Sereno. A. Barr-Kumarakulasinghe

Cell:1-917-592-5538

e-mail: sbarrkum@gmail.com.spam

Highlights of Projects and Work Experience

Implemented Regression and Hypothetical Derivative Hedge Effectiveness testing for FASB 133 Accounting in Principia (A Summit / Calypso / Murex like Fixed Income and Derivative Front to Back Office System)
Derivatives and Fixed-Income Stress (to Interest Rate Forward Curves) Analysis, Scenario and Hedge Effectiveness Analysis in Principia
GIC Collateral Position, Guarantor/Custodian Reports and Customer statements.
Basic usage of ABS/MBS and Credit Derivatives
Designed and Implemented in Java Pricing Models for Energy Triggered Weather Options and Stochastic/Monte Carlo Models for Risk Analysis of Weather Derivative Portfolio.
Developed a model in Java for estimating Implied Volatility using Weather Option Strike and Price data from the Chicago Mercantile Exchange(CME).
Designed and Implemented an Oracle 9i database, SQL Stored procedures on Linux for historical and daily weather data.
Able to interact with traders and brokers in fast paced environment

Technology Skills

Programming: OO Java, Servlets (on Apache/Tomcat/Resin), Webstart, C, VBA, SQL

Scripting: Perl, Tcl, Shell

Database: Oracle Schema, SQL and Java Stored procedures

Systems: Linux, Sun Solaris/Unix

Education

Marine Sciences Research Center, State University of New York, Stony Brook.

Master of Philosophy Coastal Oceanography (Aug. 1997)

Master of Science Marine Environmental Science (Dec. 1992)

University of Colombo, Sri Lanka

Bachelor of Science in Chemistry & Physics (Dec. 1981)

Institute of Cost and Management Accountants, London, UK

Qualified in Parts 1-3 of the Management Accounting exams

Experience

MBIA/o3, Armonk, NY

Consultant, Jan 2006 – Present

Professional Service contracts to add additional derivative accounting capabilities to chart of accounts of clients. Additional accounting capabilities included FX no shortcut FAS 133 hedge accounting
Accounting amortization/accretion using Constant Yield Method and Straight Line Method to premium and discount on assets and liabilities.
Testing out scenarios to find most effective way to model Total Return Swaps
Customize chart of accounts to handle Total Return Swap trades

Principia Partners/o3, Harbor Side Financial Center, NJ

Consultant, June 2005 – November 2005

Professional Service contracts to add additional derivative accounting capabilities to chart of accounts of clients. Additional accounting capabilities included FX no shortcut FAS 133 hedge accounting and accounting for amortization of premium and discount on assets and liabilities.

Genworth Financial (formerly GE Asset Management), Stamford CT

Corporate Consultant, April 2004 – March 2005

Responsible for advising and implementing Principia (a derivative front to back office system similar to Summit, Calypso, Murex) derivative pricing and hedge accounting.

Data migration from current systems (Infinity, PAM) and Implement interfaces between Principia and its up-stream and down-stream systems (Bonds, Derivatives, Bond-Hedge linkage, Counterparty, Cash Payments and GL).
Implement Regression and Hypothetical Derivative Method Hedge Effectiveness testing for FAS 133 Accounting.
Configure core Principia reports for front office. Designed and implemented custom reports in Principia.
Impart Principia concepts and usage in tcl and API coding to Asset Management IT team.

Developer of Serene Eco Resorts, Dodanduwa, Sri Lanka

July 2003 – March 2004

Investment and Development of an Eco Sensitive Lagoon Resort (www.sereneLake.com) in Dodanduwa, Sri Lanka. Eco sensitive construction techniques used in the Resort included use of Compressed Earth Blocks (CEBs) and Rammed Earth walls.

GFI Group, Wall Street, NY

Senior Pricing Analyst June 2002 – May 2003

Designed and lead the development of a weather risk pricing system for the weather desk at GFI Group, a leading Energy and FX brokerage on Wall Street

Developed a Pricing Model for weather triggered/contingent, energy options that used probabilistic (actuarial) and stochastic/Monte Carlo (capital-market) methodologies
Developed a model for estimating Implied Volatility using Weather Option Strike and Price data from the Chicago Mercantile Exchange (CME).
Technology components included in the development were Java for the Pricing Model, schema design, stored procedures and implementation of an Oracle 9i database on Linux for historical and forecast weather data. I was also responsible for developing a GUI/client in Java that interfaced with the database and used the pricing models.

