Sr Developer & Analyst

Boris Vishnevsky

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

Objective: To obtain a quantitative developer position.

Summary of Qualifications:

Experienced quantitative analyst with outstanding achievements in modeling of real estate indices, MBS (TBA) options and equities warrants. Extensive experience in scenarios analysis and calibrating models. Strong skills in data visualization for knowledge discovery and analyzing trading strategies. Broad statistical and optimization background. Experienced in validation, redesigning and optimization of the real time trader’s spreadsheets. Expert level knowledge of Excel utilizing power of VBA and R for data analysis and visualization. Experienced in front office quantitative development and traders support. Managed international portfolio of equity warrants vs. stocks for hedge fund, works as desk quantitative analyst.

Skills Profile:

Quantitative skills: Trading system development based on quantitative analysis and statistical processing of the data sets. Nonlinear optimization and calibration of the models, nonlinear and robust regressions. Experience in fitting of asymmetric heavy tail distributions. Principal component analysis (PCA) including non traditional versions and applications, Partial Linear Squares (PLS), robust estimation of covariance matrix, non-parametric distribution function recovering, portfolio optimization, Value at Risk (VAR) and Expected Shortfall, Risk Budgeting, Omega function approach to risk/reward, quantile regression. Models for construction fund of funds. Implied Vol. surface calibration. Data visualization for building trading strategies using Excel, R and Processing.

Web Development: HTML 5, JavaScript, D3, jQuery, SuperFish.

Programming Languages: expert level knowledge of VBA for Excel, MS Access and Power Point, R/S-plus, Python, Matlab, C#, VB from version 3 to 6, C, Perl

Software Packages: MS Office, R, Matlab, ERWin, Crystal, AMPLE, Processing I.

Databases: Sybase /Microsoft SQL Server, Oracle, MS Access.

Real Time Services: Bloomberg Desktop ant TradeBook API, TradeWeb API, Reuters 3000, PowerPlusPro.

Financial Software: Financial Cad analytical library, BT proprietary Analytics library (Don Goldman routines), Montgomery options library, NAG API, Imagine, Bloomberg API, Belzberg, Portia, GPS , Landmark, Reuters Triarch APIs, Reuters PowerPlusPro, ReconPlus, ADP BPSA, NAG C library, FIX protocol, Bloomberg TOM protocol, TradeWeb addin to Excel, Broil, GPL, Intex, Loan Performance Database and HPI index construction, 1010Data.com interface and language.

Statistical Software: R, SAS.

Professional Experience:

BlackRock, Princeton , Risk and Quantitative Analysis April 2011 to Present

Sr. Developer/Consultant

Developed global performance summary system provided analysis of investment performance of all portfolios to senior management of BlackRock.

Bloomberg LP, New York March 2010 to April 2011

Sr. Developer/Consultant

Designed and implemented set of Bloomberg Power Tools Add-Ins for Excel and PowerPoint. Tools provided new functionality for investor bankers allowing creation and manipulation different formats, association hot keys, transferring and updating vector graphics for creating presentations. Support production use in multiple versions of Office and Windows using VBA, C#, Windows API and COM interoperability. Add-Ins are in production and available to 280 thousand users of Bloomberg.

Nomura Securities, New York Jul 2009 to Feb 2010

Sr. Quantitative Developer/Consultant

Worked for collateralized mortgage obligation desk.

Co-developed Risk Management system for the CMO desk.

Developed components for the empirical pricing modeling for mortgage backed securities including:

- Design and implement Excel based dynamic chart viewer and traders screens

- Gathered and validated fixed income data from different sources, designed and build analytical database.

Tools: Excel, VBA, Sybase. Data Sources: Bloomberg, Reuters, Yield Book, Trade Web, 1010Data.com, Loan Performance dataset, Loan Performance HPI index and model, Case Schiller S&P HPI data set, Worked for Repo Desk.

Created and implemented numerous Excel based reports using a la LINQ queries as a flexible way to get and integrate information from live spreadsheets, settlement systems, databases and web services.

United Bank of Switzerland (UBS). January 2007 to June 2009

Quantitative analyst/Director

- Took a part in implementation of reporting system for the issued credit linked notes and underlying deals.

- Took a part in emergent creating, implementation and calibration of the UBS fundamental pricing model of super-senior tranches of CDO.

- Provide results of the numerous queries to Loan Performance database using www.1010Data.com proprietary interface and language

- Work as a quantitative support for Scratch & Dent Loans desk. Support pricing model and provide enhancements for the distressed loans processing. Support VBA based the loan level cash flow generation engine.

Developed the quintile based model of the distribution for estimation the spreads of the HEL prices for VAR methodology group.

