Vice President, Quantitative Risk

Lead Economic Scenario Generation Group
Risk management, including dynamic hedging of EIA and VA blocks
Dynamically hedging multiple Greeks (Delta, Rho, Gamma, Vega, etc.)
Modeling interest rates and equity markets
Pricing derivative securities via semi-closed form and Monte-Carlo
Manage several associates with graduate degrees
Provide company-wide consulting on capital markets related issues

Adjunct Professor of Finance in Saint Louis University Business School

Teach MBA “Fixed Income Securities and Markets” and "Investments" courses

Education:

Ph.D. Financial Econometrics 2006, Washington University in St. Louis
M.S.B.A. Finance 2002, Washington University in St. Louis
M.A. Statistics 2001, Washington University in St. Louis
B.S. Finance 2000, Washington University in St. Louis

Research interests:

Bayesian estimation of continuous and discrete-time asset-pricing models
Hedging in Incomplete Markets
Bayesian estimation of Dynamic Stochastic General Equilibrium models

Papers:

"Yield Curve Estimation and Model Comparison in Discrete Time," working paper
"Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics & Control, Elsevier, vol. 33, pages 624-648, 2009
"Joint Estimation of Affine Jump-Diffusion continuous time model conditional on both: time-series of underlying and panel of options prices," working paper
"Discrete Monetary Policy Changes and Changing Inflation Target in estimated DSGE models," St. Louis Review, October/November 2005

Academic/professional activities:

Member: AFA, ISBA, SCE, AAA working group
Conference Presentations:
RGA Actuarial Seminars, Saint Louis, MO
SNDE Conference, Saint Louis, MO
"Computing in Economics and Finance" SEC Conference, Washington D.C. and Montreal, Quebec
"DSGE Models and Financial Sector" Conference, Eltville am Rhein
FOMC Briefing, August 2005, St. Louis, MO
Referee: JEDC, JEF

Other Professional Experience:

Visiting Economist, Federal Reserve Bank of St. Louis, (May 2004 - 2006)
Consultant for mutual fund managers, Eidelman, Finger & Harris, Inc., (May 2003 - August 2004)
Consultant for the hedge fund President and CEO, Crown Investment partners, LLC, (August 2001 - March 2004)
Investment Banking Analyst, Stifel Nicolaus, Inc., (May 2000 - July 2001)

Awards/honors:

James Ramsey Best Paper Prize at SNDE Conference, March 2006
Washington University Doctoral Research/Teaching Assistantship, 2001 - 2006
Washington University Doctoral Fellowship, 2000 - 2006
Golden Key National Honor Society
Recipient of Honors Program Faculty Invitation for outstanding undergraduate students
Dean's List at John M. Olin School of Business
Certified winner of many math and professional chess contests through highschool and college, including MAA

Personal interests:

Hobbies: computer gadgets, high-tech, body-building and various sports; non-professional interests: reading semi-scientific publications in such fields as relativity theory, cosmology, quantum mechanics, AI research, DNA research, quantum computing, etc.; professional chess player since early childhood