About
Michael is a Financial Risk Management and Operations Executive who is an expert in Capital Markets Trading Risk Management for leading North American financial institutions.

He has 20 years experience in risk management and middle office units, specifically in trading risk management and regulatory reporting practice, P&L analytics, data management, trading & risk platform design and implementation.

Michael is unique in his ability to combine a strategic vision with practical execution for trading risk and regulatory infrastructure development, front-line risk oversight, and organizational effectiveness.

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Risk and Technical Expertise: ​

Risk Capital Measuring and Reporting;
FRTB;
IBOR Replacement;
BCBS 239;
(IHC & BHC) CCAR Stress-Testing;
(IHC & BHC) DFAST;
IFRS 9 ECL Projection;
Wholesale Portfolio Credit Loss Projection and Related Parameter Calibrations;
CCAR Model and Business Application Validations;
BCBS IM and VM Requirement Implementation for Non-Centrally Cleared Derivatives (use ISDA SIMM as a risk based model and CRIF files for risk transferring and IM reconciliation);
Basel III CCR Capital (SA, IMA) and IMA Back-Testing;

Potential Collateral Exposure Projection and Collateral Optimization;
​MiFiD II;
​S 305(C) and 871(M); Market and Trading Credit Risk Management;
Liquidity Risk Management; P&L and P&L Decomposition;
Finance Operations;
Risk Data Governance Framework and Risk Data Management Standards;
Risk Data Quality Control Process Implementations;
Trading/Risk/Capital/Regulatory Reporting Solution Design and Implementations;
Integrated Variable Annuity (VA) Risk Management Platform Design;
Technology Strategy and Executions;
​Vendor Contract Negotiation, and Project/Program Management. ​

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Experience
Regulatory and Risk Technology Solution Adviser, MZB Financial R&D Inc.
Dates Employed 2019
Greater New York, Consulting for:
1. IBOR Replacement initiatives
o Fallback Languages/Clauses Extraction and Analysis Solutions for Loans (Syndicated and Bilateral loans, Mortgages, and Consumer Loans) and Secularization Products
o SOFR curve and swaption volatility surface construction, SOFR product price, and risk analytics

2. Risk Policy Architecture, Risk Framework, and Technology Solution
o Risk policy architecture and risk framework
o E2E (FO to Finance) Data, Risk and Regulatory Solution

3. Program Management
o E2E strategy and execution, program governance structure, and roadmap design for FRTB and IBOR replacement program(s)

4. AI Solution R&D
o AI applications to Insurance underwriting and claims
o AI applications to process automation, document digitization, term identification, extraction, and analysis
o AI application to predicative capability development using alternative data sets such as social media, foot traffic, credit cards, etc.
 
Director, Financial Risk & Regulatory Solution Consulting, KPMG Canada
Dates Employed: 2018 – 2019
Provided Financial Risk Advisory and Consulting Services to Banks, Pension Funds, and Insurance Companies for:
o Risk Management Practice
o Risk Analytics
o E2E Risk and Regulatory Solution Design & Implementation, and Technology Strategy & Execution

Representative Projects and Client Pitch Initiatives Participated in:
o FRTB Risk Analytic, Business Requirements, Program Design, Resource Estimations and Its Allocations to LOB & Project Streams
o IBOR Replacement
o IFRS 17 & IFRS 9
o TOMs Design (FRTB, KYC/CDD Process and Client Data Management)
o Trade Surveillance Definitions and IT Architect Covering Structured & Unstructured Data
o Partnership Model with Technology Vendors
o Capital Markets, Regulatory Implementation Opportunity and Executive Stakeholder Discovery, and Resource Requirement Analysis
 
Practice Lead, Risk Management and Technology Solution
MZB Financial R&D Inc.
Dates Employed: 2014 – 2017
Location:Toronto, Canada; New York, USA
• Provides business, risk analytic, and technology solution consulting services for regulatory and economic capital platform design and implementation. Representative projects covers:

o Risk Data and Risk Reporting (RDARR)/BCBS 239 implementation
o Risk Data Governance Framework, Risk Data Management Standards designs, and Risk Data Quality Control Process Implementation
o FRTB business requirement and EtE technology solution design
o Enterprise Risk Framework/Policy Infrastructure Development
o Enterprise Risk/Risk Data Solution Implementation
o Front To Back Office System Implementation
o Wholesale Portfolio Credit Loss projection and related parameter calibrations
o Risk Analytics for (IHC & BHC) CCAR stress-testing, (IHC & BHC) DFAST, and IFRS 9 ECL projection
o BCBS IM and VM requirement implementation for non-centrally cleared derivatives
o Basel III CCR Capital (SA, IMA) and IMA Back-Testing
o Finance Operations, P&L, and P&L Decomposition
o Trading/Risk/Capital/Regulatory Reporting Solution Design and Implementations
o Variable Annuity (VA) Risk Asset Scenario Generator (from Indices to "single" assets)
o Integrated VA Risk Management Platform Design
o IRS 305(C) and 871(M) requirements and solution design
o CVA Trading System Implementation

• Provides services for technology strategy and executions; Program/Project Management. Representative projects covers:

o FRTB reference architecture and EtE solution design;
o Risk Data and Risk Reporting (RDARR) technology solution implementation

• Major Clients: Manulife Financial, RBC Wealth Management, CIBC, Scotiabank, Ontario Teacher’s Pension Plansee less
​Director, Business Consulting
Sapient Global Markets
Dates Employed:2013 – 2014
Valuation and Risk Practice Lead: Trading Risk Management, Middle Office, Operations, Risk & Regulatory Reporting, Trading Desk Support, IT Strategy and Execution.

