Matt Whitmore Email & Phone Number

Atlanta, Ga

Manage, mentor, and work alongside centralized team of quantitative researchers that support derivatives, fixed income, and equities sales and trading businesses - Develop and maintain models used to price trades, hedge portfolios, and manage market risk - Launch new products and support rates, commodities, FX, and equity derivatives market making - Manage Java codebase to customize pricing and risk analytics in Calypso - Collaborate with technology and model risk partners to implement and validate changes - Advise on pricing of complex trades and management of market risksPartner with e-trading and tech teams to build out systematic market making capabilities in credit - Build out POC with snowflake & AWS sagemaker to support research capabilities - Establish internal cloud, fixed income analytics, and ML modeling capabilities - Perform initial research on mid-market, width, and skew modeling Perform management reporting for fixed income trading desks - Create and automate daily reporting to recon to middle office and risk functions - Report risks to senior management to inform macro hedging decisionsExecute on strategic projects - Worked with data architects to normalize trading data from 10+ source systems to automate daily p/l and risk across 25+ trading desks to support compliance with Volcker rule - Partnered with equity research management to stand up a data science team - Led project to implement ISDA SIMM to support compliance with uncleared IM rules - Transitioned derivatives businesses from LIBOR to SOFR

Atlanta, Ga

Interest Rate Derivatives Quant - Built infrastructure in java and excel for pricing interest rate swaps and options - Implemented proprietary optimization algorithms for building the bank’s interest rate curves - Moved rates volatility infrastructure to customized SABR model - Implemented custom forward rate, basis risk, vega risk reporting - Built out joint LIBOR/OIS curve generation, funding valuation adjustment process and risk reporting Implemented Monte Carlo and numerical integration techniques to price exotic equity options Implemented Markov chain, binomial tree, and finite difference methods to price options with early exercise features

Atlanta, Georgia

Model Validation - Responsible for reviewing, replicating, and documenting pricing and market risk related models. - Reviewed interest rate, equity and fx pricing and value-at-risk models.

Master Of Science - Ms, Computer Science

Ms, Quantitative And Computational Finance

Ba, Mathematics

Bba, Finance