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\name{Yousef Shokrai} % Your name
%\address{123 Broadway \\ City, State 12345} % Your address
%\address{123 Pleasant Lane \\ City, State 12345} % Your secondary addess (optional)
\address{(+44)~7990574231 \\ yshokrai@protonmail.com} % Your phone number and email

\begin{document}
  \renewcommand\labelitemi{$\vcenter{\hbox{\scriptsize$\bullet$}}$} 
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%	WORK EXPERIENCE SECTION
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\begin{rSection}{Skills and Experience}
	\item Over 20 years experience in banking industry providing service to clients across a wide range of projects and functions:
	\begin{itemize}
	\item Extensive Model Validation experience   \& Governance services to  SR11-7 standard. 
	\item Design and implementation of IMM and IMA model governance processes fulfilling regulatory requirements of Basel III and FRTB.
	\item Quantitative modelling: Derivative valuation(cross-asset), risk \& capital models (CVA/PFE, ICAAP), statistical (backtesting/forecasting), quantitative investment strategies/algorithms, Stochastic Calculus.
	\item Team leadership and project management: Delivering technical deliverables to tight deadlines whilst managing a diverse pool of resources including UK and US permanent staff, thirdparty consultants and individual contractors.
	\item Communication Skills: Effective communicator, experienced in interacting with various stakeholders (senior management, regulators, auditors as well as key front office, risk, finance and treasury) on a range of technical and non-technical topics.
	 %\begin{itemize}
	 %	\item Experience in understanding and dealing with Front Office stakeholders gained over 10 years career as a FO quant and proprietary trader.
	 %	\item Experience of dealing with a senior management, regulators, auditors as well as key risk/finance/treasury stakeholders on a range of technical and no technical topics
	 %\end{itemize} 
	\item IT Skills:
		\begin{itemize}
			\item Agile methods
			\item Production system development -  C++, C\#, .NET, SVN, GITLAB, SQL 
			\item Prototyping solutions - Python, Python/C++ interface(pybind), Matlab,  Mathematica, Shell Scripting, Excel
			\item Third-party software - Numerix, Fincad F3, Calypso, Murex, Bloomberg 
			\item Documentation - Latex,Word, Excel, PowerPoint 		
		\end{itemize}
	\end{itemize}
 	
\end{rSection}
%\begin{rSection}{Computer Languages}
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%		Production system development & C++, .NET and Java\\ 
%		Prototyping & Python,  Matlab, R and  Mathematica  \\
%		Third-party & Numerix, Fincad F3, Calypso, Murex and Bloomberg
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%\end{rSection}


\begin{rSection}{Work Experience}
		\begin{rSubsection}{Senior Consultant}{Jul 2022 - present}{BNP Paribas}{London}
		\item	Working on IRC/DRC/CRM regulatory related project within SIGMA. The work involved methodology development, model implementation (C\#), data and statistical analysis (Python) and documentation.
		\end{rSubsection}

		\begin{rSubsection}{Quantitative Developer}{Jan 2022 - Jun 2022}{Coremont}{London}
		\item	Working in the Clarion credit pricing team. Responsible for development and integration of credit analytics  within Clarion portfolio management system. 
				\end{rSubsection}
	
		\begin{rSubsection}{Senior Consultant}{Mar 2021 - Jan 2022}{ICBC Standard Bank Plc}{London}
		\item	Working with model validation team to validate pricing and risk models as part of IBOR Transition. The work involved development of benchmark models/methodologies, statistical analysis, model review and documentation.
		
		
	\end{rSubsection}
		\begin{rSubsection}{Senior Consultant}{Jul 2020 - Mar 2021}{UBS}{London}
		\item	Working with Exposure Risk Methodology team to develop a new methodology for the calculation of counterparty credit risk exposure on non-standard settled Bonds and Agency Mortgage-Backed Securities. The work involved methodology proposal, prototyping, statistical analysis and documentation.
		
		
	\end{rSubsection}

		\begin{rSubsection}{Senior Consultant}{Nov 2019 - Jun 2020}{BNP Paribas}{London}
		\item	Working on a TRIM regulatory project to enhance the scope and coverage of Counterparty Credit Risk model risk factor backtesting program for Credit and Repo products. The work involved methodology proposal, prototyping, statistical analysis and documentation.  
		
