Vp - Mortgage Portfolio Analysis
Salomon Brothers
Construct portfolio hedging strategies utilizing mortgage-backed securities, government and corporate bonds and various derivative instruments, including interest rate swaps, caps, floors, options, and futures.Responsible for design and development of the Salomon Smith Barney Asset/Liability Management model for financial institutions. This is a multi-scenario, multi-period simulation and optimization model of an institution's entire balance sheet or a subset of it. Incorporated within the model is current accounting and regulatory items such as FAS 115, interest rate risk measurement, and risk based capital requirements.