Larry Wu, Cfa Email & Phone Number

El Segundo, California

 Asset management risk oversight of market, credit and interest rate risks on a $100bn+ fixed income asset portfolio including RMBS, CMBS, ABS, CLO, Corporate Bonds and residential and commercial mortgage loans. Evaluate investment structures, risk profiles and pricing mechanisms. Recommend diligence steps. Assess asset allocation considerations. Review and approve large investment transactions. Manage a team and lead risk monitoring activities: identify and analyze portfolio credit risks; monitor asset / liability cash flow and duration mismatches; evaluate portfolio risk appetite; review & approve asset allocation and trading limits.

Calabasas, Ca

Residential mortgage loan portfolio management role with thorough understanding of mortgage loan life cycle including origination, servicing, loan resolution, default / prepayment analysis, mortgage insurance and MBS/CMO securitization structures. Led a team in mortgage insurance risk analysis & claim performance modeling to support the Bank’s settlement negotiations on legacy loan portfolios with seven mortgage insurers.  Developed and enhanced loan delinquency transition model to forecast mortgage portfolio (approx. $200bn) delinquency trend, charge-offs and ALLL provisions based on borrower credit, historical performances and prevailing market conditions. This model brought additional insight in early detection of the bank’s credit exposures and improved P&L and Balance Sheet manageability.  Led a team of associates in pricing, trading and managing a portfolio of acquired mortgage loans. Modeled portfolio cash flows, analyzed portfolio prepayment, default frequency (PD) and loss severity (LGD) assumptions, identified risk attributes and conducted scenario analysis. Performed collateral credit analysis. Initiated strategies to reduce losses by 8% on a $70bn portfolio. Collaborated with statistical modeling team to perform stress tests, scenario and sensitivity analysis to develop and improve regression & simulation models in projecting default and loss severity performances of a $200bn portfolio during 2007-2009 financial crisis. The analysis of this modeling project led to $5bn reserve positions that paved foundation for the Bank’s future financial strength and helped regain investors’ confidence. Worked closely with A/L manager in economic capital and liquidity forecast during financial crisis. Researched liquidity alternatives such as covered bonds in effort of building additional capital resources. Working knowledge on financial instruments and derivatives including repos, covered bonds, FHLB advances and CD issuance.

Bloomington, Mn

Sell side (securitization) MBS trading floor experience.

Managed a portfolio of retained subordinate & residual Mortgage-Backed Securities (CMO/MBS) and NIMs/CDOs at more than $200mm face value. Reverse engineered CMO structures. Monitored security performance and trigger events. Coordinated with Servicing Department in evaluating credit performances of underlying mortgage loans and initiated loss mitigation strategies that reduced loss rate by 20+%.