Frederick Benjamin Cfa, Frm Email & Phone Number

Atlanta, Georgia

- Direct global macro research and trading of domestic and international equity markets.- Direct global macro research and trading of domestic and international currency markets.- Direct global macro research and trading of domestic and international interest rate markets.- Direct global macro research and trading of the commodities markets. - Create and oversee execution of all macro investment strategies.

Tokyo, Japan

* Model and construct hedging strategies for interest sensitive liabilities and model them inside Axis.* Build out the Axis asset modeling platform for Manulife Japan by creating bond, mortgage, and derivatives templates inside and outside of AXIS.* Streamline and put into production the creation of AXIS assets including modeling AXIS inforce in Excel, creating space-delimited asset inforce files, importing the space delimited files into AXIS, mapping the asset files, creating asset assumption tables, and creating AXIS batch files to produce asset cashflows.* Verify Axis cashflows by building Excel templates to verify asset income, defaults, book yield and amortization of discount (premium).* Verify AXIS duration and convexity metrics by building Excel templates that calculate duration and convexity.* Build an Excel model to properly measure the DV01 or duration sensitivity of new liability sales.* Build a portfolio yield attribution model that specifies the contribution of yield of each asset category that makes up the portfolio* Research and fix book value and amortization of discount (premium) issues in Axis surrounding iniital asset inforce input values for assets with unusual par to book value relationships.* Implement ALM best practices in asset modeling and updating of asset assumptions.

• Lead the project to switch the complex mortgage backed asset modeling platform from Derivative Solutions to ALFA including creating the standard model for the inforce files, determination of input assumptions, updating of the formula database, creation of new asset classes within ALFA, integration of Intex and Andrew Davidson with ALFA and ensuring proper logic in the coding of ALFA by verifying reasonable ALFA cashflows.• Lead the project to transition the calculation of effective duration for fixed annuities to the ALFA platform.• Analyze various portfolio hedging scenarios using the ALFA platform by modeling swaps and swaptions within ALFA and analyzing the cashflows.• Lead and manage the two Sarbanes Oxley processes that produce monthly complex asset cashflows for the business units using Derivative Solutions/ALFA and perform asset duration calculations on the resulting cashflows to verify accuracy.• Lead and manage the calculation of effective duration for life insurance using ALFA.• Manage the process to assess the hedge effectiveness of fair value hedges. • Model any new asset class using Derivative Solutions/ALFA and independently verify accuracy of the resulting cashflows.• Lead the process of integrating new versions of Derivative Solutions into the asset cashflow modeling process and report to senior management the impact of assumption changes (such as new prepayment models) on the assets due to the version change.• Advise ALM, portfolio management, product business units, corporate actuarial and capital management on potential impacts of observed economic trends on existing investments and business.• Assist in research projects as needed such as credit spread studies or prepayment analysis, etc.

• Model Allstate Financial asset inforce quarterly by using TAS/MOSES and Access databases to model actual payout, cashflow, and yield characteristics of the assets; including the modeling of swaps, caps/floors, private placement floating rate bonds/mortgages, CMO’s, commercial mortgages, ABS/CMBS securities, etc.• Complete special ad-hoc projects involving investment analysis; including projects like analyzing prepayment assumptions for CMO inforce and analyzing commercial mortgage restructure/re-finance spreads.• Compute and Analyze durations for Allstate Financial liabilities and assets by building and running ALM duration models in TAS (Tillinghast Actuarial Software)/MOSES and summarizing/analyzing the results; balancing the impact of interest rate movements and adjustments made to lapse and crediting rate assumptions in the TAS/MOSES models.• Build quarterly TAS/Moses scenario files, investment data files, and asset category files for TAS/Moses ALM models.• Support external/internal ALM (Asset Liability Management) clients by being the primary “point man” for any technical problems involving asset inforce files during TAS/MOSES runs or any suspect asset yield results from TAS/MOSES model.• Improve existing ALM processes by using Access and Microstrategy to automate querying of data, upgrading codes and files for TAS/MOSES and software version upgrades (Ex. - changing Visual Basic code from Access 97 to Access 2000), and updating HTML code to document the newest ALM processes on internal intranet.• Manage/train any actuarial summer interns or external client as needed. (Responsible for major workload and training of 2 different summer interns in Summer 2001/2002)

• Computed daily market value for existing securities (options, bonds, CMO’s, stocks, etc) held by IDS mutual funds, IDS International and American Express Bank accounts by consulting with brokers, data vendors, traders, and portfolio managers or doing appropriate manual calculations.• Created pricing models in Excel for securities that cannot be priced through regular vendors (S&P 500 hedge options, interest rate swaps, and foreign corporate bonds).• Worked with traders, brokers, data vendors, and portfolio managers to ensure accurate pricing by doing daily/weekly/monthly price checks on volatile holdings.• Monitored domestic/foreign market action to anticipate market movement for accurate pricing.• Monitored corporate actions (stock splits/mergers) to ensure accurate record of accounts.

Greater Minneapolis-St. Paul Area

• Conducted the renewal rate process for the AEL (American Enterprise Life) annuity bank and brokerage business; balancing the profitability implications of maintaining target spreads and potential client surrenders by setting a reasonable accrual rate for AEL annuity policy owners.• Assisted in annuity pricing projects by using Forest & Trees to run queries against the mainframe to gather pertinent data and transferring that data into Excel spreadsheets for further evaluation.• Supported senior AEL staff in managing AEL products by maintaining a database of current competitive information, performing monthly lapse studies, and doing ad hoc research projects on the make-up of AEL business.• Provided high quality product, system, and technical support to internal/external AEL business partners by automating several routine service requests on Excel, and answering technical questions for AEL policy owners (Usually involving the calculation of their future account value or death benefit based on potential future loans against their policy account value). • Made yearly actuarial presentations to Florida A&M University's summer actuarial program.

Greater Minneapolis-St. Paul Area

• Assisted in year-end cash flow testing for IDS Life, IDS Life of New York, and AEL by modeling their liabilities (annuities and life insurance products) in PTS and running queries against the mainframe to gather data for those liability models.• Analyzed the results from PTS for reasonableness after using macros to transfer the results from PTS to a Lotus spreadsheet.• Performed sensitivity tests (using PTS) by adding extreme variables into the PTS model to determine the level of vulnerability of the business to certain future risks such as unusually high lapses or volatile interest rates.

Hartford, Connecticut Area

- Assist in quarter end cash flow testing of various business segments. - Research the interest sensitivity of annuity portfolios.