• Responsible for LGD (Loss-Given-Default) Analysis for all private label securities including RMBS, CMBS, CRE CDO’s, Trup’s, Student Loans, and credit card receivables.• Manage selection and hedging for the Liquid buffer portfolio of short average life GNMA, FNMA, and FHLMA. LCR and HQLA eligible assets. Effective Duration & convexity analysis.• Developed pricing model for Monthly valuation of illiquid Asset Back-up Facility (IABF) for a $15 billion Alt-A portfolio related to the Dutch State bailout of ING in 2009. Also developed Return Attributes model for additional clarity.• Strong knowledge of Basil 2.5 / 3.0 methodologies and LCR, RWA, ROA, and ROE. • Responsible for cash flow projections and hedging of the portfolio’s Interest rate, and foreign exchange risk. Monitor and calculate hedging effectiveness attributes.• Leveraged Loan and RMBS Repo surveillance• Oversee monthly pricing of all structured products in the Investment Portfolio, as well as memo pricing on illiquid positions• Manage portfolio positions, NIM, projected P&L and risk profile on a daily basis.• Chairman of Impairment Committee for Sarbanes-Oxley. Present review of the impairment process and results to the New York Board semi-annually.• Responsible for BSM & ALCO presentation of our economic forecast on a monthly basis.• Liaison with all departments in order to strengthen processes & procedures.• Manage funding overlays and match funding on a monthly basis.• Manage Fund Transfer Pricing (FTP) & bssis in all currencies.• Daily P&L sign-off.

• Structure CDO’s and other credit derivatives. Worked with portfolio managers and investment banks in order to determine the most desirable features, including the appropriate mix of IRS and caps. • Strong knowledge and structuring experience with features such as hurdle rates, interest diversion tests, early amortization of senior notes and fragmented amortization to junior notes. • Ability to stratify collateral, and vector prepayments, defaults, losses, spreads, etc. • Analyze $12.5 billion MBS CMO and pass-through portfolio. Responsible for prepayment and OAS analysis. Work with portfolio manager to determine optimal hedging strategy using IO’s, PO’s, Inverses, Swaps, etc. • Researched cohort’s performance in order to estimate the appropriate loss curve for a given issue. Modeled and priced using excel VBA to produce cash flows and present valuation techniques utilizing zero coupon curves. • Built an Access database in order to monitor three CDO’s that are currently under management. The database tracks positions, account balances, calculates compliance test (par & interest coverage, diversity score, etc.), projects cash flows through the structure, performs various risk management functions, and marks the collateral, hedges, and liabilities to market. • Worked with the lead underwriter on all relevant issues throughout deal closings. Continue to answer questions, send cash flow projections, and provide information and reporting on all inquiries from the equity investors on these CDO’s.• Responsible for cash flow analysis and risk modeling (Market and Credit Risk) and pricing within the group using techniques such as Monte Carlo simulation, binomial trees, optimization, and multivariate regression techniques.• Developed Risk Management and pricing models using Access and VBA.• Responsible for all database design and management within the group.

• Quantitative analysis of all products, transactions & portfolio’s (MBS/ABS, CMBS, REIT, FX Options, credit & interest rate derivatives, CDO’s , structured notes, knock-out options, etc.)• Performed analysis, risk assessment (Sharpe Ratio), and AIMR performance measurement and theoretical pricing of 'Fund of Funds' portfolio (Equity hedge funds)• Worked with ‘Head Office’ in order to set VAR limits and measurement methodology. • Developed and quantified Limits on the FX Options book. These limits pertained to delta, gamma, theta, and vega. Previously there were only delta based limits• Developed CDO cash flow analysis using the Moody’s binomial approach in order to quantify expected loss and rating base upon the Moody’s ‘idealized loss’ curve. • Managed staff of five