Risk Manager

CARY M. SCHABERT, FRM, MBA

adilds@r.postjobfree.com 347-***-****

QUANTITATIVE RISK MANAGER

MULTI-ASSET CLASS PORTFOLIO RISK ~ VALUATION AND STRESS TESTING

Developed risk analytics infrastructure and tools to support risk reporting and hedging, risk aggregation, Var and stress testing. Extensive multi-asset background (rates, FX, equities, commodities)

Expert at evaluating risk at both individual trade and portfolio levels. Designed infrastructure for a portfolio attribution and risk platform for Convexity Capital and Perella Asset Management.

Developed in-house valuation and risk models for complex derivative products such as conditional variance swaps, volatility swaps and inflation options. Enhanced short dated options volatility surfaces and re-engineered models to accommodate normal volatility skew models for a $2B volatility portfolio managed by Convexity Capital. These enhancements were critical for accurate valuation and risk management of exotic relative value volatility positions.

RISK MANAGEMENT EXPERIENCE

Quantitative Risk Manager Independent New York, NY 4/2017 - Present

Led measurement and reporting of market, liquidity, credit and counterparty risk for several long term contracts (buy side and large banks including Mizuho and NYCB). Built and implemented risk management and performance attribution metrics that performed scenario analysis, stress testing, VaR/ES, simulations, factor analysis and attribution.

Developed VaR and stress testing analytics for a large cryptocurrency brokerage engaged in lending crypto. Designed proxies to quantify VaR and counterparty risk for illiquid currencies with limited trading history.

Built the IT infrastructure to support a hedge fund engaged in equity vol (Vix Futures, SPY vs single name vol long/short) and fixed-income futures arb trading. Back-tested trading strategies to optimize rebalancing intervals and to more clearly identify risk-adjusted returns.

VP, Fixed Income Risk JPMC Asset Management, New York, NY 01/2016 – 03/2017

Developed independent valuation, stress, portfolio construction and optimization, and attribution models for fixed income portfolios within JPMC Alternatives businesses (Hedge Funds and Investment Funds offered through the Private Bank, Global Investment Management and Global Wealth Management divisions. Designed and evaluated extreme stress scenarios for levered multi-asset class portfolios.

SVP, Portfolio Risk and VaR Citigroup, New York, NY 2012 - 2015

Oversaw the production of monthly and quarterly Market Risk RWA process (Basel 2.5 and Basel 3), including both firm-wide and LOB level, for multiple legal entities. Interacted with OCC on interpretive issues regarding structural FX and commodity positions.

Performed semi-annual CCAR / FRY14Q projections of 9 quarters of forward looking RWA at the LOB level. Coordinated with quantitative research the development of stress factors to be used for Adverse and Severe Adverse scenarios. Investigated the major PNL drivers of trade-specific strategies (i.e. long-short equity, volatility arbitrage) on the firm’s VaR, SVar and RWA calculation.

Performed drilldown analysis on movements in the risk profile of the portfolio from the portfolio level down to individual trade strategy level. Interacted with Product Market Risk Management and Capital Optimization Groups to determine alternative hedging strategies to minimize the impact on RWA.

Distributed commentary and analysis of changes in risk-based capital requirements, VaR movements, and changes in risk profile of the portfolio to both outside regulators and the internal Citi market risk steering committee.

Distributed commentary and analysis of changes in risk-based capital requirements, VaR movements, and changes in risk profile of the portfolio to both outside regulators and the internal Citi market risk steering committee.

Conducted back-testing of business unit trading PNLs and investigate material VaR tolerance breaks.

Financial Engineer, Structured Finance NewOak Capital, New York, NY 2010 - 2012

Developed analytical tools to quantify risk and enhance hedging strategies by implementing valuation and stress models for non-agency and agency MBS, MBS derivatives, whole loans and CDOs. Implemented “what-if” scenario impacts of adding specific hedge instruments to MBS portfolios a large financial investment advisory client with $4 billion of AUM. Created proprietary risk-scoring models for CDOs and structured securities using loan-level data.

Senior Fixed Income Financial Engineer State Street Corp., New York, NY 2005 - 2010

Managed the daily production and model selection criteria for the Firm’s “Truview” software product, a valuation and risk C++ based multi-asset class product that was successfully marketed to hedge funds, fund-of-funds, and asset management firms. Implemented valuation, model selection, and testing to develop a suite of products to assess portfolio risk and pricing analytics. Developed “what-if” analysis to determine the impact of hedging effectiveness on a given trade strategy by using different hedging instruments for alternative multi-asset class strategies.

Constructed a sophisticated risk decomposition and PNL attribution module for a hedge fund with $18 billion AUM to quantify alpha by tactical and strategic asset allocation. Quantified downside risk and allocated this metric to deviations from benchmark weightings by managers, deviation of target asset-class allocations, and individual manager selection. Quantified liquidity risk for illiquid securities.

MILITARY EXPERIENCE

Lieutenant United States Navy, Domestic & International Deployments

Served two consecutive tours as a division officer, supervising up to 80 personnel in engineering, operations, and communications.

EDUCATION

Master of Business Administration, Cornell University

GPA: 3.9/4.0 Full tuition merit scholarship

Bachelor of Science in Economics & Engineering, United States Naval Academy

Graduated with Merit (top 5%) Economics Honor Society

TECHNICAL / COMPUTER SKILLS

SAS, R, SQL, VBA, MATLAB, Multiple Vendor Models (FINCAD, Polypath, Andrew Davidson, MUREX)

PROFESSIONAL AFFILIATIONS

State Street Risk Management Conferences: Speaker for “Quantifying Liquidity Risk & Computing Liquidity-Adjusted VaR,” “Market Segments in Demand and How to Target,” and “Improving the Valuation Process.”

FRM (GARP) – Levels 1 and 2 – 2017.

CFA EXAM LEVEL I CANDIDATE (2021)

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