Ray Raphy
New York,United States
Summary
Financial Crime Compliance Risk professional with leadership experience in FCC Risk Modeling & Analytics including:
- Transaction Monitoring Systems & Models
- Sanctions Screening Systems & Typologies
- Customer Risk Rating Models and Compliance Risk Assessments
- Compliance System Model Validations including Machine Learning models
Also experienced in quantitative financial risk analytics including:
- Counterparty Credit Risk Analytics
- Derivatives Exposure & Regulatory Capital calculations
- Statistical & Value-At-Risk Modeling
- Risk Data Systems & Risk Reporting
Career background also includes:
- VLSI Design - Research & Development, with seven design methodology patents
Overview
25
25
years of professional experience
1
1
Certification
Work History
Associate Director - Compliance Risk Modeling & Analytics
Capgemini
05.2018 - Current
- Responsible for leading international banking client engagements and delivering firm's data & analytics driven Financial Crime Compliance solutions combining domain expertise with quantitative & qualitative risk analytics
- Lead implementation, optimization and validation projects for compliance technology systems and models such as Transaction Monitoring, Sanctions Screening and Customer Risk Rating.
- Performed multiple model conceptual soundness analysis, performance testing and outcome analysis, ongoing monitoring and system governance analysis etc. as part of compliance model validations
- Also performed extensive data testing including data quality and data lineage analysis of compliance systems as part of model validations.
Vice President - Counterparty Credit Risk Analytics
Credit Suisse
07.2015 - 06.2018
- Worked on CCR RWA and Exposure analytics for derivatives desk and generated actionable trade recommendations to support RWA reduction efforts of the bank
- Developed and performed Exposure Breakdown analysis, Risk Driver Move analysis, Marginal VaR analysis, Impact Analysis on FX and EQ sensitivity scenarios and Trade Novation analysis
- Performed Unsecured MtM analysis, Collateral Haircut and Allocation analysis, Maturity analysis, Wrong Way Risk analysis and various ad hoc analyses for front office.
Senior Quantitative Analyst - Modeling Manager
GE Capital
06.2014 - 07.2015
- Worked as a Quantitative Analyst and Modeling Manager in the Model Development Center Of Excellence at GE Capital responsible for the development, validation and governance of finance and risk models
- Worked on the development of statistical models for portfolio valuation and gap analysis, residual risk models and stress test models for CCAR
- Worked on the development of SR11-7 based Model Risk Management framework for GE Capital performing MRM gap assessment, model inventory attestation, model suite consolidation, documentation template development etc.
Advisory Financial Risk Engineer
IBM
08.2009 - 06.2014
- Worked as a Financial Risk Engineer with IBM Corporate Headquarters performing risk modeling and analytics for IBM Treasury and Enterprise Risk Management teams
- Worked with Treasury FX trading desk to improve hedging models for non-functional currency exposures in order to reduce the effect of currency volatility in company PNL
- Worked on analyzing and streamlining the FX exposure generation process in IBM
- Developed and implemented a Value-at-Risk based FX hedging model, performing scenario analysis with varying hedge ratios to identify hedging improvements, exploring minor currency hedges with correlation analysis and cross program hedging options
- Enhanced the Country Finance Risk Score model for IBM Enterprise Risk Management team by performing regression analysis and correlation analysis to re-fit internal and external risk factors
- Worked on analyzing risk modeling issues associated with 'The fundamental review of the trading book' for Basel III framework
- The project involved qualitative analysis of the proposed market risk models to identify potential regulatory capital arbitrage scenarios
- Worked on the development risk management for various Systems Technology Group design projects.
Engineer/Scientist - VLSI Design
IBM
01.2002 - 08.2009
- Worked on the VLSI Physical Design of high end microprocessors and other complex computer chips for IBM Servers in industry pioneering technologies
- Conducted research in VLSI Design methodologies and tools which resulted in 7 US patents and 2 publications.
Field Application Engineer - Xilinx products
Insight
01.2000 - 06.2000
- Worked as Field Application Engineer for Xilinx FPGA and CPLD products.
Component Library Engineer - OrCAD
Nikkel International
05.1999 - 12.1999
- Performed component library development for OrCAD EDA tools using VHDL.
Education
MS - Financial Risk Management
University of Connecticut School of Business
01.2013
MS - Computer Engineering
Manhattan College
01.2001
MS - Electronics Science
Cochin University of Science and Technology
01.1999
BS - Physics
Mahatma Gandhi University
01.1996
Skills
- Financial Crime Compliance
- Financial Risk Modeling
- Financial Risk Management
- Transaction Monitoring Systems and Models
- Sanctions Screening Systems and Models
- Compliance Risk Assessment and Coverage Assessment
- Customer Risk Rating Models
- Statistical Modeling
Websites
Certification
Certified Anti-Money Laundering Specialist (CAMS) - ACAMS
Accomplishments
Patents:
US PATENT 7823108: Chip having timing analysis of paths performed within the chip during the design
US PATENT 7120888: Method, system and storage medium for determining circuit placement
US PATENT 7290233: Method for netlist path characteristics extraction behavior
Timeline
Associate Director - Compliance Risk Modeling & Analytics
Capgemini
05.2018 - Current
Vice President - Counterparty Credit Risk Analytics
Credit Suisse
07.2015 - 06.2018
Senior Quantitative Analyst - Modeling Manager
GE Capital
06.2014 - 07.2015
Advisory Financial Risk Engineer
IBM
08.2009 - 06.2014
Engineer/Scientist - VLSI Design
IBM
01.2002 - 08.2009
Field Application Engineer - Xilinx products
Insight
01.2000 - 06.2000
Component Library Engineer - OrCAD
Nikkel International
05.1999 - 12.1999
MS - Financial Risk Management
University of Connecticut School of Business
MS - Computer Engineering
Manhattan College
MS - Electronics Science
Cochin University of Science and Technology
BS - Physics
Mahatma Gandhi University
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