- Worked as quantitative analyst for agency and exotics desk of UBS providing following:

- Developed set of the relative value quantitative strategies for Agency’s TBA butterflies coupon’s swap trading.

- Developed model for estimation of empirical hedge ratio for agency’s TBA vs. 10y IR Swap rates. Model based on analysis of the co-movements distributions of the returns.

-Developed and implemented empirical risk neutral pricing model for the Mortgage Option using Broil’s GPL. Implementation has been certified and approved by quantitative risk management for use as primary pricing model for dealing in the UBS.

- Provided daily support of the trading mortgage options by calibrating the model and assisting in pricing and hedging portfolio.

- Participate in preparation to trading structured notes on RadarLogic Real Estate Price Property index, providing evaluation of the statistical model of the index, based on analysis of the historical data.

Tools: Excel VBA, C#, VSTO, ExcelDna, R, C++, Sybase, Oracle, Matlab, Broil’s General Payoff Language (GPL), Intex API, LoanPerformance database, www.1010Data.com queries.

United Bank of Switzerland (UBS). September 2005 to January 2007

Quantitative analyst/Consultant

Hired by agency pass-through and exotics trading desk for development of pricing models for exotic products. Developed pricing and trading models for derivatives products: options on mortgage pass-through and constant maturity mortgage coupon swaps - CMM

Main achievements included:

- Build model for approximation of empirical duration vs. relative rate for stack of mortgage coupons in shape of s-curve. Derived price distributions for TBA based on s-curve. Developed calibration routine and implemented it as nonlinear optimization algorithm.

- Developed algorithm for recovering risk neutral probability distribution for pass-through options pricing. Implemented Excel based solution for pricing and hedging mortgage options.

- Developed risk neutral model for estimation expected value for CMM forwards. Approach based on recovery fair probability distribution using relative entropy.

- Developed multifactor regression model to determine buy/sell levels of OAS .

- Build set of models for nonparametric estimation of partial hedge ratios of TBA versus Treasures notes based on Omega function.

- Supported and improved trading model for pass-trough TBA. System has been used on daily basis traders and sales people of the bank.

-Add new source of market data to traders spreadsheets, developed routines for gather and analyze intraday price volatility using Trade Web ECN API.

Tools: Excel, VBA, MS C/XLL, NAG C library, TradeWeb API, Intex wrapper API, Matlab.

Merrill Lynch. April to September 2005

Sr.Programmer /Consultant

Worked as a member of the XPort team. Participate in development and support of universal business solution allowing Excel communicate to Web Services. Application included functionality for fixed income instruments calculations, real time and historical pricing, OTC quotes publishing, reporting and searches of offerings of different classes of instruments. Provided design and implementation of cross version compatible Excel VBA code for command bar’s, forms. Created and processed XML RPC requests and responses. Was responsible for design and coding presentation system that allows dynamically generate live examples for more then two hundred fixed income calculations, view documentation and presentations in Acrobat, Word and PowerPoint formats inside of Excel. Developed XML schema and search module for Mark-It-Partners and ML universe of Credit Default Swaps. Developed solution for preventing simultaneous multiple logins with the same user id from different computers using network cards MAK address. Developed Asp.Net pages showing information about Nasdaq traded bonds. Provided daily operational support for application with more then thousand users.

Tools: Excel VBA, MsXml, Xml RPC, XSLT, VS 2003, VB.NET.

Guggenheim Partners. September 2003 to April 2005

Sr.Programmer/Consultant

Developed client for Bloomberg trade order management system. Provided full life cycle of development from gathering business requirements to programming, deployment and user’s support. BloombergBridge allows export of real time trades made trough Bloomberg Trading system to XML file or database. Currently application supports real time trading of ABS, CMBS, CBO/CDO and corporate bonds. BloombergBridge based on sockets level feeds of Bloomberg trade order management system. Program initiate asynchronous connection to Bloomberg trading server, sending requests and receiving information about trades and new securities using TCP/IP and Asynch protocols. Resulting information can be saved into Access database (commissions management system) and XML file.

Tools: VS 2003, VB.NET, C#, MS Access

Redesigned and developed a commissions management system for interest rate derivatives broker/dealer business. Application allows input trade tickets for CMO, CMBC, CDO, corporate bonds and equities. It calculates commission, bonuses and other compensations for brokers and traders per trade, day, month to date and year to date. System included Excel based general ledger providing real-time aggregated information for CFO and interactive end of day reconciliation subsystem for operations. Project included heavy interactions with users, project planning, problems diagnostic and resolving.

Tools: MS Access, Excel, VBA

Developed database connectivity and quantitative addins for spreadsheets used by alternative investment group.

Tools: Excel, VBA , Matlab.

