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(Updated 2020-01-09)

Data Scientist

Chicago, IL, USA

Native English,

  • R language
  • Python
  • MySQL

Skills (84)

QUANTITATIVE ANALYSIS

STATISTICAL ANALYSIS

KNOWLEDGE MANAGEMENT

MS SQL Server

Python

SUBJECT MATTER EXPERT

R Language

SQL QUERIES

Visual Basic

Excel

TRADING

QUANTITATIVE

DOCUMENTING

Programming

VISUALIZATION

SOFTWARE

PREDICTIVE MODELING

PREDICTIVE ANALYTICS

Risk Management

Oracle

STORED PROCEDURES

SQL

Data Analysis

SQL Server

MySQL

EXCHANGE

Analysis

DERIVATIVES

VBA

CREDIT

SQLite

PROGRAMMER

SECURITIES

DOCUMENTATION

CASH FLOW

PRICING

SYBASE

LIABILITY

Data Migration

Hadoop

BUSINESS REQUIREMENTS

XML

Implementation

QUALITY CONTROL

OOP

SPSS

LEARNING MANAGEMENT

SAS

SYSTEMS DEVELOPMENT

MARKETING ANALYSIS

MATPLOTLIB

MATLAB

SYSTEM DEVELOPMENT

Automation

INSTRUCTOR

Business Analysis

Design

FAS

NUMPY

OPERATIONS

NEURAL

REQUIREMENTS GATHERING

CLINICAL TRIALS

MONTE CARLO

TENSORFLOW

EXPERT SYSTEMS

FORECASTING

NEURAL NETWORKS

FEASIBILITY

OPEN SOURCE

Java

ESTIMATING

PROJECT PLANS

SYSTEMS SUPPORT

COMMERCIAL REAL ESTATE

WORKFLOW

Strategy

TEST PLANS

DB2

Objective C

REAL ESTATE LENDING

AUDIT

DECOMMISSIONING

CPR

Professional Experience

DATA SCIENTIST
MILESIUS CAPITAL RESOURCES

2017-09 - Present

Updated CCAR compliance. Subject matter expert in OTC derivatives collateral pricing
• Assessed credit default swap pricing through predictive modeling methods (e.g. clustering/association model)
• Led requirements gathering and analysis in Agile environment for team members, and other stakeholders.
• Python-based machine learning using pandas, numpy, scikit-learn, boto (accessing Amazon AWS), and TensorFlow
• Performed Bayesian time series and econometric analysis of exogenous market variables, modeled in open source software.
• Developed statistical analysis system in R using components from the tidyverse environment (e.g. dplyr, ggplot, readr, broom). Managed code changes in git, and Jira.
Tools/languages used: R, Python, Spark, AWS, Azure, Excel, SQL Server, SSIS, SSRS,VBA
Client includes: large money-center bank, retail marketing survey firm

QUANTITATIVE ANALYST
INSIGHT GLOBAL

2017-05 - 2017-07

Prepared CCAR compliance documents in LaTeX and R programming language. Edited documentation and created figures for publication. Used Sweave and Knitr to interface R code into LaTeX documents.
Tools/languages used: LaTeX, R, Sweave, Knitr

DATA SCIENTIST
Bank of America

2009-11 - 2017-05

Business and technical advisor with hands-on experience in predictive analytics and reporting in cloud-based systems, responsible for assessing business scenarios, implementing risk management policies, and creating quantitative models.
• Created stress scenarios and programming code for DFAST and CCAR regulatory stress tests for deposits, residential mortgages, and small business loans, saving the banking clients from regulatory fines often in the tens of thousands of dollars. Updated risk summary documents with test results.
• Lead small teams of analysts and developers
• Streamlined market risk procedures, saving time of back office operations, thus reducing staffing hourly needs. Functioned as subject matter expert for OTC interest rate derivatives structure for data migration project. Prototyped and validated Economic Capital, Value-at-Risk, capital adequacy, and credit risk models.
• Conducted business analysis and quantitative modeling of large-scale client/server application and databases saving clients up to $5 million in infrastructure costs.
• Managed and coded application development projects using C++ and Python for clinical trials, market research, and capital markets trading risk management systems.
• Coded global large scale data analysis application with cloud-based tools in Amazon AWS using MapReduce ("divide and conquer") software to produce deliverables in brief timeframes.
• Used Microsoft Azure Machine Learning Studio and Virtual Machines to produce predictive marketing models.
• Served on speaker panels as both a moderator and speaker on topics such as data science, quantitative finance, and information systems. Delivered customized in-depth training on financial concepts and risk management practices.
• Interacted closely with business users, analysts and developers. Wrote software for quantitative analysis of capital markets in statistical languages: MATLAB, R, Haskell, and Python.
• Performed Bayesian time series and econometric analysis of exogenous market variables, modeled in open source software.
Tools/languages used: MATLAB, R, Haskell, Python, matplotlib, numpy, scipy, pandas, scikit-learn Hadoop, MongoDB, Java, C++, Excel, Spark, SQL Server, SSIS, SSRS,VBA, C#, Amazon AWS, LaTeX, Oracle
Clients include: Defined Benefit Pension firms, money-center banks, trading firms, futures exchanges, power/energy quantitative consulting group, medical research institution, and life/P&C insurance company, and proprietary trading firms.

