More than another productive member of a team; able to increase the productivity of my department by finding and using the best tools for each project.
Able to learn quickly and find answers to questions outside my immediate expertise. Can investigate complex data / model issues and communicate them to management.
Risk Management Consultant: Wells Fargo Home Mortgage - Hedge Research and Analytics
August 2010 - Present
- Helped enhance and maintain models and methods to measure market risk, primarily interest rate risk associated with hedging of mortgage servicing rights.
- Assist in development, testing, and implementation of the Algorithmics risk watch system.
- Assist in the research and development of a robust system for duration/convexity measurement and construction of MBS profiles.
- Implement and test derivatives and mortgage valuation models using C++ and Python.
Risk Management Consultant: Wells Fargo Home Mortgage - Whole Loan Valuation and Analytics
January 2009 - August 2010
- Helped implement the HAMP model in Excel/VBA, including providing assistance to fellow servicers. Suggested a company-wide, web-based solution. Assisted in the deployment of said solution.
- Lead initiative to move valuation and analysis infrastructure from Excel/VBA-based solution to a distributed computing environment, which reduced run-times from hours to minutes.
- Minimized operational risk by fully integrating pieces of our valuation framework and automating the calculations of several model assumptions.
- Perform regular valuation, forecast, and return analyses on the company's whole loan portfolio -- including new acquisitions and loan modifications.
Risk Management Consultant: Wells Fargo Home Mortgage - Servicing Portfolio Management
January 2006 - December 2008
- Designed customer retention reporting infrastructure, analyzed customer transition characteristics, evaluated retention forecasting model and suggested improvements.
- Developed sub-prime ARM reset analysis, which examined post-reset default risk due to higher mortgage payments and potential inability to refinance.
- Enhanced short-term prepayment model accuracy via outlier detection and removal.
- Used R to decompose interest rate model performance from overall prepayment model performance.
- Wrote a C++ plug-in to greatly improve Stata aggregation speeds.
- Enhanced and automated production processes; making them more flexible, robust, and easier to run/debug.
Research Analyst: Federal Reserve Bank of St. Louis
January 2004 - January 2006
- Contributed to memos and presentations on current economic / monetary policy issues and financial conditions for FOMC briefings and Federal Reserve publications.
- Co-authored "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market" Forthcoming in the Journal of Financial and Quantitative Analysis.
- Manipulated and summarized high-frequency options, futures, and foreign exchange data in SAS and GAUSS.
- Used R to 1) estimate implied forward rates, and 2) determine optimal regression lag structure.
- Acquired and manipulated data from multiple sources (e.g. Haver, CME, TickData).
Portfolio Manager Assistant: TIAA-CREF Trust Company
June 2002 - December 2003
- Used Excel/VB to include non-traditional asset classes in asset allocation optimization tool.
- Conducted statistical portfolio analytics (risk/return, pro forma, tracking error) for client presentations.
- Automated portfolio rebalancing ticket generator in Excel/VB and recommended portfolio allocations.
B.S. / M.A., Economics University of Missouri-Saint Louis
1999 - 2005
Mathematics Minor - calculus series, linear algebra
Finance Minor - accounting, corporate finance, investments
Simon Kuznets Essay Award - 2002
Elizabeth M. Clayton Memorial Scholarship
Focus on applied and time-series econometrics
Activities and Societies:
- Omicron Delta Epsilon - International Economics Honor Society
- National Association for Business Economics
- Presented at University Missouri-St. Louis Undergraduate Research Symposium
- Tactical asset allocation
- Stock market trading systems
- Interest rate models
- Data mining and visualization
- Racing on Gran Turismo