Extensive scientific background, broad industry and technology experience
Sybase , Oracle, MySQL, proprietary Object DB, Hadoop, Lotus Domino, Weblogic, Tomcat, WebSphere, Vignette;
Credit Risk Exposure calculations for Foreign Exchange (FX)
Instruments, Interest Rate Products (IRPs), Prime Brokerage (PB)
Math and its applications:
Financial Quantitative Mathematics; Discrete Optimization, some Statistical Analysis, Nuclear Physics data processing;
Project Management, Mathematical Algorithms Development, Object-Oriented Design and Development, Interactive Web Development, Automated Testing, Client/Server Development, RDBMS, Data Warehousing;
of America Merrill Lynch, Risk Management Technology, New York,
May-05 - present. VP - Credit Risk Quantitative Developer
Nov 16 - present. A member of Real Time Credit Risk team to maintain and enhance Quartz What-If System: Excel and Wed interface to create and price hypothetical trades (both trade and portfolio level) across all Bank's Credit Risk systems (legacy Credit Studio and newer open source Quartz)
Extended Excel functions coverage to various IRSwaps (In-Arrears, Compounding, Averaging), Forwards and Option for Commodities, Aggregation including Custom Credit Terms: using back-end Python to call C++ Front-office Quantitative library.
Dec 12 – Nov 16. The bank introduced a Python based open source Quartz framework to price trades, manage positions and calculate risk across the organization.
One of the original architects and developers of a flexible Aggregation Platform: business requirements for various aggregation types are implemented by dynamically built trees and methods executed while walking these trees.
Implemented the core piece of the platform: tree-building subsystem using Python's cElementTree
Programmed many important components such as Reference Data loading, Front-office Quantitative library interface, avro-formated output, etc.
Designed and implemented a regression test framework, along with a corresponding GUI, that executes any of the Aggregation APIs in Capture mode, to create a baseline of data from any of the tree's nodes-- including the tree itself. Also executes APIs in Verify mode to compare against the previously certified baseline.
Jan 09 – Nov 16. After Bank Of America acquired Merrill Lynch, I moved to work on the combined company flagship Credit Risk System called Credit Studio (CS). It's intended for daily credit risk valuation and aggregation based on a full Monte Carlo simulation. The system has a parallel architecture and runs on a cluster of blade servers.
Co-designed and implemented an alternative Credit Risk Valuation platform (UVO – User Valuation Override) that allows the Quants to provide their own valuation formulas (algebraic expressions with predefined variables and embedded functions). This execution environment auto-generates and compiles Java code containing users' formulas to be used during both batch processing and GUI simulation. The platform coexists with the main valuation engine effectively overriding the standard valuation methods when requested
Implemented many of UVO's embedded functions such as Black-Scholes-Merton with built-in scenario generation, etc.
Designed and co-implemented the next generation of UVOs which allows for multidimensional modeling.
Redesigned and implemented analytics for custom Cash Flow instruments: Fees, Swaps (Vanilla, Zero Coupon, Compounding, In-Arrears, Averaging).
May 05 – Jan 09. A member of a Banc of America Securities, LLC team responsible for implementation of a Credit Risk Exposure system called XCalibur and it's real time risk analysis interface called WhatIf.
While collaborating closely with the Quant research group, worked on the data loaders and mostly closed-form solutions for many FX Instruments, IRPs, and PBs; FX Barrier Options (calculations based on Black76); Swaps: In-Arrears, Simplified Averaging, FX Linked Floating Notional, Zero Coupon, Vanilla with no Amortization; some Swaps included custom Cash Flows/Fees; Prime Brokerage: Stock, Warrant, Convertible Bond
Added a few Financial Functions (Generalized Black-Scholes-Merton for European Options with dividend yield; American Option Approximation with Barone-Adesi, Whaley using a Newton-Raphson Method, Convexity Adjustment, Geometric Brownian Bridge)
Designed and implemented so-called "Valuation Overrides" process: the standard valuation formula for a particular Instrument Type is replaced by another formula at the Trade level: a set of Simplified Valuation Functions classes; Execution Framework based on the Java Reflection API; bulk file data loader; Work-flow Web interface for supporting Valuation Overrides with an Audit Trail mechanism implemented as DB triggers; graphical capabilities
Wrote an optimization routine for the pack size to minimize blades idling at the end of each run
Co-wrote an adapter to invoke the new valuation library from the older real-time risk analysis system (WhatIf)
Coordinated overseas contractors on one of the company's portal development projects
Designed and implemented an automated Regression Testing Framework for Exposure calculations using JUnit
Information Partners, Inc. Somerset, NJ.
April-98 - May-05. Technical Leader.
Technical management of development teams working on various projects, for pharmaceutical, biotechnology, chemical industries, and nonprofit organizations
Supervised Company's Test Automation effort
The most interesting projects were the following:
- Internet/Intranet applications to support Pfizer’ operations. Some of these applications have both Online and Offline versions that use the same code base but work with Weblogic/Oracle and Tomcat/Sybase respectively. WebSevices were used for the data synchronization.
- Web enabled solution for a temporary staffing agency. The agency maintains a database of certified medical professionals. Hospital staffing coordinators post contracts, find qualified nurses, access complete nurse information including scanned documents such as licenses, etc., hire nurses. Meanwhile, nurses constantly update their availability by day/shift, respond to postings, and have full access to their schedule. The Web interface was implemented using JSPs. The main data repository was in Oracle while the workflow application was set up in Domino R5. Matching algorithms, queries and data transfer from Domino to Oracle were programmed in server side Java (servlets, JDBC). Data exchange with related systems was implemented in XML.