ADJUNCT FACULTY
Roosevelt University

2014-09 - 2017-05

• Taught graduate-level courses in information systems management and finance. Advised students, prepared curriculum design and computer lab assignments.
• Recognized as an approachable and experienced instructor combining theory and practice.
Courses taught: Principles of Finance, Information Resource Management, Financial Markets and Institutions, Finance for Decision Makers, Advanced Derivatives

Subject matter expert

2015-09 - 2016-05

in equities and options assigned to write programming code in Python using the Anaconda technology distribution (e.g. matplotlib, numpy, scipy, pandas, scikit-learn) for trend detection in market surveillence.
• Text mining trading blotters using awk and Python tools.
• Enhanced the intraday price slope change analysis, useful for detecting insider trading.
• Performed ETL and data migration of unstructured big data sets.
• Maintained big data sets in Google Cloud, querying SQL and noSQL tables
Tools/languages used: R, Python, matplotlib, numpy, scipy, pandas, scikit-learn , SQLite, LaTeX, Markdown

SUBJECT MATTER EXPERT
PROMETRIC

2015-03 - 2015-09

Research and develop test questions for use on college level exemption exams. Member of review panel for questions to be admitted to final test bank in finance and information systems.

QUANTITATIVE DEVELOPER
TEKsystems

2014-05 - 2014-10

Subject matter expert in OTC derivatives collateral pricing on an Agile team to engineer straight-through processing solutions for compliance, governance, and risk.
• Revised automation system for OTC portfolio valuation system in Python.
• Advised senior managers of OTC collateral regulations and strategy.
• Conducted business analysis of workflow and data flow throughout the information chain.
• Advised on network and software implementation of data quality control.
• Managed small team of developers and mentored analysts to project objectives.
• Mentored junior staff in financial concepts such as credit downgrade risk, loss given default, and OTC collateral rules from the Federal Reserve Bank (FRB) and European Market Infrastructure Regulation (EMIR).
Tools/languages used: R, Python, C++, Excel, SQL Server, SSIS, SSRS,VBA, C#

QUANTITATIVE DEVELOPER
Bank of America

2011-10 - 2013-12

Subject matter expert in OTC derivatives collateral pricing on an Agile team to engineer straight-through processing solutions for compliance, governance, and risk.
• Wrote automation system for OTC portfolio collateral valuation system in Python from a system that originally existed as a multi-spreadsheet VBA automation risk measurement framework, reducing collateral preparation expense by greater than $800,000 annually.
• Assessed FICO credit scoring through predictive modeling methods (e.g. clustering/association model)
• Led requirements gathering and analysis in Agile environment for team members, and other stakeholders.
• Wrote queries and performed analysis on bank proprietary cloud server cluster ("Sandra")
• Eliminated performance bottlenecks and correct computational errors during its conversion to Python environment saving the bank from audit risks and continual recoding of calculations costing $500,000 annually.
• Mentored junior staff members and advised on both financial and technical issues. Mentored junior staff in financial concepts such as credit downgrade risk, loss given default, and OTC collateral rules from the Federal Reserve Bank (FRB).
• Conducted business analysis of workflow and data flow throughout the information chain.
• Consulted on network and software implementation of data quality control.
• Managed small team of developers and mentored analysts to project objectives.
Tools/languages used: R, Python, C++, Excel, SQL Server, SSIS, SSRS,VBA, C#

ADJUNCT FACULTY
IIT STUART SCHOOL OF BUSINESS

2008-05 - 2011-06

• Taught fixed income trading, structured fixed income portfolios, econometrics, and financial time series analysis using advanced analysis methods, such as PCA, autocorrelation, GARCH, Kalman filtering; and critical use of software such as MATLAB and R, and S-Plus.
• Recognized as an approachable and experienced instructor combining theory and practice.
Courses taught: Structured Fixed Income Portfolios, Econometric Analysis, Financial Time Series Analysis

PRINCIPAL RISK ANALYST
Bank of America

2008-09 - 2009-07

Financial and market risk analyst responsible for econometric forecasting models and tracking the growth of nuclear plant decommissioning funding.
• Led analysis of cash flow at risk systems to extend to all business units having either an interest rate risk exposure or equity market exposure avoiding losses that formerly exceeded $2.5 million.
• Led requirements gathering and analysis in Agile environment for team members, and other stakeholders.
• Wrote complex SQL queries, joins, constraints, and stored procedures
• Assisted and led junior staff on marketing strategy and data process roadmaps.
• Created systems for tracking enterprise risk levels across various business units using multivariate model.
• Produced statistical analysis of energy holding company for senior management.
• Revised and validated PJM power hub market forecasting model using regime switching (peak/off-peak load) and seasonal ARIMA method.
Tools/languages used: Microsoft suite of tools (Excel, SQL Server, SSIS, SSRS), R, SAS, Python, C++, LaTeX, MATLAB

