Senior Mortgage Quant Developer
Pine River Capital Management
Design the whole system structure and implement key components.
Worked on trading-desk offering system used by both Agency and Non-agency desks. Provided scalability and compatibility with company’s web services
Project description :
- Designed and developed CMBS default model from scratch for both Excel and .NET platforms
- Term defaults are estimated based on predicted cap rates and market valuations
- Top 10 and large special serviced loans are validated manually by credit person
- Used INTEX and CoStar as a base data feed of financial details for commercial assets
- Utilized PPR market forecast data for cap rates and NOI predictions
- Developed RMBS and CMBS pricing tool in C# based on INTEX API
- Worked closely with trading desk, legal team, accountants and third parties (INTEX, Bloomberg)
- Developed commercial loan-underwriter application that transformed commercial real estate group from the traditional spreadsheet method of underwriting to using to a more modern SQL-SERVER database and web-based approach. Utilized ASP, stored-procedures and UDFs
- Design and develop Polaris system, which is a key firm level application supporting the whole company’s daily business based on SOA structure, which involve most of latest technologies of Microsoft, including Prism, WPF,WCF, Linq etc. As the architecture of this project, I am responsible to design the whole project structure, which is based on Microsoft the latest enterprise level smart client technology (Prism), and lead a key role in the process of developing all of components involved. Now this application has become an indispensable tool for trading desk to do their daily business, providing in time and essential information for senior operators to make crucial decision.