Northbrook, Illinois, United States
Executive Quantitative Support Manager in Capital Markets, supporting trading strategies, hedging strategies, risk and pnl reporting, system streamline, data visualization, regulator request.
Heading a Global Quantitative Team supporting cross product trading on trading strategies and analytics US Mortgage - since 2023 Global Credits - since 01/2022 Global Non-Linear Rates/Vol desk - since 09/2022 Global FICC ETF - since 03/2021 Central Funding Desk (CFD) and Structure Notes trading - since 01/2021 Strategic Asset Liability Management Desk (SALM) and Collateral Trading and Optimization Desk (CTO) - 2019-2021 Managing Trade Repository migration for Uncleared Margin Requirement (UMR) and Risk Optimization desk (ROG) 2018-2020 Credit (CVA), Funding (FVAC, FVAU) and Capital (KVA) Value Adjustment, Counterparty Portfolio Management (CPM) desk 2009-2018 Structured Rate Trading Desk (SRT) on ABS/MBS Derivative, Muni Derivative, OTC Credit Derivative, Single Seller/Whole Loan 2005-2009
- Prepayment/default modeling, profitability analysis and pricing across consumer lending portfolio - 2004 Annual US Bank Award for Financial Analyst
Trading strategy design, market neutral statistics arbitrage fund