David Schwartz
March 2010
http://DerivativeProductsRiskAdvisors.blogspot.com/ (646) 450–0438 T davids.dpra@gmail.com k
Objective: A position involving working with top management and modeling and risk management teams to insure and document financial model and market risks are transparent, understood, and prudent. While I understand and can work on the highly mathematical parts of financial modeling and risk management, my comparative advantage is managing or working with financial modeling and risk engineers and presenting results and issues to top management in an understandable and actionable way. I have had multiple successes, working with all levels of management, in developing, managing, and consulting environments at non-native English speaking organizations. My long-term successes at this demonstrate my abilities to build trust and convey and discuss complex ideas both quantitatively and qualitatively to even non-native English speakers.
Experience: 7/94 – Derivative Products Risk Advisors Berkeley, California Managing Director . Provide experience based, theoretically sound risk management, software, and valuation model audit plus general risk advisory services to the top management of derivative products and structured finance market makers. Worked with multiple senior managements on model choice, systems implementation, and portfolio write-downs and clean-ups. • Developed and fully documented a tri-diagonal based, highly general fourth order spatial and second order time finite difference scheme for partial differential equations of the form ∂t u(x; t) = a(x; t) ∂xx u + b(x; t) ∂x u + c(x; t) u + d(x; t).1 • Independently redeveloped and documented mathematics of generating generalized European type payout structure from a static, linear combination of simple European puts and calls. Basically, how to mathematically produce a general European payout structure using simple puts and calls — independent of option pricing model. • Developed and documented efficient algorithms for accurate evaluation of cumulative normal, inverse cumulative normal, and certain Bessel functions. These algorithms and approaches where not standard practice or approach on Wall Street at the time I developed them. • Sole concept developer of “Tax-Efficient Investment Structures for Postponing Gains and Converting Types of Taxable Income” patent application, filed May 3, 2007.
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While I developed and documented the finite difference scheme for this general form, I did not/am not necessarily advocating the form as either a good financial model or numerical analysis approach.
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Resume of David Schwartz
March 2010
12/93 – 6/94 Mitsubishi Capital Market Services New York, New York Head of Risk Management/Development, Senior Vice President New York Derivative Products Group. Managed a new and expanding systems, modeling, and risk management group. Reported directly to the President and Chief Executive Officer. Offered Executive Vice Presidency and membership on the board before leaving in 1994. 7/89 – 12/93 Mitsubishi Capital Market Services New York, New York Head of Trading and Risk Management, Senior Vice President New York Derivative Products Group. Originated and led U.S. Dollar swaps, caps & floors, swaptions, CMS, CMT, and long term Treasury interest rate options trading desk and risk management systems group. Priced, traded, and managed risk position. Implemented proprietary models on in-house C++ pricing and portfolio risk management system with senior systems personnel, assisted international offices on business strategy and valuation model choice and implementation. Individual undertakings included: • writing validation spreadsheet to clarify and speed approval of yield curve swaps model • started and ran a one man mark-to-market swaps trading desk – designed and implemented valuation and risk control model systems – worked with originators and clients directly on structurings – priced, traded, hedged, funded hedge, and designed risk and management reports • proposed, designed, and helped implemented PC-based pricing and risk management systems for swaps, caps & floors, swaptions, and yield curve swaps • built highly regarded derivatives trading desk and risk management system from scratch MCMS took second place in the Most Professional Swaptions Traders category of SWAPS MONITOR’s Most Professional survey published October 11, 1993. First place received 34 points, MCMS 32 points, and third place 19 points. 9/87 – 6/89 Chase Manhattan Bank New York, New York Trader and Portfolio Risk Manager , Vice President U.S. Dollar Derivative Products. Portfolio Risk Manager and Trader. Reported on portfolio risks and worked closely with research group on pricing, risk assessment models, and new product development. In charge of swaptions marketmaking. Individually modeled, programmed, tested, and implemented a Turbo Pascal, PCbased Portfolio Risk Management System (PRMS) which calculated portfolio profits, hedges, and risk measures on a daily and intra-day basis. Prior to my PRMS, mark-to-market was performed manually once a month, took three business days, and provided neither risk nor hedge information.
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Resume of David Schwartz
March 2010
1/86 – 9/87 Citicorp North American Investment Bank New York, New York Trader , Options & Arbitrage Department. Independently conceived and executed proprietary Treasury cash, futures, and options trades. Worked closely with Treasury options and bond traders, sales force, and researchers. Portfolio profits of over $2 million in 1986. 6/84 – 12/85 GTE SPRINT Communications Burlingame, California Alliances Program Analyst, New Business Development. Worked with Marketing and Program Teams to locate, analyze, and implement strategic alliances. 1980 – 1981 Bell Telephone Laboratories Holmdel, New Jersey Member of Technical Staff , Advanced Residential Services Group. Solely authored a Technical Memorandum for the design and maintenance of a consumer usable, public key encryption system. 1979 – 1980 Hewlett-Packard Product Sales Engineer , Optoelectronics Division.
Palo Alto, California
Education: 1981 – 1984 Stanford Graduate School of Business MBA degree, 1984. Gustav H. Benkendorf Tuition Fellowship. Completed 12 doctoral classes in finance, accounting, and economics while satisfying MBA requirements. Member of Finance Club and Friends of Arjay Miller Society. Winner 1984 Options Game. 1980 – 1981 Stanford School of Engineering MSEE degree in information theory, 1981. Bell Telephone Laboratories Fellowship. Worked with Professor Thomas Cover on optimal gambling and investment game theory research. 1976 – 1979 University of California, Berkeley AB degree, highest academic achievement, in applied mathematics, 1979. Phi Beta Kappa. Executive Officer, Honor Student Society.
Memberships, Skills, Hobbies, and Personal: • Past Member of Editorial Board The Journal of Financial Engineering. • Practical and theoretical experience with game theory, continuous time finance, numerical analysis, C++, C, Pascal, Fortran, Basic, LATEX, and spreadsheets. • Enjoy snow skiing, swimming, bicycling, racket sports, and the out-of-doors. • U.S.A. citizen in excellent physical health. Married (1994) with two children (b. 1999 & 2005).
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