	\end{rSubsection}
	
	\begin{rSubsection}{Senior Consultant}{Jan 2019 - Nov 2019}{ICBC Standard Bank Plc}{London}
    	\item Working closely with model validation team on a number of key initiatives:
    	
    	\begin{itemize}
			\item As part of new business initiative for the bank to enter the physical energy commodities business, performed a model review of the pricing and risk framework with the following particulars:
			 \begin{itemize}
			 	\item Product/Transaction Coverage: i) Financing transactions: repos, ii) Physical energy transactions as part refinery intermediation: Spot/Fwd/OTC swap transactions on crude oil and refined products and iii) Hedge transactions: Exchange Traded commodity derivatives (Options/Futures)
			 	\item System Coverage: RightAngle/Murex pricing models and Market Risk outputs
			 \end{itemize}   
			\item Validation of ISDA SIMM model's key assumptions.  
		\end{itemize}
	
	\item As part of the above work, challenger pricing models were developed/reused in the Model Validation C++ Library and accessed in Python Jupyter Notebooks for data analysis. A C++/python interface based on pybind was developed to facilitate this process.
	  
	   
	\end{rSubsection}

%\begin{rSection}{Work Experience}
%	\begin{rSubsection}{ICBC Standard Bank Plc}{Jan 2019 - Present}{Consultant}{London}
%		\item	As part of a strategic project for the bank, worked with key stakeholders in Risk and Front Office to test and review of a new system for physical energy products. Responsibilities included:
%		\begin{itemize}
%			\item Risk assessment and review of various financing transactions and their associated booking model (energy repo, refinery intermediation).
%			\item Model Validation of new system and risk framework (VaR).  
%			\item Working with  Risk Management  on application to extend IMA scope.
%		\end{itemize}
%	\end{rSubsection}
	
\begin{rSubsection}{Senior Consultant}{May 2018 - Dec 2018}{Morgan Stanley International}{London}
\item	Worked closely with the Credit Risk Methodology Group on a regulatory driven project to enhance and re-document IMM models and methodologies. Responsibilities:
		\begin{itemize}
		\item Development of IMM credit exposure methodologies and enhancement of various Risk frameworks; Back-
		testing, RNIMM.
		\item Technical review and update of model documentation to ensure consistency and compliance with regulatory requirements from BaFin and PRA.
		\item Drafting and coordinating regulatory responses with respect to the IMM methodology for both PRA and
		BaFin.
		\item Tracking of project deliverables and stakeholder management.
		\end{itemize}
\end{rSubsection}


\begin{rSubsection}{Global Head of Model Validation}{Jun 2015 - Feb 2018}{Jefferies International Limited}{London}
\item Lead a global team of 6, with a remit to cover a large and diverse set of models including pricing, risk, valuation adjustment and capital models. My responsibilities spanned hands on technical  validation and oversight, team management and frequent interaction and dialogue with internal and external stakeholders in London and NY. Noteworthy achievements were:  
	
\begin{itemize} 
 \item	Completion of a 2yr regulatory driven  remediation project in the UK, resulting in significant reductions to the firm's regulatory capital requirements. My contributions in this effort were to: 
 
 	\begin{itemize}
 	\item Create a new model risk management policy consistent  with current regulatory guidelines SR11-7.
 	\item {Lead the validation effort for all models in the inventory with particular focus on previously un-validated risk and capital models (VaR, Counter-party risk (PFE and CVA) and ICAAP models). This involved devising test plans, review and interpretation of results, drafting recommendation and conditions for model use as well reviewing the overall model validation document and ensuring compliance with the model validation policy.}
 	\item {As part of the model validation recommendations, designed, prototyped and helped to establish new processes for  the ongoing monitoring of the VaR and counter party risk models (product and risk factor backtests).}  
 	\item Formulate methodologies to quantify model uncertainties for the various ICAAP models.
 	\item Present model validation work and governance framework to regulators.
 	\end{itemize}
 
 \item Significantly contribute to the firm's strategic objective of obtaining alternative and cheaper sources of funding via structured note issuance:
 
  	\begin{itemize}
  		\item Provided effective challenge to existing simplified valuation framework and developed a benchmark credit/hybrid framework for the valuation of structure notes which subsequently replaced the original framework.
    \end{itemize}

\end{itemize} 


 
\end{rSubsection}

\begin{rSubsection}{Model Validation Quantitative Analyst}{Jun 2011 - Jun 2015}{Jefferies International Limited}{London}
	\item
	\begin{itemize}
	\item Responsible for the validation  derivative valuation models used globally. Models included vanilla and light exotic equity, fx, commodity, interest rates derivatives. 
	\item Validation of quantitative investment strategies/algorithms (cross-asset).
	\item Developed benchmarking tools in C++ and Python to support the model validation effort. 
	\item Review and validation of in-house counterparty credit risk framework.
	\item Represented model validation and Jefferies for a number of regulatory driven projects including CAD 1 application for equity and commodity derivatives. 
	\end{itemize}
\end{rSubsection}
%------------------------------------------------

