March 2002 – May 2008
Executive Vice President and Head of Institutional Risk of ACA Capital Holdings (ACA), a hybrid financial products and insurance company with risk positions and assets under management exceeding $90 billion. Reported to the CEO and to the Board of Directors. Responsible for firm-wide, enterprise risk management (ERM), quantitative modeling, information technology, and data integrity. Created proprietary cash-flow and Monte Carlo simulation models of credit, interest rate, and derivative pricing and risk for CDO and Structured Credit transactions in Visual Basic and C#. Recruited and managed a team of quantitative finance professionals. Managed the Information Technology function and led the technical development of proprietary database systems for trading and risk management.
June 2008 – March 2010
Managing Director within the Financial Engineering practice of Duff & Phelps, LLC – a worldwide financial consulting firm. Activities included direct contact with clients (hedge funds, private equity firms, financial institutions) and review of client activities to formulate and execute beneficial advisory projects. Special focus was on derivative transactions and structured products (RMBS, CDOs, CMBS, et cetera). Leading role in the Lehman Brothers bankruptcy court Examiner investigation that yielded important findings for funding, leverage, collateral, liquidity, and valuation challenges that led to the bankruptcy.
July 1997 – February 2002
Senior Vice President and Credit Derivative Product Manager of Sumitomo Mitsui Banking Corporation Capital Markets (SMBC CM). Primary task was to lead the development of a business in credit derivatives. Duties included business development (products, distribution, et cetera), execution of trades, the construction of models (Excel Visual Basic and C/C++ routines with market data feeds) for pricing and risk management, and creation of necessary trading and operational systems. Primary focus was on managing economic and regulatory capital for the parent bank’s US and Asian corporate loan portfolio.
October 1995 - July 1997
Senior Risk Manager in the Capital Markets Services group of the Financial Guaranty Insurance Company. Responsible for all risks (market, credit, liquidity, operational, et cetera) in the firm’s ($6 billion) financial services for municipalities (primarily guaranteed investment contracts and asset management). Managed the capital markets IT function. Helped conceive, launch, and obtain triple-A ratings for a new special-purpose vehicle.
May 1994 - October 1995
Senior Analyst in the Structured Finance group within the Corporate division of Moody's Investors Service. Primarily responsible for research in the credit and market risks of structured notes and credit derivatives. The results of such research include the development of new rating businesses (e.g., individual security and mutual fund market risk ratings) as well as Moody's, industry, and academic publications. Also active in rating guaranteed investment contracts (GICs), collateralized bond/loan obligations and other special purpose vehicles.
February 1993 - May 1994
Assistant Vice President in the Risk Analytics Unit of Citicorp North America Global Finance. Had primary responsibility for the analysis and measurement of credit risk in all "non-standard" and "emerging market" derivative transactions originating in North America, Latin America, South America and Southeast Asia. Such transactions included derivatives on equities, equity indices, debt securities, single currency interest rate swaps, cross currency swaps, foreign exchange contracts and commodities. Also responsible for validating and generating pricing models for derivative instruments. Activities required extensive computer model development (FORTRAN, C and spreadsheet programming) and daily communication with traders and financial engineers.
January 1987 - February 1993
Assistant Professor in the Department of Mathematical Sciences of Rensselaer Polytechnic Institute. Conducted independent research in the mathematics and physics of operation of various semiconductor devices. Discovered (with a colleague) a novel, superresolution spectral estimation algorithm. Taught classes on the subjects of ordinary differential equations (graduate and undergraduate), advanced mathematical modeling (graduate), numerical computing (undergraduate), probability, statistics and calculus with symbolic computing.
June 1980 - January 1987
Staff Physicist at the General Electric Corporate Research and Development Center, Schenectady, New York. Directed and coordinated the fabrication of Charge-Injection Device (solid-state) imagers. Suggested and studied design and fabrication innovations to improve quantum yield and signal/noise ratio of these imaging devices and won a 1982 (General Electric) Dushman Award for this advanced development work. Successfully led the development of a radiation-hard, MOS fabrication process. Studied channel hot electron reliability in short-channel NMOS FETs and made new contributions to this field. Derived and solved numerically a new set of semiconductor device equations for more accurate modeling of device physics.