JPMorganChase New York May 2002 to Dec 2002

Sr.Programmer/Consultant

Worked as front end supprt on trading floor at JPMorgan. Main responsibilities included design, development and support trading and middle office system for Distress Debt application that allows to handle corporate bonds and loans, deposits, stocks and options. Application was build in very short time as Excel front end and Sybase back end. Developed Excel based supports security master and trades entry, pricing, traders queries, P&L report, trades export and reconciliation with back office system (Total Return)

Tools: Excel VBA, ADO, stored procedures for Sybase 12 , Perl, XML.

Also support and enhancement of two proprietary real time trading systems for Equity Risk Arbitrage group. Resolving problems with pricing by Reuters 3000, operational assisting traders.

Tools: Excel and MS Acssess VBA, MS SQL Server 2000, Reuters 3000 Cobra PowerPlusPro addin

Deutsche Bank New York & London Dec 2001 to April 2002

Sr.Programmer/Consultant

Worked for Merger Risk Arbitrage (equity) trading desks in NYC and London providing front office Excel VBA based support and solutions for connectivity traders spreadsheets with Imagine portfolio management system, downloading trades, executions, positions and reconciliation of trader’s blotter positions with positions in Imagine. Worked with Reuters pricing feed, risk management purposes. Provide solutions and advices to traders in using Excel for trading special situations.

Tools: Excel, VBA, ADO, ASP ,VBScript, IIS , Sybase 11,Imagine, Perl

Set up shell and Perl scripts providing overnight calculation of implied volatility and Greeks of positions and portfolios of equity and index options using Imagine’s calculation server.

Tools: Imagine, stored procedures, Perl scripts, Korn shell scripts.

ABN-AMRO New York July 2001 to Nov 2001

Sr.Programmer /Consultant

Worked for Equity Operations IT wholesale division of ABN AMRO. Provide business analysis, production support and programming for porting and development a few systems providing support of acquisition ING by ABNAMRO:

ADP BPSA confirmations e-mail. Wrote Perl script for processing file of processing notification sending by ADP to clients, extracting key information and sending e-mails to operations personnel.

NYC settlement project. Developed stored procedures and Perl scripts retrieving settlement information from ADP BPSA Sybase database, formatting SWIFT messages and FTP files to reconciliation system. Created Autosys jobs and Perl script for sending confirmation e-mails to operations personnel.

London settlement project. Ported Sybase stored procedures, Perl scripts, Excel and Crystal reports for settlement international trading stocks in ADP BPSA environment. Created Autosys jobs.

Currency’s exposure reports, interest rates exposure reports. Ported stored procedures and rewrote shell scripts to perl scripts, modified Crystal reports, creates Excel-VBA based reports.

AutoSysToMail utility. Developed Perl script for compiling Sybase Autosys Jil jobs definition, status and report of jobs and e-mailing it to IT user.

Provide technical support for equity trading operations.

Tools: Sybase 11, Perl ,UNIX Visual Basic 6, Excel VBA, ASP, VB Script, ADP BPSA.

Developed AddIn for Excel using VC++ providing menu for loading reports into Excel for end users.

SG Cowen New York May 2000 to June 2001

Sr.Programmer/Consultant

Worked for Legal and Compliance department of the bank. As a team member developed and support following applications:

Employee Trade Monitoring system. System consisted from set of complex stored procedures that produced numerous Crystal reports. Seagate Info Server 7 scheduled reports for run. Output data exported in different formats and distributed to users trough Cool , ASP and JSP.

Tools:Stored procedures for SQL Server 7, Excel, Seagate Crystal Report, Info Server, JSP, Java beans.

IDC files parser. Process IDC securities file for North America after it is received by FTP, get outstanding shares and conversion ratio information from file for assets in proprietary portfolios and save it in database, initiate email notifications about exception reports to IT personnel.

Tools:Sever side JAVA, Opta 2000 driver, stored procedures for SQL Server 7, AutoSys bat

Watch and Restricted List. This product allows the Control Room personnel to track employee and proprietary account trading exceptions versus the watch and restricted security lists.

Tools: Visual Basic 6 and Excel front end, SP, JavaScript, stored procedures of SQL Server 7.

Provided desktop technical support and ad hoc queries for compliance department.

Morgan Stanley Dean Witter New York Aug 1999 to May 2000

Sr.Programmer/Consultant

Worked on fixed income derivatives trading floor (DPG). Developed Rover – collateral management system for structured finance group, created new CBO/CDO. Rover allowed maintain information about bonds and loans containing in portfolios of collateral for deals. System support import information about multiple portfolios from trustees, verification of characteristics and import of bonds from Bloomberg GHY database, generation of coupon schedule and sinking funds for bonds, export deals information into Excel, number of reports including bond differences report, deals report, import problem report. Anticipate in development of procedure of automation of distribution of Rover. Wrote Unix based Perl scripts for speed up cross servers compare characteristics of bonds between two databases.