Business Development: Technology solution and execution; Risk and trading system development and verifications.

Engagement Lead: Ontario Teacher's Pension Plan (OTPP) Enterprise Risk Infrastructure Development and Adaptiv RiskBox Implementation.
 
Director & Global Head of Reporting and Analysis, Global Middle Office and Derivatives Operations
BMO Financial Group
Dates Employed: 2010 – 2013
Managing a large team of Risk and Middle Office professionals responsible for Global Reporting and Analysis, Profit Attribution Analysis (PAA/P&L Decomposition), Control and Analytics, Data Management & Pricing, US$ Cash Management and Change Management to support BMO's Trading Business.

Independent Consultant, Wholesale Banking Technology, CIBC
Dates Employed: 2009 – 2010
Project Manager: Front Office CVA Platform Development, WB Technology Solution
Business Consultant: Business Project Initiatives, WB Technology Solution

RBC, Head and Senior Director, Enterprise Market Risk Infrastructure Development, Dates Employed: 2005 – 2010

Managing large teams of risk management professionals consisting of risk model development, financial engineering, risk data management, and risk advisory.
Managing the strategic development of the financial engineering, risk modeling, and enterprise-wide risk platform.
Leading the implementation and development of Enterprise Counterparty Credit Risk Platform - Razor as the calculation engine.
Managing the enhancements of the existing enterprise market and trading credit risk platforms to thoroughly capture the bank’s trading portfolio risks - RiskWatch, GMRM, HMD, Risk Reporting Platform.
Managing the analytic architecture development for Basel II, IRC, CVA and Credit Grid.
Managing the production support teams to produce both enterprise and desk level risk measures and model validation information for daily market risk reporting of VaRs, specific risk VaRs, stress tests, back tests, and for daily credit risk reporting of credit utilizations, capital allocations, and credit risk reserve allocations.
Overseeing the on-demand supporting and training activities using the new risk platforms and new risk analytic functionality for risk measurement and analysis.
Overseeing the model calibrations and parameter updates for the production market and trading credit risk platforms.
Leading the project team to bring structured trades and commodity trades into the centralized risk platform.
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Director, Credit Risk Analytics, Dates Employed: 2003 – 2005

Head of Credit Risk Analytics (on trading floor):
Managing the development innovative credit risk methodologies, credit risk models, credit risk evaluation tools and credit risk management systems.
Developing, working with traders and desk heads, a framework of measuring the sensitivities for credit risks, and economic capitals to allow them to monitor and hedge their risks on a daily basis.
Managing the credit measurement oversight and explaining daily credit exposure changes and weekly capital and credit-value-adjustment (deferral) changes.
Producing various intra-day credit risk indicatorsof credit grid and reserve grid to support the front office dealing and derivative pricing.
Producing quarterly economic capital reports for bank’s capital reporting purposes.
Evaluated credit risks and their allocations of derivative portfolios to support intra-day trading activities.
Supported, analytically, for CSA and Risk Limit structuring and setting for risk mitigation and risk control purposes.
 
VP, Risk Oversight, RBC Capital Markets
Dates Employed: 2001 – 2003
Risk Management (on trading Floor):
Measuring credit risks and market risk for capital market portfolios to support the intraday trading business.
Working closely with marketers, traders and risk managers at the Capital Markets to explain the trading risk movements in portfolios and to recommend possible strategies to mitigate risks and minimize the reserve requirements by reconstructing the portfolios or by structuring credit risk mitigation provisions in CSAs.
Monitoring and evaluating the market risks and credit risks of commodity derivatives portfolios and pricing the commodity portfolios as the valuation agency for the designated external clients.
Producing various intra-day credit risk indicators of credit grid and reserve grid to support the risk compliance and derivative pricing.
Specifying and prototyping the overall client and market data structures and the mapping rules to incorporate the credit derivatives and equity derivatives into the existing trading credit risk management system.
Assuming as the backups for the risk management and operations of security borrowing and lending portfolios, and producing firm-wide aggregated risk reports for Risk Operations Committee.
Leading the implementations of the commodity market risk VaR and its back testing processes, and verifying the implementations.
Specifying and designing the middle office FX market risk management reporting process and the commodity P/L decomposition methodology.
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Manager, Credit Risk Methodology and Systems, RBC Capital Markets
Risk Management (on trading Floor):
Dates Employed: 1997 – 2000

PROJECT ROLES
​- Implemented MKIRisk's CARMA as the firm-wide trading risk engine:
Specifying the business functionality and the contract mapping rules for the implementations of the Global Integrated Credit System equipped with the Carma risk engine.
Leading the verification team testing the overall implementations of the Global Integrated Credit System and validating the analytic methodologies of yield curve constructions, Monte Carlo processes of forecasting future market environments, the credit profile generations under various netting rules, the generations of portfolio loss distributions, the capital and deferral allocations, and the market risk VaR evaluations.
TRADING SUPPORTING ROLES:
Analyzing and monitoring the marginal credit and capital impacts of derivative portfolios, and monitoring the credit exposures and capital requirements to support the derivative trading.
Analyzing and monitoring the market risks based on the P/L and PAA components, and synthetically booking strategies for structured derivative deals.

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Education

• University of Waterloo, Degree Name: Doctor of Philosophy (Ph.D.)
  Field Of Study: System Design Engineering
• Dalian University of Technology, Degree Name: Master of Science (M.Sc.)
  Field Of Study: Computational and Applied Mathematics
• Massachusetts Institute of Technology - Sloan School of Management, Degree Name: Certificate, Artificial Intelligence: Implications for Business Strategy