%\begin{rSubsection}{JMNS Limited}{Apr 2009 - Apr 2011}{Director}{London}
%
%\begin{itemize}
%\item Quantitative modelling and development (C++ and Excel) of a real world risk factor simulation engine used for scenario analysis of client portfolios (Risk Solution Group, Lloyds Banking Group ).
%\item Model validation of IR/FX derivatives pricing models (Counterparty Credit Risk Methodology Group, RBS London).
%\item Consulting for IMM models approvals; design and prototyping of exposure calculation and back testing framework for counterparty credit risk.  (Counterparty Credit Risk Methodology Group, RBS London). 
%\end{itemize}
% 
%\end{rSubsection}

%------------------------------------------------
\begin{rSubsection}{Senior Consultant}{Oct 2010 - Apr 2011}{Lloyds TSB}{London}
	\item  
	\begin{itemize}
		\item Responsible for quantitative modelling and development (C++ and Excel) of a real world risk factor simulation engine used for scenario analysis of client portfolios
	\end{itemize}
\end{rSubsection}

\begin{rSubsection}{Senior Consultant}{Apr 2009 - Jul 2010}{RBS}{London}
	\item
	\begin{itemize}
		
	\item Model validation of IR/FX derivatives pricing models.
	\item IMM approval: Design and prototyping of exposure calculation and back testing framework for counterparty credit risk.
	\end{itemize}
\end{rSubsection}

\begin{rSubsection}{Proprietary Credit Trader}{Feb 2007 - Feb 2008}{Lloyds TSB}{London}
	\item
	\begin{itemize}
\item Responsible for credit volatility and correlation trading. Focussed on research and execution of relative value and quantitative strategies involving vanilla and exotic credit products.
	\end{itemize}
\end{rSubsection}

\begin{rSubsection}{Structured Credit Trader}{Apr 2005 - Nov 2006}{WestLB}{London}
	\item
	\begin{itemize}
	\item Responsibilities included risk management of the correlation book (IG corporate credits), pricing, struc-
	turing and development of new products in conjunction with sales and structuring teams.
	\end{itemize}
\end{rSubsection}

\begin{rSubsection}{Head of Product Development}{Oct 2004 - Apr 2005}{WestLB}{London}
	\item
	\begin{itemize}
	\item Designed and developed Front Office analytic library for risk management and valuation of structured
	credit products. Libraries were written in C++ and linked to Excel front-end.
	\end{itemize}
\end{rSubsection}

\begin{rSubsection}{Credit Quantitative Analyst}{Jun 2001 - Jul 2004}{BNP Paribas}{London}
	\item
	\begin{itemize}
	\item Developed state-of-art portfolio credit models for the correlation desk.
	\item Research and developed hybrid credit/equity/IR models.
	\item Redesigned and implemented legacy code (C) into C++ using a full object oriented framework.
	\end{itemize}
\end{rSubsection}
\begin{rSubsection}{Quantitative Developer}{Jun 1999 - May 2001}{Bank of Montreal}{London}
	\item
	\begin{itemize}
	\item Supported option traders in the pricing of trades, P\&L management and the development of pricing \& risk analytics for exotic rates options. 
	\end{itemize}
\end{rSubsection}

\begin{rSubsection}{Quantitative Developer}{Jan 1998 - May 1999}{Liberty Eurasia}{London}
	\item
	\begin{itemize}
	\item Design and development of bond analytics tools.  
	\end{itemize}
\end{rSubsection}


%	EDUCATION SECTION
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\begin{rSection}{Education}
	
	{\bf Master of Science in Mathematical Trading and Finance (part-time course)} \\  
	City University Business School, London \hfill {\em 1999-2001} \\
	
	{\bf Master of Science with distinction in Business and Finance } \\ 
	Brunel University, London \hfill {\em 1996-1997} \\
	
	{\bf Master of Science in Satellite Communication Engineering} \\
	University of Surrey, Guildford, London \hfill {\em 1994-1995} \\
	
	{\bf Bachelor of Engineering in Electronic and Electrical Engineering} \\
	University of Surrey, Guildford, London \hfill {\em 1991-1994} \\  
	
	
\end{rSection}

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%	TECHNICAL STRENGTHS SECTION
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