Summary
An experienced model developer specialized in credit spread (CDS index basis and volatility) and securitized products (CMBS, CMBX, RMBS, ABS, CLO, distressed / leveraged loans), with additional exposure to short-term interest rate products (LIBOR to SOFR transition). Within Market Risk Analytics, I am responsible for developing, enhancing, and maintaining market risk models, and translating quantitative analysis into robust analytics used by Global Risk Management.
Strong working knowledge of probability and statistics, time-series modeling, Monte Carlo simulation, structured products, and derivatives, including Greeks, swaps, tranches, and volatility products, along with market risk methodologies such as VaR, SVaR, stress testing, backtesting, and scenario generation. Advanced proficiency in Python (NumPy, pandas, SciPy, scikit-learn), with experience building reusable libraries and working with large, complex time-series data pipelines.
Current interests include quantitative and machine learning research, MBS prepayment modeling, systematic credit and securitized products strategies.