Exotics Neural Networks Policy & Procedures Documentation

Asset Liability Management Clustering Techniques Operational Risk Root Cause Analysis

PROFESSIONAL EXPERIENCE

KPMG, Enterprise Regulatory Risk and Compliance May 2015 – September 2023

Developed AI Model Interpretability Reporting Process to provide end user friendly communication of AI models.

Lead model review of fixed income, MBS, Interest Rate Derivative, & FX Exotics for major global financial institution.

Delivered SR-11 regulatory documentation for proprietary pricing models for major global institution.

Delivered SR-11 regulatory documentation for transformer-based machine learning models for major global institution.

Delivered SR-11 regulatory documentation for algorithmic trading for major global institution.

Strategic review of Treasury and ALCO operations for major regional bank.

Conducted model validation and documentation of proprietary mortgage prepayment model.

Conducted model validation of Asset-Liability Management models.

Paramita Capital Management 2013 – 2015

Chief Risk Officer and Co-Portfolio Manager

Actively engaged in portfolio construction process to enhance delivery of superior risk adjusted returns.

Developed reporting process to ensure clear communication of performance drivers to investors.

Developed Asharpe performance metric to communicate positive asymmetric risk/return profiles to investors.

KISKI GROUP 2010 – 2012

Director of Risk Management and of Investment Process

Developed monitoring process of CIO investment themes implementation across decentralized portfolios of global asset manager.

Developed performance attribution and reporting processes to effectively communicate risk/return profiles.

Worked with equity, distressed credit, and commodity portfolio managers to improve portfolio construction and trade discipline.

K2 ADVISORS/Franklin Tempelton 2007- 2010

Director of Risk Management

Conducted risk management investment processes assessment of prospective hedge fund managers focusing on Credit, MBS, Convertible Bond, Commodity, G7 and EM FX, Carbon Trading, and ILS managers.

STONECASTLE PARTNERS 2006 - 2007

Head of Risk Management and Investor Relations

Developed risk management process for multibillion-dollar structured credit manager.

Developed credit risk monitoring and management reporting process for new CLO portfolio.

Developed monthly investment reporting process to communicate performance drivers and risks to investors.

INDEPENDENT CONSULTANT 2003-2006

Ptarmigan Capital

Developed the operating infrastructure and internal control environment for de-novo hedge fund.

Developed funding raising materials and participated in fund raising meeting for de-novo hedge fund.

Credit Suisse First Boston

Conducted model validation of risk management’s mortgage valuation process.

Conducted model validation of Prime Brokerage system used to cross margin fixed income, and equities.

Early Accomplishments

CITIGROUP - Director of North America Equities Market Risk Management

Member of Equity Capital Committee responsible for approving new issues and derivative structures.

Established market risk limits for U.S. equity, equity derivative, and convertible bond businesses.

Analyzed trading risk of mortgage related securities and structured notes.

Conducted weekly review of risk profile with global head of trading.

Developed exchange traded future and option trading strategies for proprietary traders and institutional investors.

Advised managers in development and implementation of yield enhancement and hedging strategies.

CREDIT LYONNAIS/CALYON - Senior Vice President, Head of North America Independent Risk Oversight

Work with front office executives, to develop strategy to enter the credit derivatives business.

Initiated development of an integrated market and counterparty credit risk system and reporting.

Reengineered risk management process to resolve outstanding Federal Reserve regulatory issues.

Instituted and chaired the Market Risk Committee, comprised of CEO and senior management to analyze trading activities, and develop new business initiatives to enhance the organization’s profitability.

Developed and implemented Value-at-Risk model for North America.

BANK OF TOKYO MITSUBISHI CAPITAL MARKET SERVICES - Senior Vice President, Head of Derivative Product Risk

Introduced daily P&L attribution and scenario-based stress testing into risk management process.

Performed model validation of proprietary pricing models.

Participated in initial ISDA’s Task Force on the Basle Commission Capital Requirements for Market Risk.

FEDERAL HOME LOAN BANK OF SAN FRANCISCO - Vice President, Financial Risk Management

Portfolio manager of $5 billion MBS portfolio.

Prepared monthly financial performance reports for the Board of Directors.

Developed asset-liability management model for use of senior management and the Board of Directors.

Established Asset-Liability Committee.

Established interest rate risk-management practices.

Designed and executed all hedging transactions.

Introduced fixed income derivatives and structured notes to improve the portfolio management process.

ACADEMIC EXPERIENCE

UNIVERSITY OF MEMPHIS - Assistant Professor

Taught graduate and undergraduate level courses on option pricing theory and portfolio management.

NEW YORK UNIVERSITY - Assistant Professor

Taught undergraduate and MBA level courses and Ph.D. seminar. Conducted game theoretic research of capital market behavior.

Adjunct Positions

FAIRFIELD UNVERSITY: Taught MBA Level Portfolio Investment Management Course

UNVERSITY of CONNTICUT: Taught MBA Level Risk Management Course

QUINNIPIAC UNVERSITY: Taught Undergraduate Economics and Statistics Management Courses

EDUCATION

Duke University – Ph.D., Economics

Wright State University – M.B.A., Finance

Villanova University – B.S., Economics

Stanford University - Machine Learning on Coursera. Certificate earned April 2019

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