Data Architect Software Engineer
Resume:
Josh Loeb
aduvem@r.postjobfree.com
Summary: Senior Front Office hands-on software developer and development manager in the MBS/Structured Products and Fixed Income spaces. Successful running development teams and collaborating across technology and business groups to get projects delivered. Experience working directly with senior staff in business units: investment and risk professionals as well as strategic project prioritization groups.
Primary Technologies: Python, C#/.NET, C++, SQL, SQL Server, PolyPaths, Azure
Experience
MUFG Securities Americas, April 2021 – present
Vice President
Integrated proprietary prepayment model into PolyPaths. Python adapter component and C++ API calling the Python/C API; models are implemented in Python using machine learning libraries.
Web Service exposing prepayment model and sensitivities to client applications (in progress)
LIBOR to SOFR transition testing (in progress)
Support of overnight and weekend batch, PolyPaths Calculation Grid (Distributed Processing)
ForLoops Software, LLC – Independent Contractor, October 2017 – April 2021
MUFG Securities Americas – Analytics Projects and Support,
Development and support of analytics systems and processes used by the Mortgage and Structured Products Trading Desks, Market Risk Management, Product Control, and Regulatory Reporting.
Projects Include:
Azure prototype for moving MBS Analytics processes to Azure
oStood up PolyPaths Distributed Processing environment
oSet up processes to mirror several terabytes of Intex data in the cloud
oTested and confirmed processes were running properly and sensitivities tied.
Design, development, and deployment of reporting required for FRTB using PolyPaths
Enhancements to Java-based workflow framework to support FRTB, Performance Attribution, and several VaR calculation pipelines
Post-processing – data transformation, aggregation of raw analytics output to formats suitable for consumption by enterprise risk and reporting systems. (Python)
Maintenance, support, and stabilization of Distributed Processing environments in Production and Disaster Recovery
Design, development, and deployment of dependency chains using Control-M scheduling tool.
Pine River Capital Management REIT, January 2014 – January 2017 (Microsoft Technology Stack)
Vice President
Enterprise Data Architect (5/16 – 1/17): Responsible for strategic data application development. Managed a team of analysts and developers to gather requirements, run analyses, design, implement, and deploy a portfolio of projects. The effort produced a data model and suite of applications to support the Mortgage Servicing Rights business. Responsible for integrating development efforts of senior contractors with full-time staff. This included establishing source code repository management practices, coding standards, test and release procedures. Took the opportunity to introduce Agile to technology and the business, using Jira for project management and status reporting. Projects were delivered on time at year-end in a resource-constrained environment
Senior Software Engineer/Head of Front Office Technology (1/14 – 5/16):
Responsible for software development and technology used by the investment and risk teams with primary emphasis on applications and reporting of valuation and risk. Collaborated closely with members of the investment team and the chief risk officer to produce valuations as required.
Designed and implemented a stable collection of systems and services supporting the analytical needs of the Investment and risk teams. Projects required working with several groups to obtain and integrate securities, market, position, and model data.
Led the effort to license and deploy PolyPaths Distributed Processing; configured, supported, and maintained calculation profiles as required.
Software development included design and construction of a flexible service-based .NET framework for managing portfolio data, and end-to-end PolyPaths work flow
Integrated Pine River Capital Management’s proprietary non-agency prepayment, default, loss, and recovery models (PolyPaths, C#/.NET, SQL Server)
Coordinated efforts to replace legacy trading and order management system with EZE/OMS vendor product
ForLoops Software, LLC – Indpendent Contractor
AllianceBernstein, September 2013 – January 2014
Contractor, Dynamic Asset Allocation Group
Equity Asset Optimization Suite: system and report development (MATLAB, Oracle, VBA)
The Baupost Group, May 2011 – February 2013
Senior Engineer, Development Lead, Middle Office Strategic Technology
Middle Office Technology: Strategic development effort aimed at operational, reporting, and internal compliance needs of The Baupost Group. Hands-on lead development role. Projects included Trade Commissions and Compliance tracking and reporting, including development of rules engines, Trade Maintenance and Management modules.
AllianceBernstein, March 2008 – May 2011
Vice President, Fixed Income Technology
Analytic Services Development: Architected, designed and implemented a scalable collection of services to provide on-demand analytics for Fixed Income research and portfolio management. SQL Server/Service Broker, WCF
Structured Products, Public-Private Investment Program (PPIP/TARP): Project lead and architect for initiative to provide analytics and integrate prepayment and default models for investment decisions in the non-agency space. The system runs a collateral-based quantitative model at the loan level to project defaults and prepayments; projections are then passed to vendor-supplied calculators to generate cash flows and analytics. The software was used by the Public-Private Investment Partnership between 2009 and 2012.
UBS, January 2003 - November 2007
Director, Mortgage Analytics Technology
Development and Engineering: Re-engineered the build and deployment processes for a 1.5 million-line C++ code base; worked with the Agency and Structuring desks to build a translator from UBS’s proprietary structuring language to YieldBook’s “TrancheSpeak”; designed and implemented a system for maintaining CDS on ABS positions. Converted the analytics libraries to use Intex as a structuring source, removing the need for the Structuring group to reverse engineer Agency deals.
Management and Support: Managed a team of developers dedicated to the Structured Products Proprietary Trading desk; technical and project lead for re-integrating Dillon Read positions and analytics to UBS books; ongoing support and development for analytics and operations of agency, agency derivatives, whole-loan, ARMs, structuring and sales desks.
American Red Cross September 11th Recovery Program, May 2002 – August 2002
Volunteer
Designed and developed database and application used to provide more than $370M in financial assistance to surviving family members and seriously injured individuals; provided queries and reports for senior management.
BlackRock Financial Management April 2000 – December 2001
Vice President, Portfolio Management Systems
Software Engineer: Maintained and developed legacy risk and position reporting suite; analysis and optimization of database performance in key applications; provided analytical extensions to portfolio management reporting system; implemented a service for sending cash flows to securities information management tools.
Merrill Lynch February 1998 – March 2000
Vice President, Global Debt Analytics
Software Engineer: Development and support of Analytic Component Libraries (ACL); integrated analytics libraries into US Government Bond systems; maintained “wrapper” for OAS calculators provided by research; designed and implemented repository for indicative data used by VaR engines.
Tudor Investment Corporation March 1996 – January 1998
Software Engineer: Development and support of TRIM trading, accounting and middle office application suite. Wrote carry calculators for Fixed Income trading desks. Most of this software is still in use by Citco, which licensed Tudor Software.
Education
University of Massachusetts at Amherst
Physics Teaching Fellowship: Two years of course work toward master’s degree; taught Calculus I, II, and III for engineering, Physics I.
State University of New York at Stony Brook
Bachelor of Science in Physics
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