Sereno. A. Barr-Kumarakulasinghe |
Cell:1-917-592-5538 e-mail:
sbarrkum@gmail.com.spam |
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Implemented Regression, Variance
Reduction Method 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)
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Derivatives and Fixed-Income Stress (to Interest Rate Forward Curves) Analysis, Scenario and Hedge Effectiveness
Analysis in Principia
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Contributed to Modeling, Analyzing
and Accounting for Total Return Swap (TRS) Deals
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Implemented
a Copula Model using Cholesky Decomposition
to Price CDO
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GIC collateral position, guarantor/custodian
reports and customer statements
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Designed and Implemented in Java
Pricing Models for Energy Triggered Weather Options and Stochastic/Monte Carlo Models of
correlated variables using Cholesky Decomposition for Risk Analysis of Weather Derivative Portfolio.
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Developed
a model in Java for estimating Implied Volatilitusing Weather Option
Strike and Price data from the Chicago
Mercantile Exchange (CME).
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Designed
and Implemented an Oracle 9i database,
SQL Stored procedures on Linux for historical and daily weather data.
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Able
to interact with traders and brokers
in fast paced environment
Programming: Matlab, OO Java,
Servlets (on Apache/Tomcat/Resin), Webstart, C, C++, VBA
Scripting: Perl, Tcl, Shell
Database: Oracle Schema, SQL and
Java Stored procedures
Systems: Linux, Sun Solaris/Unix
Master of Philosophy Coastal Oceanography (Aug. 1997)
Master of Science Marine Environmental Science (Dec. 1992)
Bachelor of Science in Chemistry &
Physics (Dec. 1981)
Qualified in Parts 1-3 of the
Management Accounting exams
MBIA/o3,
Consultant
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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
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Accounting
amortization/accretion using Constant Yield Method and Straight Line Method to premium and discount on assets
and liabilities.
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Testing
out scenarios to find most effective way to model Total Return Swaps
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Customize chart
of accounts to handle
Total Return Swap trades
Hedge Fund,
Contract
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Validate
in Matlab a Copula Model using Cholesky Decomposition
to Price CDO’s
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Implement
CDO Pricing model in C++ and create dll usable in Excel
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Accounting
amortization/accretion using Constant Yield Method and Straight Line Method to premium and discount on assets
and liabilities.
Principia Partners/o3,
Consultant
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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),
Corporate Consultant
Responsible for advising
and implementing Principia (a derivative front to back office system similar to Summit, Calypso,
Murex) derivative pricing and hedge
accounting.
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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).
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Implement
Regression and Hypothetical Derivative Method Hedge Effectiveness testing for
FAS 133 Accounting.
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Configure core
Principia reports for front office. Designed and implemented custom reports in Principia.
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Impart
Principia concepts and usage in tcl and API
coding to Asset
Management IT team.
GFI
Group,
Senior Pricing Analyst
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.
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Developed a Pricing Model for weather triggered/contingent, energy options that used probabilistic (actuarial) and stochastic/Monte Carlo (capital-market) methodologies
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Developed a
model for estimating Implied Volatility using Weather Option Strike and Price
data from the Chicago
Mercantile Exchange (CME).
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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 Feb 2001 to June 2002
Professional Services
Team leader responsible for developing risk and regulatory reports for clients that included GE Capital, Bank One and Société Générale.
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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.
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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.
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Developed
cash flow, interest rate reset and
payment reports for two home loan banks.
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Implemented,
Regression and Hypothetical Derivative Method Hedge Effectiveness testing for
FASB 133 Accounting. Basic
usage of ABS/MBS and Credit Derivatives within Principia
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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,
Senior Programmer and
Meteorologist
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.
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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.
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Automated
mark to market of trading portfolio using current weather data.
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Stochastic risk
analysis model for weather derivatives developed and engineered using techniques such as Cholesky Decomposition for evaluating portfolio risk using
Brookhaven National Labs,
Research Associate
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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.
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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.
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Authored
two conference publications
Estuarine Dynamics Lab, Stony
System and Web Administrator
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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.
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Finite
difference numerical models interfaced and interactively run through the Web.
Brookhaven National Labs,
Junior Research Associate
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Developed Map
Ocean Data software using Visual Basic that allowed for interactive visualization of ocean data
in a geographic overlay.
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Created
tools in C to read, extract and visualize sections of the CIA world coastline
database on VAX/VMS and UNIX platforms.
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Investigated
effects of
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,
Mentored two undergraduate students