Feb 2023 – Present · 3 yrs 4 mos

• ► Recognized as the 2024 Compliance Champion for successfully leading the transition to a Product-Oriented Delivery (POD) work culture. Demonstrated excellence in compliance and leadership, first as a key team member and later as a POD owner, ensuring seamless adoption and adherence to best practices.
• ► Spearheaded product vision, backlog management, and prioritization as the Product Owner of the OTC, Cash, and Optimization Development POD, maximizing business value through close collaboration with stakeholders and development teams.
• ► Expanded CME reference rate calculation in the C++ analytics library to include CME Term €STR, providing forward-looking €STR rates based on derivatives market activity and eurozone banks’ borrowing costs.
• ► Drove development initiatives to strengthen the Treasury Cross-Margining arrangement and methodology between CME and FICC, enhancing capital efficiencies for clearing members.
• ► Directed the risk model development endeavors to streamline the clearing of US Treasuries, ensuring seamless operations across the clearing ecosystem.
• ► Orchestrated the transition of Interest Rate and Foreign Exchange products from SPAN to SPAN2 risk framework, enhancing risk management and operational efficiency.
• ► Successfully migrated an on-premises Data Cleansing Tool to Google Cloud Platform, implementing an automation framework for resource provisioning and continuous integration/deployment processes. This enabled efficient data management and analysis, facilitating the generation, cleansing, and extension of historical risk data while accommodating various product specifications and relationships.
• ► Managed development efforts to support MXN Overnight TIIE Funding Rate (F-TIIE) and PLN Warsaw Interest Rate Overnight (WIRON) swap clearing.

Feb 2019 – Feb 2023 · 4 yrs

• ► Collaborated with risk managers to implement the USD LIBOR fallback pricing and margining methodology for Eurodollar futures, Eurodollar options, and USD LIBOR cleared swaps.
• ► Mentored quant developers to implement, evaluate and iterate on research ideas for risk models for various financial products, such as Eris swap futures, SOFR futures, SOFR options, and Treasury options, in support of new product clearing.
• ► Delivered a software solution utilizing a high-performance differential evolution algorithm in C++, reducing clients' regulatory capital cost by millions of US dollars through optimized trade allocation between listed and portfolio margining accounts.
• ► Contributed to CME Group being selected as the SOFR term rate administrator by implementing the Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm in C++ to solve for the optimal path for the overnight SOFR rates.
• ► Collaborated with developers to design, implement, test and maintain the new generation of risk management engine SPAN2 in C++, providing clients with enhanced real-time risk management services.
• ► Led weekly cross-team meetings to maintain software libraries' high quality, scalability, and efficiency by providing expertise in high-level design and low-level implementation.
• ► Accelerated the regression testing process for timely software release and financial products launches by collaborating with software engineers to implement an automation testing program in Java.

Feb 2018 – Feb 2019 · 1 yr

• ► Led a team of junior developers in planning and executing rapid prototyping of financial analytics libraries, providing functionalities for model exploratory analysis across various asset classes (Rates, Credit, FX) to inform experimentation and research directions.

Feb 2017 – Feb 2018 · 1 yr

• ► Conducted in-depth analysis of financial risk factors using statistical techniques including autoregressive-moving-average model, stochastic alpha-beta-rho model, principal component analysis, wavelet transformation, and T-Copula. Presented experimental results and actionable insights to senior management to aid in feature selection and model architecture enhancement.

Jan 2016 – Feb 2017 · 1 yr 1 mo

• ► Led a cross-functional team of software developers and quantitative analysts in the development of a C++ analytics library for Repo and OTC FX clearing, ensuring timely delivery and adherence to project specifications.
• ► Mentored 2 intern teams to develop and refine equity swap and treasury portfolio hedging models, facilitating successful product launches.
• ► Conducted back-testing and statistical analysis to validate margin coverage and model assumptions, ensuring compliance with regulatory requirements.