• Led small team modeling and managing interest rate and FX risk on diverse $100B fixed-income portfolio, including bonds, ABS, loans and derivatives• Quantitative analysis informing investment decisions (relative value, theoretical and historical)• Developed and executed hedging strategies to manage market risk and hedge accounting• Monitored, forecasted, and reported portfolio performance attribution and risk • Portfolio optimization to maximize return given capital constraints• Product manager for internal portfolio management and quantitative analytics software

• Modeled and managed bespoke derivatives including crop insurance price risk hedging and commodity basket options, capturing profit and minimizing tracking error• Developed price risk management derivatives and strategies to meet industry needs of agricultural and industrial companies• Evaluated complex deals and potential opportunities for pricing and risks• Portfolio manager and market-maker of over-the-counter and exchange-traded commodity swaps and options, managing relationships with counterparties and internal partners• Developed real-time pricing tools and risk analytics for dynamic portfolio risk management• Engaged partners to quickly develop capabilities to trade and manage new products

• Developed hedge accounting systems for holding hedged positions in fixed income assets• Built risk analytics engine for commodity derivatives: trading metrics, VaR• Developed credit exposure models for interest rate and commodity derivatives• Built trading and risk models for exotic derivatives including commodity price contingent credit risk

▪ Developed market data database by scraping data from email, PDF and Excel▪ Automated email reporting of market data events to facilitate decision making▪ Generated scenarios for risk management of fixed-income portfolio▪ Researched and specified requirements for AIG’s Global Credit Exposure Model▪ Data visualization for financial statement analytics

• Designed and developed software to manage and operate large projects such as engineering inspections of 1500+ NYC schools and city-wide healthcare initiatives.• Relational data modeling and software development for internet, intranet, and mobile applications

Employed genetic algorithm (C++) to search for a counter-example to an open conjecture