Brian Boucher Email & Phone Number

New York, New York, Us

New York City, Ny, Us

New York City, Ny, Us

Supporting clients in the banking space with XVA and IM calculations in the Oneview platform

London, England, Gb

Maintaining and developing a C++ library for financial analyticsProgramming FPGAs for accelerated applications

Baltimore, Maryland, Us

Variable Annuity Modeling on GPUs• Designed and prototyped an efficient CUDA implementation of the existing stochastic liability model• Experimented with an ArrayFire-based translation utilizing declarative programming techniques• Authored a research paper on the relative efficiency of the CUDA approach and made a recommendation to managementRisk-Managed Fund Modeling• Developed a simple yet accurate methodology for valuing variable annuity guarantees on investments in risk-managed funds with complex, derivative-based trading strategies• Fast-changing landscape of fund management required rapid evaluation of fund strategy for implementation in multiple accounting frameworksHedge Strategy Model Framework• Designed and prototyped a C# model based on the Numerix CrossAsset SDK, to represent rebalancing of a hedged portfolio over timeStatutory Capital Optimization for Variable Annuities• Implemented high-speed Excel estimator model for asset impacts to statutory capital (AG43, C3 Phase II, and S&P)• Proposed optimal restructuring of equity derivative exposure to reduce capital requirements with positive impact to RoC

Baltimore, Maryland, Us

Speaker, 2014 Equity Based Insurance Guarantees Conference• Topic: “FAS157, AG36, and Aligning Accounting Methodology with Hedging Strategy” • https://www.soa.org/Files/Pd/2014/equity-based-insurance-conf-chi/2014-chicago-ebig-boucher.pdfInterest-Rate Management With Forward-Starting Swaps• Constructed a portfolio of swap trades to hedge reinvestment risk on $60B of general account assets using liability cash flow projectionsIndexed Universal Life Hedging• Designed and executed a completely rebuilt IUL hedging platform with integrated Monte Carlo liability modeling, trade sizing and tracking, and performance attribution in a single VB.net/Excel solution• Uncovered and corrected numerous sources of error in the original system with multi-million dollar impacts to company P&LAutomated Life Experience Studies System• Filled key gap with a flexible VB.net application with limitless potential to define experience studies across multiple dimensions of data• Utilizes high-speed Oracle data connection to process millions of records of experience data for each studySeriatim Reinsurance Modeling• Modified both Term and Universal Life models in MoSes to incorporate seriatim cession-level data from thousands of individual reinsurance treaties• Validated reinsurance premiums and benefits against experience and assumptions through a historic 10-year period to assist with fast-paced negotiations with multiple reinsurersFAS133 Valuation Engine• Converted prototype Excel model to compiled VB.net code, utilized multithreading to reduce runtime 100x allowing the entire block to be run seriatimStochastic Index Universal Life Model Refactor• Rebuilt existing MoSes IUL model with additional submodels to allow for new products and advanced analytics on delta hedging strategy

Baltimore, Maryland, Us

AppMaster GUI for MoSes Modeling Platform• Designed and implemented a VB.net application which overlays a simple, high-speed GUI for batch operations on FoxPro tables storing MoSes data• Reduced time required for common tasks from hours to seconds, currently in use by dozens of employees

Database Solution for Foreclosure Defense Case Management• Created an Access database to manage more than 400 complex litigation cases with ten or fewer attorneys and paralegals• Provided a central repository for documents and case data and a document generation solution

M.S, Mathematics

B.S, Mathematics And Chemistrty