Principia Partners, Harbor Side Financial Center, NJ

Professional Services, Feb 2001 to June 2002

Team leader responsible for developing risk and regulatory reports for clients that included GE Capital, Bank One and Société Générale.

Structured and implemented reporting of customer statements, guarantor/custodian and collateral position reports as required by rating agencies for three Guaranteed Investment Contract (GIC) businesses.
Developed and implemented a rating agency report on Interest Rate Sensitivity of a Structured Investment Vehicle (SIV) portfolio, to parallel, benchmark and zero curve shifts of interest rate forward curves.
Developed cash flow, interest rate reset and payment reports for two home loan banks.
Implemented, Regression and Hypothetical Derivative Method Hedge Effectiveness testing for FASB 133 Accounting. Basic usage of ABS/MBS and Credit Derivatives within Principia
Projects of a more technical nature involved, deal structure and data migration between systems. Conducted Principa API and Tcl Acessor training for clients.

Worldwide Weather Trading, Exchange Place, NY

Senior Programmer and Meteorologist, October 1998 to Jan 2001

Responsible for developing and implementing the stochastic /Monte Carlo methodology for assessing weather portfolio risk. The method and analysis were used to obtain ratings from Standard and Poors, Moody's Investor Services, and Fitch rating agencies.
Option Pricing Models and Trading System developed for weather derivatives using a combination of Java, C and Perl. The trading system used both probability and historical data in a “look back” model to obtain the price for a weather option.
Automated mark to market of trading portfolio using current weather data.
Stochastic risk analysis model for weather derivatives developed and engineered using techniques such as Choelsky Decomposition for evaluating portfolio risk using Monte Carlo simulation.

Brookhaven National Labs, Upton, NY

Research Associate, Feb 1996 to Sep 1998

Designed and created interactive server side data viewers using Perl and shell CGI scripts and IDL procedures on a UNIX platform at http://www.xdc.arm.gov/data_viewers/. Web page content and software were developed, packaged and documented to enable seamless installation on different computers.
Beginning to end software and content development of a prototype automated climate prediction. Created satellite image processing procedures that sub sect, rectify to geographical coordinates, create geographical information products.
Exposure to use of perl scripts with ODBC drivers (server side), and Java and JDBC drivers (client side) to access a database on a NT platform.
Authored two conference publications

Estuarine Dynamics Lab, Stony Brook, NY

System and Web Administrator, Feb 1993 to Sep 1998

System Administration, maintenance, installation and upgrading of hardware and software for DEC Alpha running OSF4.0, One Windows NT, 2PC's running Windows 95 one PC running Windows 98 and One Macintosh computers. Maintain network TCP/IP, NFS using SAMBA and DAVE for 3 PC's, and Mac. Other PC system software installed and used include Exceed (X windows) and Beame and Whiteside (TCP/IP and NFS tools). Apache Web Server installation and maintenance (http://kafula.msrc.sunysb.edu/), Web page creation.
Finite difference numerical models interfaced and interactively run through the Web.

Brookhaven National Labs, Upton, NY

Junior Research Associate, 1994 -1996

Developed Map Ocean Data software using Visual Basic that allowed for interactive visualization of ocean data in a geographic overlay.
Created tools in C to read, extract and visualize sections of the CIA world coastline database on VAX/VMS and UNIX platforms.
Investigated effects of Islands on Cloud Generation and Modulation for the Atmospheric Radiation Measurement (ARM) program. Geographic analysis of surf clam distributions to aid in setting of viable quotas for clam fishing.

Teaching Experience:

Coastal Oceanography (MAR 333 Spring 1996) Advanced Undergraduate

Taught, created outline, course material and quizzes for Air Sea Interaction and Greenhouse Effect sections of the above course

Remote Sensing in Oceanography (MAR 334, Fall 1996 and Fall 1997) Advanced Undergraduate

Taught, created outline, course material and quizzes for interaction of electromagnetic radiation with rough surfaces and the atmosphere, treatment of sensors and platforms for above course. Created tutorials and projects using ERMapper for students to learn data processing techniques involved in remote sensing applications in Ocean and Atmospheric Sciences.

Science Technology Entrance Program STEP (Summer 1993)

Taught and facilitated in creating projects to foster interaction of high school and undergraduate students.

AIM/EOP 1990-1991, Mentor