Time to devote to hobbies and volunteer activitiesUC San Diego Alumni activities:Dean's Leadership Council, School of Physical SciencesAlumni Engagement CommitteeIndustry Engagement CommitteeCampaign for UCSD (fundraising, now concluded)

Firm provides risk advisory services including fiduciary standards, management processes and risk models, capital analyses and litigation expert witness support. Position includes public and industry presentations on current issues and challenges in financial risk management, including- changing regulatory capital standards (Basels II and III)- lessons learned in risk management from the financial crisis- assessing strengths and weaknesses of common risk management metrics, such as Value-at-RiskClients have included claimants in financial arbitration cases (American Arbitration Association, FINRA), asset management firms, and Government Sponsored Enterprises. Pertinent issues include investment suitability, misuse of leverage and liquidity risk, identification of appropriate risk metrics for a given investment strategy, and general governance issues encountered by asset management firms.

Member of the independent review committee for Salient Index Management. The committee oversees objectives, methodologies, selection of constituents, and other oversight functions for various indices managed by the company.

Taught econometrics in the Master of Science in Financial Analysis program:Probability models for portfolio risk and Value at Risk models. Simple Regression Models with hypothesis tests, goodness of fit, and testing for problems with the data or the model. Multiple regression models with applications to CAPM and portfolio management.

Total counterparty exposures from securities trading and derivatives activity averaged $30 billion on managed assets exceeding $1.5 trillion as of mid 2009. Assets covered by controls included equities, fixed income securities and commodities, plus synthetic exposures arising from the use of derivatives, including swaps, forwards and options.Controls against credit loss included the approval of counterparties and associated trading limits for diverse instruments including international and domestic equities; fixed income securities including corporate bonds, mortgage securities and government bonds; derivatives; money market securities and securities lending vehicles.Advised the Legal team on credit standards in the negotiation of ISDA agreements on behalf of equity and fixed income funds, required for derivatives trading. Agreements covered the use of interest rate and credit default swaps, options and forward agreements.Represented the firm’s management of counterparty credit risk to clients and mutual fund boards of directors.Developed firm-wide contingency plans for potential major counterparty default. Procedures were implemented during the credit crisis of 2008 prior to the collapse of Lehman Brothers.Provided analytics and management for economic and Basel II regulatory capital assessments, governance, financial forecasting, proprietary investment strategies impacting the balance sheet, derivatives market and credit risk quantification, risk analytics for new products and quantitative model reviews, operational loss modeling, forecasting and mitigation. Created documentation and presentation materials for board presentations and for regulators.

Provided analytical resources to global risk projects including economic and regulatory capital assessments, derivatives market and credit risk quantification, risk analytics for new products and quantitative model reviews, operational loss modeling, forecasting and mitigation.Oversaw quantitative model development for Basel II/CRD and CP195 regulatory capital initiatives. Ran the BGI Basel II Program from mid 2005 to completion in 2008, coordinating development efforts between BGI and Barclays PLC. Built out models based on Pareto statistics, copula methods and Extreme Value analysis to improve operational risk measurement and management decision-making to meet Basel II Use Test requirements. Developed value-at-risk (VaR) models for credit risk EAD and LGD metrics, applied to BGI's indemnified securities lending program.Developed economic capital models for BGI in line with ICAAP requirements. Reconciled efforts between Risk and Finance teams to maintain consistency of approach between regulatory and economic capital analyses. Using these models, developed out key risk scenarios for BGI as the basis for economic capital and Basel II AMA and IRB approaches.Developed policies and internal guidelines with regards to Basel II compliance and model validation.Identified key operational risks to the firm for operational risk capital assessment, and used these scenarios for the development of risk mitigation strategies.Developed, reviewed and validated quantitative risk models.

Responsible for the quantification of market and credit exposures for cash management, securities lending and other non-indexed investments, and for structured transactions such as OTC derivatives, and for determination of appropriate risk mitigation.Developed a systematic approach to collateral requirements for derivatives counterparty credit risk management, securities lending and cash fund repurchase agreements, allowing these programs to grow year on year. The program used covariance analysis adjusted for liquidity to provide flexible but risk controlled collateral parameters for lending and repo, allowing the business to select among alternatives for revenue optimization.Devised portfolio exposure analytics for the following areas: cash management risk budgeting used to improve investment management and fund marketability, VaR based market analysis of global revenue used to set economic capital guidelines for the firm. Techniques used included expected default frequency (e.g. Moodys-KMV edf), covariance models, Monte Carlo simulation and principal components analysis to generate mutually independent risk scenarios. Components analysis was subsequently automated for cash fund risk budgeting.Developed market and credit risk policy and strategy; oversaw reporting of risk information to senior management and banking regulators, contributing to BGI's positive regulatory relationships.Oversaw market and credit risk technology projects (applications and database systems) leading to increased automation and improved risk oversight without adding staff, as assets under management increased 25% to $900 billion.Formulated responses to regulatory initiatives, such as Basel II (Market, Credit and Operational Risks) and to domestic and international regulators, leading to calibrated risk measurements among independent parts of the Barclays Group.BGI's Global Risk Management Group received Risk Magazine's Risk Management Award for 2003.

Managed a team that supported and developed processes and systems for quantification of derivatives credit exposure for the Bank's trading credit risk division. Team worked in concert with systems development groups to automate the calculation of derivatives exposures for interest rate and currency swaps and options using Monte Carlo techniques. Team also performed analyses and assessments for non-standard transactions.

Developed market risk analytics and systems solutions for traded securities (derivatives, foreign exchange, fixed income securities, futures and options).Managed development of three market risk systems used for trading risk, internal risk control and regulatory reporting. Development was a regulatory requirement under Basel I and was also used for Risk-Adjusted Return on Capital (RAROC) analysis. Development of the foreign exchange system led to intraday FX market risk reporting (four-year historical simulation of 100,000 forward transactions in under 5 minutes), which was subsequently used for marketing purposes by the Bank's FX group.Designed market risk analytical models and spreadsheet implementations to support certification of these systems.Developed correlated Monte Carlo processes using Cholesky and Box-Mueller transforms to supplement historical simulation when historical data was sparse. Additional research reformulated these results for Levy distributions, leading to techniques for correlated draws from large classes of probability distributions.Advised senior management on reliability and accuracy of vendor based market risk systems.Presented Value-at-Risk methods and systems at professional conferences and Bank sponsored marketing events.Modeled financial investment portfolio risk and return on an ad hoc basis, using integral equations and stochastic PDE, numerical analysis, correlation and optimization techniques.

Monitored and reported global market risk exposures arising from proprietary trading activities for senior risk management.Compiled and published bi-weekly briefing and monthly reports of the Bank's trading positions for FX, interest rate derivatives and securities and performed database programming to support reporting activities.Performed market and credit risk assessments for derivatives investment proposals.

Developed back office annuity processes and reporting. Performed margin account maintenance, including credit decisions for high-worth clients. Developed databases to track sales associates and supervisors and to track securities payment claims. Researched and resolved outstanding payment irregularities arising from corporate trust activities.

Managed the claims desk, included research and resolution of payment errors, MIS of the Shareholder Relations team.

Fee Arbitration agency, set up arbitration panels and generated associated legal documents. Took over MIS for group during outside audit.

Various contract positions as a classical and theater pianist:Santa Cruz Symphony (2nd pianist, performing Saint-Saens Symph. no 3)Kaleidoscope Ensemble (solo pianist, performance of Tomfoolery - music of Tom Lehrer)