SENIOR QUANTITATIVE ANALYST
LASALLE BANK, N.A

2003-11 - 2007-12

Senior quantiative analyst responsible for managing financial software packages, communicating with other bank departments, producing and maintaining risk and regulatory models.
• Created and maintain 3 terabyte data warehouse of mortgage data.
• Managed transition and upgrades of financial analysis and reporting software packages saving the bank up to $250,000 annually in license fees.
• Wrote complex SQL queries, joins, constraints, and stored procedures
• Served as consultant and liaison internally, and to other groups within the organization on matters of computer science theory, risk modeling, and financial engineering using Value-at-Risk, Expected Shortfall, yield curve analysis, and various numerical methods for a $23 billion portfolio of loans.
• Directly managed and mentored interns and other junior staff members.
• Advised on and led projects in Economic Capital, Regulatory Capital (Basel II).
• Taught short courses in market, operational, and liquidity risk through statistical analysis saving the department $35,000 in annual training costs.
• Responsible for systems implementation and business analysis related to streamlining operations for ALM operations, especially related to mortgage-based products and their derivatives.
• Developed and interpreted sophisticated financial models and tools to measure analytics such as convexity, OAS, CPR, Economic Capital, and VaR.
• Led data mining project of methods in knowledge discovery and data visualization of risk-based analytics. Improved and maintained servicing and origination models using MIAC software in the QRM suite of Asset Liability and Servicing tools.
• Acted as the group's Disaster Recovery coordinator. Improved and maintained Business Continuity Plans.
Tools/languages used: QRM, MATLAB, Java, C++, R, VBA, LaTeX, SAS, Oracle, SQL Server

INDEPENDENT CONTRACTOR

2002-07 - 2003-11

Programmer/analyst hired for short-term coding projects for capital markets firms.
• Wrote procedures to price derivatives, created systems to measure and communicate market risk.
• Performed quantitative analysis of option volatility surfaces; calculated equity option risk measures ("greeks") and higher-order measures (e.g. vomma, vanna, color, charm, speed).
• Implemented Monte Carlo simulation methods to test trading strategies.
• Designed C++ class library for derivatives risk management and accessor libraries to MATLAB and SQL Server.
• Created GARCH risk model for FX swap trading client.
Tools/languages used: MATLAB, C++, Java, R, VBA, LaTeX, bash, SQL Server
Clients include: trading advisory company, hedge funds

LEAD ANALYST
BANK ONE, N.A

2000-10 - 2002-07

Quantitative analyst responsible for maintain trading desk risk measures, back office reporting, and documenting procedures.
• Worked in the derivatives middle office, one-on-one with traders, reconciled accounts, measured risk exposure of fixed-income and energy futures books of $12 billion.
• Led junior staff in meeting analysis deadlines, and taught short courses in middle office risk management.
• Wrote procedures to streamline derivatives processing, created systems to measure and communicate market risk, reducing staffing hourly requirements by $15,000 daily.
• Responsible for systems implementation and business analysis related to streamlining operations for equity, commodity, credit, and interest rate derivatives.
• Supported the unit by: coordinating with operations, systems support, and systems development teams.
• Completed project plans, test plans, training materials, operational procedures, and other documentation related to the systems project life cycle.
Tools/languages used: MATLAB, Objective C, Java, LaTeX, R, VBA, IBM DB2, Sybase

BUSINESS ANALYST/TEAM LEADER
HELLER FINANCIAL, INC

1998-05 - 2000-09

Analyst responsible for assessing requirement gaps in asset management and risk applications, led development and wrote software for risk management system.
• Created software to track the profitability of commercial real estate portfolios.
• Led system development to measure Treasury Hedge Effectiveness (FAS 133) to avoid audit risk costing approximately $150,000.
• Supervised application development for multiple teams with Asset Backed Securities, MBS, treasury operations, derivatives, and leasing.
• Responsible for the measurement, quantification, and communication of all interest rate and foreign exchange risk. Integrated the front and back office to manage, account, analyze and value debt and derivatives portfolios, covering swaps, caps, FRAs, futures, options, foreign exchange spot and forwards, and bond forwards for derivative books approximately $800 million of notional value.
• Mentored junior staff in financial concepts such as mortgage-backed securities and foreign exchange.
• Led groups on my "Money Tour" campaign to show staff the operations at the Federal Reserve Bank, Chicago Stock Exchange, and the Chicago Board of Trade.
Tools/languages used: C++, VBA, Oracle, SQL Server

Academic Background

Bachelor of Professional Studies
Roosevelt University

2021-10 - 2021-10

Master of Business Administration
Illinois Institute of Technology

2021-10 - 2021-10

PhD
Walden University

2021-10 - 2021-10

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