ING Financial Markets LLC, New York, N.Y 11/2010- Present
Director / Treasury / Investment Portfolio Management– Liquidity Funding
Manage selection and hedging for the Liquid buffer portfolio of GNMA, FNMA, and FHLMA, LCR and HQLA eligible assets using effective duration & convexity analysis.
Cash management of USD and Non-USD positions. Commercial paper issuance.
Developed pricing model for monthly valuation of IABF (illiquid Asset Back-up Facility) for a $15 billion Alt-A portfolio related to the Dutch State bailout of ING in 2009. Also developed a return attributes model for additional clarity.
Strong knowledge of Basel 3.0 methodologies and LCR, RWA, ROA, and ROE.
Responsible for cash flow projections and hedging of the portfolio’s Interest rate, and foreign exchange risk. Monitor and calculate hedging effectiveness attributes.
Surveillance of leveraged loan and RMBS Repos.
Oversee monthly pricing of all structured products in the investment portfolio, as well as memo pricing on illiquid positions.
Manage portfolio positions, NIM, projected P&L and risk profile on a daily basis.
Chairman of Impairment Committee for Sarbanes-Oxley. Present semi-annual review of the impairment process and results to the Board of Directors.
Responsible for monthly BSM & ALCO presentation of our economic forecast.
Responsible for LGD (Loss-Given-Default) Analysis for all private label securities including RMBS, CMBS, CRE CDO’s, Trups, Student Loans, and credit card receivables.
Liaise with all stakeholders in order to strengthen processes & procedures.
Manage monthly funding overlays and Non-USD match funding.
Manage Fund Transfer Pricing (FTP) & basis in all currencies.
Daily P&L sign-off.
ING Financial Markets LLC, New York, N.Y 10/2001 – 11/2010
Director / Strategic Trading/Proprietary Trading (Through Merger with BBL)
Structured CDO’s and other credit derivatives. Worked with portfolio managers and investment banks in order to determine the most desirable features, including the appropriate mix of IRS and caps.
Strong knowledge and structuring experience with hurdle rates, interest diversion tests, early amortization of senior notes and fragmented amortization to junior notes.
Ability to stratify collateral and vector prepayments, defaults, losses, and spreads.
Worked with Investment bank in order to structure the cash flows for five existing home equity ABS deals (all with a Sr./Sub/NIM/Residual Structure) in order to bid on a new post NIM/residual securitization that was backed by the residuals from the original five ABS deals. Used Excel VBA to program a Monte Carlo simulation analysis with correlation capabilities for all relevant risk factors including CPR, CDR, Collateral spread, and forward Eurodollar curve.
Analyze $12.5 billion MBS CMO and pass-through portfolio. Responsible for prepayment and OAS analysis. Worked with portfolio manager to determine optimal hedging strategy using IO’s, PO’s, inverses, swaps.
Researched performance in order to estimate the appropriate loss curve for a given issue. Modeled and priced using Excel VBA to produce cash flows and present valuation techniques utilizing zero coupon curves.
Responsible for the ongoing analysis of approximately $370 Million of CDO positions consisting of a probability-based cash flow based model (binomial for senior investments in the capital structure and Monte Carlo for more subordinate or equity positions) that was able to produce expected yield, loss, WAL, and NPV for each traunche within the capital structure. Performed stress testing, scenario analysis, sensitivity analysis, and delta hedging per issuer.
Modeled equity option positions – short straddle and long strangle with differing maturities – in order to determine the daily P&L effects throughout the life of the trade. Quantified the price, delta, gamma, theta, and vega of the aggregate position and its evolution through time. This process was able to consider the effects of the volatility smile curve on the P&L.
Built an Access database in order to monitor three CDO’s then under management. The database tracked positions and account balances, calculated compliance test (par & interest coverage, and diversity score), projected cash flows through the structure, performed various risk management functions, and marked the collateral, hedges, and liabilities to market.
Worked with the lead underwriter on all relevant issues throughout and after deal closings. Answered questions, send cash flow projections, and provided information and reporting on all inquiries from the equity investors on these CDO’s.
Responsible for cash-flow analysis, market and credit risk modeling, and pricing within the group using techniques such as Monte Carlo simulation, binomial trees, optimization, and multivariate regression techniques..
Responsible for all database design and management within the group.
BANK BRUSSELS LAMBERT, New York, N.Y. 11/93 – 10/2001
First Vice President / Market Risk Management
Quantitative analysis of all products, transactions, and portfolio’s including MBS/ABS, CMBS, REIT, FX Options, credit & interest rate derivatives, CDO’s, structured notes, and knock-out options.
Performed analysis, risk assessment (Sharpe Ratio), and AIMR performance measurement and theoretical pricing of equity hedge funds portfolio.
Worked with head office in order to set VAR limits and measurement methodology.
Developed and quantified Limits on the FX Options book. These limits pertained to delta, gamma, theta, and vega. Previously there were only delta based limits
Developed CDO cash flow analysis using the Moody’s binomial approach in order to quantify expected loss and rating base upon the Moody’s idealized loss curve.
Assistant Vice President / Market Risk Management
Responsible for starting up Market Risk Management department. Hired staff of two.
Responsible for all financial products, including MBS / ABS, investment grade and high yield corporates, interest rate derivatives, and a FX options book.
Developed policies and procedures and was point person on all audits.
Assistant Treasurer / Capital Markets Analyst
Developed policies and procedures for analyzing the MBS / ABS portfolio. Also researched, purchased, and installed a data and accounting system for processing MBS/ABS.
Acted as liaison between front and back office.
Set up independent pricing methodology.
Set up independent pricing methodology.
ASLK-CGER BANK, New York, N.Y. 7/91 – 11/93
Trade Support / Middle Office
Asset/Liability & Interest rate risk analysis (GAP Report)
Prepayment speed & WAL analysis of MBS / ABS
Mark to Market reports on all trading positions
Scenario Analysis and Stress testing
Operations Specialist / Assistant Manager 4/90 – 11/93
Processed all derivative products.
Handled all MBS / ABS settlements.
Investigations, as per CIB compensation rules.
Heavy accounting and reconcilement.
Supervised back office staff of four.
Fordham University - GPA 3.88 SUNY OSWEGO
M.B.A.- Finance, April 1997 Bachelor of Science, 1988
Major: Business Administration and Psychology
Excel (with VBA), Word, MS Access (with VBA and SQL),and Word.
Powerpoint, Yieldbook, Intex, QRM, Trepp, Summit, Murex, Tableau, Vesio, Bloomberg, @RISK, & FENICS, Loan IQ, and Paragon.
Programming Skills: Knowledge of C++ & Python.
Certificate & Licenses: Certified Treasury Professional (CTP), Series 7