- Several implementations of distributed information systems to track minority and women suppliers as well as the Minority Executive Network of TUCK School of Business at Dartmouth . The systems were written in Lotus Domino; data conversion procedures from earlier database implementations were coded mostly in Perl; cross certifications with other tracking systems were written in Perl, Java networking, and XML, and some of the databases were synchronized over the Web using a combination of Notes replication and custom written Java agents.
LLC. East Brunswick, NJ.
October 02 - present. Co-founder, Architect and Developer.
The company was established to develop and market a system intended for real-time, redundant, autonomous monitoring of the status of Web applications. The full description of the system, downloads, and list of clients can be found at http://www.TestNetSoft.com
Designed and developed the system. The system implementation is based on a distributed Servlet / XML architecture. Testing is performed by a Testing Agent which remotely executes designated Test Pages residing on each Server. The Test Pages are dynamically generated pages such as JSPs, ASPs, etc. that output XML-formatted information to communicate the status of individual services (http, application server, SMTP, JDBC, etc.) back to the monitoring software. Other notable features include a custom XML-based database and its associated replication / synchronization mechanism
Managing company operations
Software utilized: Server side Java, XML
DMR Trecom, Edison,
July-96 - April-98. Technical Lead at AT&T Labs.
Technical Lead and Organizer of the System Test Team for one of the world's largest Data Warehouses, implemented on several super-computers (Cray/Sun Fire).
Designed, developed, administered, and maintained office systems and testing automation systems.
Original scoping effort and staffing plan, including hiring and training members for the testing team (10 analysts) and technical leadership of the testing effort throughout all phases of the development process.
Gathered requirements for, designed, programmed and supported several Lotus Domino based internal Information Systems, including a Bug/Issue/Request Tracking System and a Test Case Tracking Systems.
Administered Lotus Notes server.
Tekmark Computer Services, Edison, NJ.
July-95 - July-96. Consultant (QA Developer) at Bellcore.
Designed and developed an automated testing system for the Advanced Intelligent Network Integrated Service Control Point (ISCP). ISCP provided a set of functionalities to create, validate and support advanced telephone services using a graphical Service Creation Language.
Gathered requirements for and co-designed the Testing System.
Established class hierarchy and programmed the 4Test classes to be used to create testing scripts; wrote and executed testing scripts.
Assigned development tasks to the other members of the automation team, and tracked the development progress.
Software utilized: QA Partner/4Test/C++, SQL.
Beechwood Data Systems, Inc. Software
Development Company, Clark, NJ.
August-92 - July-95. QA Manager / Senior Member of Technical Staff.
Developed and maintained medium to large scale Information Systems for major Telecommunication industry customers such as NYNEX, Bell Atlantic, Bell South, AT&T, Bellcore, etc.
Designed, developed, and maintained office automation systems.
Designed, programmed and supported internal Information Systems: Bug Tracking, Test Execution Tracking, Library System including Proprietary Documents Library, Time Sheet System, Client, Project and Employee Databases, and Job Assignment Systems (Paradox/Object PAL, Access, Lotus Notes).
Co-founded the Quality Assurance group, including hiring and training Quality Assurance staff, defining Testing Policy and preparing testing documentation (deliverable and internal).
Tested, scheduled, and supervised the testing of most of the company's projects, throughout all phases of the development process.
Introduced testing automation (QA Partner).
Defined requirements and programmed an interface between an external billing system and an Access Ordering System (C/SQL).
Software utilized: Lotus Notes, Paradox/Object PAL, Oracle, Access, C/SQL, QA Partner/4Test.
SEER Technologies, Inc. Systems Development
Company (spinoff of First Boston with a major investment from IBM),
New York, NY
November-90 - August-92. QA Analyst.
Maintained High Productivity System (HPS) - CASE Toolset.
Prepared and tested Tools and Applications, before moving them to the Production Repository.
Analyzed problems and bugs that occurred during development and production, wrote formal proposals.
Programmed and supported a Time Tracking System, using Excel.
Software utilized: TSO/ISPF, DB2, Excel, Paradox for DOS.
National Program Holdings. Consulting Firm,
June-84 - August-89. Project Leader, Programmer/Analyst, Mathematician.
Long term projects for the Institute of the Physics of Metals and Cybernetics Institute of the USSR Academy of Sciences.
Designed an Information System to maintain a subroutine Library for Spectrum Analysis, including interactive retrieval, auto-indexing, and test running of programs. (Supervised the development team.)
Developed, installed, and maintained numerous scientific application programs.
Developed Discrete Optimization Methods for Microprogram Controlling Automatons, which was a major part of my Ph.D. research.
Software utilized: PL1, FORTRAN, C; VM/CMS/REXX, MVT/JCL.
Bank of America, New York, NY.
Continuing education in Financial Engineering.
Institute of USSR Academy of
Sciences. Kiev, USSR. 1985-1987.
Postgraduate studies and thesis "Methods of Discrete Optimization in Information Systems"
University, Faculty of Cybernetics (Computer Science) , Kiev,
M.S., Applied Mathematics specializing in Operations Research
2005 Patent application:
A method and a computer system to calculate material requirements for multi-stepped technological processes defined on a table of mixes and ingredients
1984-1990 A total of ten publications, including two articles in "Cybernetics and Systems Analysis" - one of the few Ukrainian scientific journals available in the USA. Numerous invitations to conferences/exhibitions