Tools: Access 97, Visual Basic 6, Excel VBA, Perl, Sybase 11, UNIX.

Chase Manhattan Bank New York, NY Jan 1998 to Aug 1999

Sr.Programmer/Consultant

Developed technology for import of new assets into global compliance system (ChaseTrac). Developed in DCOM framework for three tiers of VB code and Sybase based stored procedures for processing set of Bloomberg bulk files - full list of world wide securities contains a few millions lines. Program allows search assets records using CUSIP, SEDOL, Ticker, Primary Exchange and loading matched information into Sybase. Solution was based on using of WinNT memory mapped files, (virtual memory), OTech sort routines and binary search. Developed Excel 97 based reporting of results of import.

Tools: Visual Basic 5, Transact SQL for Sybase 11,WinNT API, OTech sort library, VBA for Excel 97

Bankers Trust Company. New York, NY April 1996 to Jan 1998

Sr.Programmer/Consultant

Developed a Trading Strategy System for interest rate derivatives and prime brokerage business The system was oriented on positions management, scenario analysis , risk management, real-time pricing and P&L calculation and reconciliation with an accounting system. Securities that could be processed included: listed interest rate options on Eurocurrency’s and cash bonds futures, FX spot and forwards transactions, OTC FX options (including exotic options on forex), futures on interest rate instruments and swaps. As a team member was involved in all aspects designing the system and was responsible for choosing and implementation pricing models for options and forwards, developed a set of VB classes and stored procedures for real-time pricing, yield curves instruments analysis and risk management (VAR).

Provide production support of applications. Was responsible for choosing appropriate models for option pricing, implentation of wrappers around pricing API, real time quots processing.

Tools: Visual Basic 4 and 5, Oracle, Spread OCX, Crescent Controls, FinancialCad functions, BT proprietary Global Analytic library, Excel 5 and 7 ,XLLs integration, Windows NT API.Developed library for formatting and printing images of customized bank checks. Software allows printing images of checks with watermark in different formats.

Developed software for end user which allows view and edit information in encrypted INI files of multiple connected applications.

Tools: Visual Basic 4, Sheridan Data Widgets, MS SQL Server, MS Access, Windows API, ACCUSOFT control.

Hermes Capital Management, Ltd. New York, NY April 1993 to April 1996

Director of Quantitative Research

Managed international portfolio equity warrants versus stocks and options using proprietary models.

Supported trading desk activities and risk management for hedge fund with capital of $60 million. Developed analytical tools which assists portfolio managers in portfolio selection and performance tracking..

Designed and programmed Global Equity Warrants Selector. Software included a model for multi-criterian selection of the best pairs of warrants and equities, a model for estimating the value of warrants and their implied volatility, a price loader for real-time and historical prices from Reuters workstation, a database of warrants and its underlying terms, and a subsystem for analyzing historical performance.

Designed and programmed Global Portfolio Management System application for convertible bonds, equity warrants, and preferred and common stocks.

Participated in the design and programming back office system.

Tools: Excel, Visual Basic, MS SQL Server, Transact SQL, Reuters and Bloomberg workstations

Central Institute of Advanced Training Moscow, Russia May 1988 to October 1992

Senior Researcher

Designed and programmed software system for exploratory analysis of economic data. The system was used to clarify managerial objectives and to check their correspondence with economic reports.

Tools: C.

Developed software to look for patterns in long-term fractal time-series. System was based on Hurst method. The software analyzed volatility of returns by Standard & Poors Index.

Tools: C, Clarion.

Designed and programmed forecasting software to choose a top-of-the-line model for short-time series. The software included a models generator, a data subset generator, procedures for estimating regression coefficients and rules for model screening.

Tools: C.

Main Computer Center for the Construction Industry Moscow, Russia 1987-1988

Project Leader

Utilized data modeling techniques to design and implement distributed MIS for CEO.

Developed jackknife estimation software for economic factor correlations. The software is used for screening patterns of “strong” and “weak” connections, followed by an estimation of the dynamic stability of connection patterns. Tools: C.

Retail Business Automation Company Moscow, Russia 1983 - 1987

Senior Programmer

Developed forecasting models and implement as part of MIS for regional retail company.

Tools: C, TurboPascal.

Education:

Coursework at New York Institute of Finance:

- Technical Analysis of Stocks and Commodities - 1994-1995

- Convertible Bond Arbitrage - 1994

Ph.D. in operation research/econometrics from Moscow University, Moscow, Russia, 1989.

MS from Tula Polytechnical Institute, Tula, Russia, 1977.

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