Director of Risk Management
Employed by Alfa Bank August 1999 to develop Risk Management which then consisted solely of Credit application review function. Established Division of Risk Management, implementing departments for Credit Risk, Credit Methodologies, Market Risk, and Operational Risk Management. Established modern risk management practice in Russia.
Credit Risk: Implemented quantitative credit portfolio management. Bears primary responsibility for Alfa Bank Lending Policy, Credit portfolio quality, Loan transaction approval. Implemented Internal Ratings system and validated system with regressions. Sets interest-rate premia for commercial lending and retail bank operations.
Market Risk: Implemented VAR, disaster scenario analysis, distribution and concentration limits for the brokerage, market-making, trading books for the Bank, and investment books for the several Alfa investment, pension, and hedge funds. Defines, implements, and allows waivers of counterpart limits for both settlement and pre-settlement risk, with personal signature for exceptions up to 7.5% of the capital of the Bank.
Operational Risk: Implemented internal data collection, key risk Indicators, self-assessment, operations risk audits, technological risk assurance. Designs insurance policy coverage. Winner: Operational Risk Magazine 2004:
'Best Operational Risk Framework at a Bank Based in an Emerging Market.'
Member of Management Committee, Asset and Liabilities Committee, Senior Credit Committee, and Capital Markets Counterparts Subcommittee of the Bank, and serves as Chairman of the Market Risk Subcommittee of Alfa Bank.
Reports to the Executive Managing Director of Alfa Bank, and manages a staff of twenty in Moscow, one in London, two in Kiev, Ukraine, two in Almaty, Kazakhstan.
Has spoken at seminars in Operational Risk Management for Risk/Waters and Market Risk Management and Options for Euromoney.
Co-authored Worldly Wisdom, a derivatives advice column in Futures and OTC World.
Overseas Ltd., London
Head of Risk Management
Seconded to London in
December 1995, with the purpose of obtaining options
model approval from the SFA and accomplished this in
March 1996. In the summer of 1996, integrated the
company's proprietary back-office system, the Cortex LME
matching system, and the Halperin Portfolio Management
System, producing the first firmwide risk- and
client-credit- monitoring system, an aid in obtaining SFA
approval for our ACMP (adequate credit management
policy). Total reduction in regulatory capital
requirements --- $180 million.
Risk managed all risk
positions and operations taken on by the firm, set
limits, and analysed trader performance with proprietary
returns analysis methodology and house and client risk
with personally developed risk management software.
Products covered included LME futures and options
market-making and proprietary trading, LIFFE options
floor-trading, IPE options floor-trading, LIFFE Euro
futures screen trading.
Member of the LME TAPO
contract modelling working group, the SFA CAD2 commodity
practitioner's working group. Has given seminars in Options for the LME.
Group Ltd., New York
Manager Skills Set
Risk manager for the Refco
London Metals Options trading operations since 1987,
twice taking over the portfolio personally following a
chief dealer personnel change, in market crisis periods,
such as the summer 1990 copper squeeze.
Took on various other risk
positions following client bankruptcies, most notably in
the spring-summer of 1991, running a large position in
short currency OTC options.
Ran hedges for corporate
treasury borrowing operations, designed cash-and-carry
deals in Aluminium, structured OTC hedges against jet
fuel (January 1991) for a French client, and trained
Copper traders in Poland.
Reported directly to one
of the three shareholders.
Ran two proprietary
futures and options trading operations in New York, one
for Refco Group Ltd., and one for Westminster Trading
(subsidiary of Refco group). Hired and fired traders,
taken and approved positions, set limits, and managed the
Proprietary trader in
physicals, futures, and options in the following
commodities: Comex metals, Chicago Board of Trade
agriculturals, Chicago Mercantile Exchange Bonds,
Treasury Notes, Municipals, OTC currencies including
Dollar Mark, Sterling, Swiss Franc, Mark/French Franc,
Mark/Finnish Mark, Lira, Australian Dollar/Japanese Yen,
Singapore Dollar, Malaysian Ringgit, S&P 500 futures
and options, Silver and Gold Bullion and options, LME
copper, aluminium, and zinc futures, options, and OTC
Asian options. Traded short volatility profitably through
the 1992 EMS crisis, short bond options profitably
following the October 1987 market crash.
Hired by Refco in 1986 to
manage the Management Information Systems area and
specifically the construction of a new front- and
backoffice computer system to handle futures, physicals,
and options thereon. Ultimately, migrated to the trading
group area and designed and wrote the entire system
needed. Modestly called the Halperin Portfolio Management
System, it was deployed for 11 years at Refco, and
has seen service at Winchester Trading, Marc Rich,
Haydan, and Manro-Haydan.
Indosuez, New York
of Trading Support
Wrote trader support
programs for treasury, money market, and foreign exchange
trading. Contracted large software purchases, including
the Devon System, and installed the first local area
network (possibly the first for a financial institution
in New York). Advised traders and the assistant treasurer
on matters of financial theory and spent a few weeks with
senior management in Paris, advising them on the planning
and installation of a worldwide PC network for management
of futures trading.
Jobs, Statistical and Computer Consulting
Forest Builders, Gainesville, Florida
Built a 35 unit
multifamily housing project in Williston, Florida.
Contractor, Gainesville, Florida
Developed six single-family houses
for the lower-middle price range.
University, Ph. D. program in Business
Administration. Major in marketing with emphasis on
quantitative methods and multivariate statistics.
University School of Organization and Management, Master of Public and Private
Management. Concentration in Finance and Statistics.
of Florida School of Building Construction, Master
of Science in Building Construction.
College, Bachelor of Arts. Concentration
in Islamic History.
December 1951, Cleveland, Ohio, USA. photo
Two children, ages 22 and 25 photo. Married.
Dual National - Citizen of both US and UK.
Good health. 5'9", 13
stone (175 cm, 82 kg).
Play piano, speak
Arabic, in descending order of
138 The Colonnades,
34 Porchester Square,
London W2 6AP
+44 (0) 20 7 727 09 23
+7 095 783 51 85
+44 (0) 7803 905 063
+7 903 136 41 71
E-mail: email@example.com (primary) or firstname.lastname@example.org (secondary)
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