Bank of America Merrill Lynch, Risk Management Technology, New York, NY (May 2005 - present)

Credit Risk Quantitative Developer

• Nov 2016 - present: Member of the Real Time Credit Risk team to maintain and enhance the Quartz What-If System: Excel and Web 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 function coverage to include IRSwaps (In-Arrears, Compounding, Averaging), Forwards, and Options for Commodities; Equity Forwards, Options, and Swaps; and Aggregation, including Custom Credit Terms.
• Utilized back-end Python to call the C++ Front-office Quantitative library to support these Excel functions.
• Dec 2012 – Nov 2016: Major contributor to the design and development of a flexible Aggregation Platform, which implements business requirements for various aggregation types by dynamically building trees and executing methods while traversing those trees.
• Implemented the tree-building subsystem of the platform using Python's cElementTree, which formed the core of the platform.
• Programmed many essential components, such as Reference Data loading, Front-office Quantitative library interface, and avro-formatted output, to make the platform more robust and efficient.
• Designed and implemented a regression test framework for the Aggregation Platform, along with a corresponding GUI. This framework executes any of the Aggregation APIs in Capture mode, creating a baseline of data from any of the tree's nodes (including the tree itself), and in Verify mode, compares it against the previously certified baseline.
• Jan 2009 – Nov 2016: Worked on Credit Studio (CS), a flagship Credit Risk System for daily credit risk valuation and aggregation based on Monte Carlo simulation, including the User Valuation Override (UVO) platform and analytics for custom Cash Flow instruments.
• Co-designed and implemented the User Valuation Override (UVO) platform, an alternative Credit Risk Valuation system that allows Quants to provide their own valuation formulas using algebraic expressions with predefined variables and embedded functions.
• Created an execution environment that auto-generates and compiles Java code containing users' formulas to be used during batch processing and GUI simulation.
• Implemented several embedded functions within the UVO platform, including Black-Scholes-Merton with built-in scenario generation.
• Designed and co-implemented the next generation of UVOs, which allows for multidimensional modeling, offering greater flexibility and precision in the valuation process.
• Redesigned and implemented analytics for custom Cash Flow instruments, such as Fees and various types of Swaps (Vanilla, Zero Coupon, Compounding, In-Arrears, Averaging), ensuring accurate and reliable valuation results.
• May 2005 – Jan 2009: Member of a Banc of America Securities, LLC team responsible for implementation of a Credit Risk Exposure system called XCalibur and its real-time risk analysis interface called WhatIf.
• Collaborated closely with the Quant research group to work on data loaders and closed-form solutions for various FX Instruments, IRPs, and PBs, such as FX Barrier Options, Swaps (including In-Arrears, Simplified Averaging, FX Linked Floating Notional, Zero Coupon, Vanilla with no Amortization), and Prime Brokerage instruments such as Stock, Warrant, and Convertible Bond.
• Added several financial functions, including Generalized Black-Scholes-Merton for European Options with dividend yield, American Option Approximation with Barone-Adesi and Whaley using a Newton-Raphson Method, Convexity Adjustment, and Geometric Brownian Bridge.
• Designed and implemented the "Valuation Overrides" process, which replaced the standard valuation formula for a particular Instrument Type with another formula at the Trade level, using a set of Simplified Valuation Functions classes, an Execution Framework based on the Java Reflection API, a bulk file data loader, a Workflow Web interface, and graphical capabilities.
• Wrote an optimization routine to minimize blade 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.

Applied Information Partners, Inc. Somerset, NJ (April 1998 - May 2005)

Technical Leader

• As a technical manager, led development teams working on various projects for pharmaceutical, biotechnology, chemical industries, and nonprofit organizations.
• Designed and developed numerous multi-tier Internet/Intranet information systems using JSP/JavaScript for the user interface, server-side Java and Oracle/Sybase/MySQL/Domino R5/R6 in the back end, and XML for data exchange.
• Supervised the company's test automation effort.

Notable Projects:

• Led the development of a collection of information systems to track, analyze, and budget complex toxicology studies as well as manage audits for scientific research. The Web interface was a combination of JSPs/JavaScript/Domino Views, with MySQL used as the database. All database queries and calculations, such as statistical analysis and dynamically interpreted user-submitted algebraic formulas, were coded in server-side Java.
• Developed Internet/Intranet applications to support Pfizer's 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. Web services were used for data synchronization.
• Created a 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., and 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.
• Led the development of 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, with data conversion procedures from earlier database implementations 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.

DMR Trecom, Edison, NJ (July 1996 - April 1998)

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 supercomputers (Cray/Sun Fire).
• Led the scoping effort and developed the staffing plan for the testing team, including hiring and training 10 analysts. Provided technical leadership for the testing effort throughout all phases of the development process.
• Designed and developed visual (JavaScript) and command-line (Perl) testing tools, including a system for automated regression testing, for the proprietary command-line environment of the data warehouse.
• Gathered requirements, designed, programmed, and supported several internal information systems based on Lotus Domino, including a bug/issue/request tracking system and a test case tracking system.
• Administered the Lotus Notes server.

Tekmark Computer Services, Edison, NJ (July 1995 - July 1996)

Consultant (QA Developer) at Bellcore

• Designed and developed an automated testing system for the Advanced Intelligent Network Integrated Service Control Point (ISCP), which enabled the creation, validation, and support of advanced telephone services using a graphical Service Creation Language.
• Gathered requirements and co-designed the testing system for the ISCP.
• Established the class hierarchy and programmed 4Test classes to be used in creating testing scripts, and wrote and executed testing scripts.
• Assigned development tasks to other members of the automation team and tracked the development progress.

Beechwood Data Systems, Inc., Clark, NJ (August 1992 - July 1995)

QA Manager / Senior Member of Technical Staff

• Developed and maintained medium to large-scale information systems for major telecommunication industry clients such as NYNEX, Bell Atlantic, Bell South, AT&T, and Bellcore.
• Designed, developed, and maintained office automation systems.
• Designed, programmed, and supported various internal information systems including Bug Tracking, Test Execution Tracking, Library System (including proprietary documents library), Time Sheet System, Client/Project/Employee Databases, and Job Assignment Systems. Utilized Paradox/Object PAL, Access, and Lotus Notes.
• Co-founded the Quality Assurance group, 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) to streamline the testing process.
• Defined requirements and programmed an interface between an external billing system and an Access Ordering System using C/SQL.

SEER Technologies, Inc., New York, NY (November 1990 - August 1992)

QA Analyst

• Managed and maintained the High Productivity System (HPS) CASE Toolset.
• Prepared and tested various tools and applications, ensuring their functionality before moving them to the production repository.
• Analyzed problems and bugs that occurred during both development and production phases, and wrote formal proposals to address these issues.
• Programmed and provided support for a time tracking system using Excel.

National Program Holdings at Cybernetics Institute, USSR Academy of Sciences, Kiev (June 1984 - August 1989)

Project Leader, Programmer/Analyst, Mathematician

• Contributed to long-term projects for the Institute of the Physics of Metals and the Cybernetics Institute of the USSR Academy of Sciences.
• Designed an information system that maintained a subroutine library for spectrum analysis, including interactive retrieval, auto-indexing, and test running of programs. Supervised the development team for this project.
• Developed, installed, and maintained numerous scientific application programs.
• Conducted research on discrete optimization methods for microprogram controlling automata, which formed a significant part of the Ph.D. program.