Gender

Male

Location

New York, NY

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I built one of the top quantitative finance research and development groups in the industry, supplying derivative securities valuation models for interest rate derivatives, mortgage backed securities, foreign exchange, credit, and equities. Specialties Derivative valuation, Interest rate modeling, MBS/CMO valuation, Numerical methods, software engineering. Experience + Add a position Head, Counterparty Risk Edit Bloomberg Privately Held; 10,001+ employees; Financial Services industry September 2009 – Present (3 years 3 months) Started move to develop a counterparty credit risk product. Quickly released preliminary version and was made head of a new business area to continue to develop and market this product. Ask for recommendations President, Board of Directors Edit Bachanalia 2006 – Present (6 years) Helping to keep the music playing... Ask for recommendations Head, Interest Rate Derivatives Edit Bloomberg Privately Held; 10,001+ employees; Financial Services industry July 2007 – September 2009 (2 years 3 months) Responsible for OTC interest rate derivatives structuring and valuation, structured notes valuation (equity linked as well as interest rate linked), convertible bond valuation, and volatility handling (interest rate volatility cube, and the FX, equity and commodities volatility surfaces), and counterparty risk. Ask for recommendations Head, Quantitative Finance R&D Edit Bloomberg Privately Held; 10,001+ employees; Financial Services industry July 2003 – July 2007 (4 years 1 month) Built a world-class team of over 25 quantitative developers and researchers. Directed research, development and deployment of option valuation models across all market sectors - credit, FX, fixed income, equity and commodities. Ask for recommendations Head, Fixed Income Quantitative Finance R&D Edit Bloomberg Privately Held; 10,001+ employees; Financial Services industry July 2001 – July 2003 (2 years 1 month) Responsible for corporate bond modeling, interest rate models, and mortgage backed security OAS calculations. Developed models for pricing CDSs and Nth to default baskets. Ask for recommendations Head, Mortgage Research Edit Bloomberg Privately Held; 10,001+ employees; Financial Services industry July 1999 – July 2001 (2 years 1 month) Built mortgage research group to continue development and support of the mortgage product, directing prepayment modeling, Linux cluster development and calculation deployment. Ask for recommendations Quantitative Researcher Edit Bloomberg Privately Held; 10,001+ employees; Financial Services industry July 1993 – July 1999 (6 years 1 month) Helped build Bloomberg's mortgage product - developed an interest rate model and Monte Carlo engine for MBS and CMO calculations. Parallelized computations and deployed on Linux clusters.

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