Daniel Barwick Email & Phone Number

Philadelphia, Pennsylvania, United States

Philadelphia, Pennsylvania, United States

Led teams and directly developed/validated models and output visualizations for Market Risk and Operational Risk (ERA). Model design/validation included the creation of innovative machine learning and stochastic simulation models for various risk areas across the business including mortgage, BestX, prepayment, counterparty risk, derivatives, cyber, etc. Design and production of output visualization to effectively and efficiently capture and display the most relevant data and outcomes to target audiences. • Developed risk analytic models to assess the impact of stressed and changing risk factors effecting liquidity and capital impairments from risk factors such as forbearance.• Led effort for major mortgage servicer to reconcile front office financial and reporting metric outputs to main business to ensure both halves of organization aligned on understanding of business production and risks• Conducted model validation of CECL models, including evaluation of inputs, structural validation, and re-performance analysis to confirm expected operation and outputs.• Led model development efforts for a machine learning VaR model, identifying relevant features and ensuring robust procedures and governance for an energy company. • Collaborated with IT developers to operationalize various model build out, both operational and financial, by providing development specifications and QA/UAT of post development code.• Developed pandemic cash flow impact model to help provide a better understanding of potential risks to liquidity and performance businesses are facing during COVID crisis. • Created a liquidity AOCI assessment tool to support identification of ALM impaired banks.• Validated third-party validation reports covering a range of topics such as VaR, CECL, PFE, and collateral application.• Successfully managed teams of varying sizes, ranging from 4 to 20 members, throughout projects.

Managed the quantitative development and maintenance of risk assessment and valuation models, which simulated market and operational risks and assessed their aggregate exposure. Served as the primary point of contact for all quantitative concerns within the Risk Management team.• Developed new and innovative financial and operational aggregate risk valuation models. These models were used to evaluate client companies' Value at Risk (VAR) by analyzing the clients' Key Risk Indicators (KRIs) and aggregating these exposures, including counterparty and derivative models. This analysis provided valuable insights into potential risk mitigation strategies. (Models built using R, VBA, Python, and SQL.)• Enhanced the aggregate risk model to improve flexibility in handling a dynamic number of inputs in the correlation matrix.• Conducted risk reviews of clients to establish inputs for models and to identify correlations between various risks.• Provided guidance and mentorship to junior staff members on modeling methods and simulations.• Conducted various financial modeling exercises for a range of financial risks associated with products such as swaps, Credit Default Swaps (CDS), and yield curves, to support client deals and meet legal requirements.

Advised a global financial services firm’s audit department's on their audit reviews and CCAR and DFAST efforts focusing on market risk, valuation and trading models. • Provided expert independent review of market risk models and processes for the company’s internal audit and CCAR efforts per OCC 2011-1 and SR 11-07 standards. The models and processes reviewed ranged from VAR and CVA models covering (equity, fixed income, derivatives) scenario design to alternative valuation methods. • Review and provided insight and testing on Full Revaluation Framework systems from a systems and governance standpoint.• Worked with Risk, IT and Front office to analyze the code behind the models. (VBA, SQL, R, Python). Based on this analysis a Pass/Fail decision was given to management for the review.• Re-built models for performance testing of risk and valuation models.• Led project teams on site for client engagements, mentoring junior staff and functioning as on site point of contact for engagement.

Created algorithms used in analytical or product development processes and testing. Used these tools, develop or refine computer risk engines that provided deeper analysis of prospective asset performance, asset pricing, new asset classes, or information needed to measure risk and valuation in asset types such as swaps and derivatives. Provided ongoing analysis of new asset classes, and suggested program modifications as necessary. Tested applications for accuracy and functionality prior to enabling them into the production environment. • Functioned as lead for major risk system release. Encompassing scoping and implementation through to final testing and verification of resulting systems.• Enhanced project releases through the development of data requirements and specifications for multiple projects for release.• Partnered with multiple teams (Model Risk, Finance and Front Office) to determine analytical or product-related solutions regarding product, instrument valuation, market activity, or complex transactions to be analyzed by business.• Built re-performance of trade population capture for testing and to help examine and explore issues in system pre and post pass through of black box in SQL for PRIMA risk system • Worked with product management, treasury, or capital markets staff to refine valuation methods for derivatives or other fixed income products using many disparate methodologies such as PFE / Earnings at Risk• Helped to redefine and implement the components of new risk indicators for business. Consulted with various stakeholders to research industry best practices of analyzing and reporting key performance indicators.• Provided technical guidance or consultation to less senior staff. Served as technical lead on projects to develop more accurate or refined analytical applications used in pricing, valuation and risk assessment.

Responsible for the management of counterparty and market risk exposures across multiple asset classes across the entire business and various subsidiaries. Tasked with not only building out risk management tools, but also designing, monitoring and enforcing risk limits responsibly and in an independent and neutral way. • Worked with trade desk and treasury department to ensure that all netting agreement and ISDA requirements were being captured appropriately across all counterparties and internal organizations in PFE and EPE models. • Reviewed, back tested, and provided analytics as the counterparty risk specialist for risk measures such as PFE,EPE and IRC of counterparty exposure across the firm, including those arising from hedging transactions, cash deposits and unsettled trades. (Numerix, Adaptive/Sungard)• Assessed the appropriateness of pricing and valuation models for credit risk against counterparties within the context of the business (derivatives, TBA, mortgages).• Inherited, improved and corrected the automation and functionality of legacy models for VAR and market risk. Models were based in combination of systems (QRM, adaptive and numerix) augmented with (VBA, SAS, SQL primarily with other languages as needed).• Developed and designed new databases and systems for reporting and related processes used in the market and counterparty risk limit testing. • Enhanced internal clients knowledge on specific risks (SR) impacting portfolio exposures through ad hoc analyses• Primary point of contact for data on risk for each portfolio and became primary source for any rush projects and ad hoc requests• Assisted with development of new data systems in conjunction with IT department, providing guidance on both design, model and data requirements.

Provided timely, accurate and independent client valuations for exotic structures across all asset classes (FX, Credit, OTC Derivatives, Equity, Inflation, Commodities, etc.). • Worked in the Interest Rates, FX & Commodities team covering a wide range of trade types (primarily default swaps and structured notes with a payoff linked to a specific interest rate or FX rate, e.g. Range Accrual, Bermudan Callable, Index linked note) and using a large range of models to value trades for priority clients. • Continuously involved in troubleshooting code for models and developing code to automate models for large volume of trades. (Models included interfaces with many different data sources: Bloomberg, FDR and other in house systems)• Provided justifications for pricing moves to clients and their queries. • Built system to check and monitor viability of spread data used in pricing• Improved controls surrounding valuations given to clients improving accuracy and consistency of marks

Masters, Finance

Bachelors, Finance

Msf