Database Specialist Business Analyst
Resume:
Than Kyaw (Joseph) Nyi Nyi
**** ********* ******, ********* **
Yonkers, NY 10701
Cell: 914-***-****
********@***.***
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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