Than Kyaw (Joseph) Nyi Nyi

**** ********* ******, ********* **

Yonkers, NY 10701

Cell: 914-***-****

adsbhd@r.postjobfree.com

Work Experience

****, *********

Consultant, Wholesale Credit Risk Rating

Ran OLS regressions in Python to assign credit risk rating for large wholesale firms

Assigned credit risk ratings to wholesale firms across 12 sectors of the economy

Used financial and debt ratios of the wholesale firms in the regression analysis to assign credit risk rating

2017, Protiviti Consulting

Consultant

Worked at client site (Credit Suisse) on developing statistical modelling of PPNR for Private Fund Group

Ran single factor regression models with over 300 explanatory variables on the PPNR dependent variable

Developed a 3-factor regression model based on the relative power of the single factor models and business intuition provided by the front office

Tested the regression results for stationarity, serial correlation, heteroscedasticity, multicollinearity, and co-integration

2015-2016, Citigroup

Consultant, Internal Audit Credit Risk

Wrote Model Development Audit Templates on Singapore and Mexico Credit Cards for purposes of CCAR reporting

Did Due Diligence on Model Development Reports to determine if there were appropriate documentation of credit risk of credit card products

Researched Age-Period-Cohort models of credit risk and maximum likelihood estimation of these models

Audited Expected Loss models for credit card portfolios

2015, Astoria Bank

Assistant Vice President, Credit Risk Manager

Calculated Expected Loss of Residential and Commercial Real Estate loan portfolios using probability of default, loss given default, and exposure at default using the R statistical package software

Used Logistic Regression with independent variables such as LTV, Original Balance, Home Expense Ratio, Loan Age, Debt Service Coverage Ratio and other variables to determine probability of default

Used Multiple Linear Regression to estimate loss given default with explanatory variables such as LTV and time to liquidation

Used Moody’s Mortgage Portfolio Analyzer as a secondary method to determine expected loss of residential portfolio to confirm results of in-house built models of expected loss

Ran DFAST scenarios on residential portfolio using Moody’s Mortgage Portfolio Analyzer for base case, adverse case, and severely adverse case

2014, Royal Bank of Scotland

Consultant, Business Analyst for Market Risk Change

Wrote business requirements document for switching MBS reports from old system (Descartes database) to new system (Venture database)

Wrote functional specifications for limit reports for Agency and Non-Agency MBS to be switched into new database called Venture from old database called Descartes

Worked with RMBS market risk to elicit requirements and specifications on how the reports should look

2008-2013, Deutsche Bank

Assistant Vice President, Global Valuations Group

Priced mortgage-related backed securities such as CMOs backed by Alt-A and Agency collateral

Covered a wide variety of CMO types such as PACs, Sequentials, Inverse IOs, Structured IOs, Floaters, Inverse Floaters, Z-Bonds, MTA IOs, Structured POs, Strip IO/POs, and Pass-through Bonds such as Specified Pools and TBAs

Reported on total variance of Agency Desk from mark-to-market values by determining if the portfolio was priced too cheaply or too expensively

Used Polypaths and Intex Desktop software in valuation of securities

Manipulated Microsoft Access Database for reporting purposes and programmed in VBA code for Excel to run macros used in reporting

2005-2008, WAMU Capital Corp.

Lead Analyst, Market Risk Management

Worked with trading desks to do month end customer pricing of bonds and daily pricing of repo portfolio

Generated Value at Risk reports for WCC’s and Conduit’s trading book positions and engaged trading desks to make sure that positions were properly hedged

Approved daily limit VAR reports on different portfolios of Bank

Used Polypaths and Intex Desktop software to price different mortgage-related backed securities such as CMOs backed by Alt-A, Prime, and Agency collateral

Used Loan Performance Software to predict cumulative loss estimates of underlying bond collateral

Ran statistical regression of probability of default to several variables such as loan-to-value, FICO score, original balance, documentation, primary residence etc.

Responsible for pricing bonds in treasury portfolio and bonds on the balance sheet of WCC using dealer spreads, prepayment speeds, and credit default assumptions

Helped create VAR methodology using different risk and market factors and tested VAR results for robustness of methodology

2003-2005, Polypaths

Business Analyst

Wrote functional specifications and business requirements for enhancements to software

Talked to front-office traders at broker-dealers and hedge funds to troubleshoot any problems with software such as PNL calculations

Provide instruction for customers to learn proprietary financial fixed-income and derivatives (primarily mortgage-back securities) software

Knowledge of fixed-income measures such as duration, convexity, and option-adjusted spread

Test software for QA purposes

Extremely familiar with derivatives mathematics and concepts such as swaptions, futures, caps/floors, swaps and value at risk

2002-2003, Baker&McKenzie

Database Specialist

Manipulated and used specialized database of multinational corporation to retrieve income statements and balance sheets to aid lawyer in finding ways to reduce overall tax burden of the company

Queried database with SQL statements

1999-2000, United Nations Fund for International Partnerships

Research Economist

Reviewed proposals by UN agency and determined which proposals best met the United Nations Foundation criteria

Wrote research report on how to increase internet usage in developing countries for the purposes of development

1997-1999, Gilford Securities

Equity Research Analyst/Institutional Sales

Performed analysis on companies with good insider buying profiles

Covered enterprise software, retail apparel, and other sectors and focused primarily on small to mid-cap sized companies

Wrote recommendations based on the research on company fundamentals

Sold stock to institutional money managers

Education

2002M.S., Computer Science, Pace University

GPA: 3.8

Received Pace Graduate Academic Scholarship

Admitted to Upsilon Pi Epsilon Honors Society for Computer Graduates

1997 M.A., Political Economics, Harvard University

GPA: 3.6 (GPA: 3.6 for Political Science courses, GPA:3.5 for Economics courses)

Focus (Statistical Methodology, Political Economics)

Received National Science Foundation Fellowship for Graduate Study

1992B.A., Economics/Woodrow Wilson School, Princeton University (Graduated Magna Cum Laude)

GPA: 3.8 (11 Economics courses, Economics GPA: 3.8)

Received Myron T. Herrick Award for Best Undergraduate Thesis in Department

Received John D. and Catherine T. MacArthur Grant for Summer Research

Scored 99% percentile in Math and Verbal sections on SATs

Skills: Java, Java Script, VBA, HTML, ColdFusion, SQL, SAS, STATA, SPSS, Gauss, R, Python

Statistical Methods (Time Series, Logistic Regression, OLS estimation, GLS estimation, Simultaneous Equation estimation,

Duration models such as Cox Proportional Hazard, Poisson Model Count estimation, Panel Data

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