Gender

Male

Location

Boston, MA

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Federal Home Loan Bank Boston, Model Validation Analyst June 2012–Present • Responsible for validating models including market risk, treasury, liquidity, accounting, credit and financial models and supporting the management of model risk • Accountable for generating timely reports and analyses for use by internal management, the Board of Directors, external and internal auditors, the Federal Housing Finance Agency, and the Office of Finance Federal Home Loan Bank Boston, Risk Analyst II May 2011–June 2012 • Responsible for providing detailed analysis for month over month differences in risk measurements such as changes in duration, convexity, value at risk (VaR) and key rate duration (KRD) • Improving KRD analysis to differentiate term point fluctuations due to portfolio or market changes with the ability to distinguish trade and curve shift sources • Enhancing risk analysis such as providing market value, duration, and convexity information by strategy • Developing attribution analysis for different risk measurements such as VaR and duration • Researching differences in derivative valuation between the valuation and risk systems, reducing differences by $18.5 million and exceptions by 36% • Researched attributes of residential mortgages to create a stratification system for haircut fees • Main contributor for the credit analysis of KBC Group (a Belgian bank) providing profile, financial performance, capital, liquidity and funding write-ups • Developed and automated duration thresholds for DUS bonds using Bloomberg arrays • Automated and improved VaR analysis by providing curve shocks for the top 1% of scenarios, forward curve changes, and spot curves that incorporate shock scenarios for 99th percentile confidence interval

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