Risk Management Specialist

ARTHUR P. IZAK-DAMIECKI

************@*****.***

New York, New York 773-***-****

OBJECTIVES

Risk management specialist with extensive knowledge of model development. Have valued a vast array of financial products and possess the advanced mathematical background necessary for the pricing of complex customized derivative products and the modeling of corporate ventures as real options.

PROFESSIONAL EXPERIENCE

Federal Home Loan Bank of New York 11/2021-7/2024

New York, New York

Senior Risk Analyst - Enterprise Risk

• Performed variance analysis on proposed bank trades to ensure risk limit policies would not be breached.

• Transitioned bank models from LIBOR to SOFR; updated python, java, sql and excel models.

• Analyzed Bank portfolio under Fed stress test scenarios.

• Processed position reconciliation, capital calculation and VaR reporting as part of monthly production cycle.

• Produced and analyzed Key Performance Indicators as part of Market Risk First Line of Defense

• Calibrated CEV model

• Developed project plans for enterprise risk initiatives, defining scope, milestones and success metrics to enhance risk governance.

Citibank 7/2021-11/2021

New York, New York

Contract - Treasury Data Management

• Improved bank data control processes to meet regulatory reporting requirements.

KPMG 12/2011-10/2020

New York, New York

Senior Associate – Risk Analytics advisory practice specializing in market risk management, model validation and financial securities valuation.

• Performed valuation analysis for large banks on the following:

credit default swaps

interest rate swaps

swaptions

equity options and warrants

rate cap/floors

FX and commodity forwards

auction rate securities

CDOs

ABS, CMBS, RMBS and associated forwards

index and basket

total return swaps

repurchase

agreements

vanilla and optionable bonds and loans

• Designed and coded valuation techniques for complex positions:

variable notional puts

variance swaps

barrier options w/ path dependent barriers

conditional rate locks

window forwards

quanto options

bespoke CDOs

• Validated market risk and credit risk models (PD, LGD, EAD, CVA, OAS, VAR, FX)

• Validated rate models transitioned from LIBOR to SOFR

• Implemented credit valuation adjustment (CVA) methodology.

• Designed and implemented overnight indexed swap (OIS) funding curve discounting methodologies for collateralized cross currency derivative valuations.

• Recreated and validated standard portfolio analysis of risk (SPAN) and value at risk (VAR) margin requirement models

• Recreated and validated partial least square deposit model in SQL.

• Validated stochastic gradient boosting and multilayer perceptron marketing models.

• Validated models assessing the impact of market volatility and asset class correlation on the cost of guaranteed minimum withdrawal benefit riders for variable annuities.

• Validated control implementations for automated trading algorithms

• Validated and documented RWA models for Basel I and III

• Applied regression models to test the efficacy of hedging strategies.

• Reviewed mortgage documentation to ensure compliance with state and federal laws.

• Reviewed and approved PPP loans

• Prepared modeling and valuation approach for winning KPMG response to competitive RFP.

• Engaged in cross-functional risk management projects, working with finance, compliance and operation teams of Client banks to implement risk controls and track mitigation efforts.

• Translated Polish language forensic documents.

Representative Advisory Clients: Goldman Sachs, Depository Trust and Clearing Corporation, Discover, PNC Financial Service Group

Representative Valuation Clients: Deutsche Bank, IFC Private Equity Fund, Genworth Financial

RHO TRADING AND SECURITIES 1/2008-9/2008

Chicago, Illinois

Trader

• Managed firm risk throughout Asian and European hours as part of two man team

• Designed and employed automated trading strategies for fixed income futures

• Hedged option positions

• Trained junior traders on firm software and trading strategies and wrote a technical manual for the firm's proprietary software.

SUSQUEHANNA INTERNATIONAL GROUP 9/2007-12/2007

Chicago, Illinois

Assistant Trader

• Functioned as a member of the Designated Primary Market Maker team on the exchange floor.

• Exercised in-the-money options

• Paired off account balances to prevent self-arbitrage.

SUMMARY OF TECHNICAL SKILLS

• Bloomberg, R, C++, Java, Slang, Excel VBA, FINCAD, Intex, SAS, Access, Tableau, E-Views, @Risk, SQL, Numerix, Python, Polypaths

• Valuation, Financial Analysis, Revenue Forecasting, Loss Forecasting and VAR, Economic Capital, Credit Risk Modeling (PD, LGD, EAD, CVA)

• Stochastic Calculus, Linear and nonlinear regression modeling, ARMA modeling, ARCH modeling, Vector Autoregression, Queuing Theory and its applications in operations, Categorical Statistics and it application to performance feedback, Bayesian Inference

ACCREDITATION

SOCIETY OF ACTUARIES

CASUALTY ACTUARIAL SOCIETY

• P • FM• MLC • MFE

EDUCATION

UNIVERSITY OF CHICAGO BOOTH SCHOOL OF BUSINESS

Chicago, Illinois

• Masters of Business Administration 2011

-Concentrations: Econometrics, Strategic Management, Accounting

UNIVERSITY OF CHICAGO

Chicago, Illinois

• Bachelor of Science in Applied Mathematics 2007

• Bachelor of Arts in Public Policy specializing in Economic Policy 2007 -Thesis: “A Comparative Analysis of the Health Care Systems of Five Western Nations”

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