A highly focused, excellence-driven professional in quantitative finance, risk management; leveraging previous experience in complex system analysis and software development.
A proven track record of technology product delivery under the pressure of tight schedule.
Developed a reputation for ...
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A highly focused, excellence-driven professional in quantitative finance, risk management; leveraging previous experience in complex system analysis and software development.
A proven track record of technology product delivery under the pressure of tight schedule.
Developed a reputation for leading high profile and large projects.
Specialties:
* Risk modeling and validation of Operational Risk, structured products (MBS, ABS and CDO) under normal and stress conditions in accordance with CCAR/DFAST and SR 11-7 regulatory requirements
* Extensive use of MATLAB in modeling, analyzing and simulating complex engineering and financial problems.
* Applied numerical methods to solve matrix and PDE based asset pricing models via Stochastic Calculus.
* Hands-on experience in statistical co-integration, GARCH modeling, Monte-Carlo testing, algorithm backtesting and linear/non-linear regression analysis. Proficient in using Stata, EViews and SAS statistical packages
* C/C++ OO technologies on UNIX/Linux including multiprocessors.
* Optimized execution in C++ for enhanced real-time performance.
* Expert in Control, Optimization, Robotics (machine learning, artificial intelligence) and Signal Processing.
* Experience in multi-threading, memory management, I/O and TCP/IP networking.
* Working knowledge of data-feed connectivity, complex event processing integration software (streaming database extraction) and FIX routing protocol.
* Solid knowledge of SQL data query and programming as well as Python scripting.
* Expertize in parallel data processing via GPU by using CUDA toolset.
* Coming up to speed on Python as applied to scientific computing (Pandas, NumPy, SciPy, Scikit-learn)
Broad commercial software product leadership throughout full development cycles.
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