PETER CAI, PH.D., CFA + 1
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EXECUTIVE SUMMARY
Extensive business experience in trading, institutional investors, hedge funds, asset managers, prime brokerages for their risk management needs, covering all asset classes. Proven track record of leading, designing and build-out of firm’s risk infrastructure. Analytical and data modeling, process design expertise in the front and middle office. In-depth, up-to-date knowledge of financial risk management framework, theories, best practices, methodologies and regulations. Strong quantitative skills and rigorous knowledge spanning market risk, credit risk, liquidity risk, derivatives valuation, risk based capital, as well as portfolio theories, asset allocation, and risk/performance attribution. Strong management experience in leadership, mentoring and team-building.
PROFESSIONAL EXPERIENCE
5/07-Present SVP, Lehman Brothers, New York, NY Business Risk Manager, Global Credit Trading / Fixed Income Division
Risk Manager and advisor to senior management within Firm’s global credit trading business (with annul trading revenue budget in excess of $3BN, spanning credit cash/derivatives products, structured products, equities, interest rate and FX hedges, emerging markets, etc.), responsible for risk assessment, communication, capital efficiency strategies, limit management and macro hedging recommendations. Lehman's driving force to centrally clear credit derivatives via The Clearing Corporation, helping develop its risk margin requirements, default procedures and guaranty fund sizing. Thought-leader within the Fixed Income Division on scenario and stress testing, sizing of trading strategies and directional views, risk allocation, risk budgeting, risk methodology and risk infrastructure. A tireless promoter of open risk communication using succinct, relevant, and to-the-point risk representation. Front office business sponsor of a Firm risk initiative, with the goal of achieving consistent risk representation using authoritative data sources across all asset classes and instrument types to promote risk dialog and transparency.
5/05-5/07 Morgan Stanley, New York, NY Global Head of Market Risk Analysis
Led a global team of eight responsible for global market risk analysis and reporting covering all asset classes. Developed and implemented scenario analysis and stress testing for Firm’s trading and banking positions. Liaised between Firm Market Risk department, front office trading and technology on the consistency and accuracy of risk representation as well as referential data. Participated in the conception, specification and development of Firm’s value-at-risk methodology, regulatory capital computation, economic capital and other firm-wide risk/capital initiatives.
2/00-5/05 Askari Risk Management, NY, NY Global Head of Risk Consulting
Was a key member of the brain trust and management team. Provided consulting in risk/performance attribution for clients in the United States, Canada, Sweden, United Kingdom, Ireland, France, Singapore, Australia and China.
Led a global professional services team of twelve spanning North America, Europe and Asia. The team provided services in implementation, project management, and risk management consulting/research. Askari consulting projects include: (i) assessment of client risk management needs (New York hedge fund, state pension fund, major Australian investment manager); (ii) deployment of risk analytics and reports to the front and middle office (Singaporean government investment entity); (iii) decomposition and attribution of portfolio tracking risk (European pension fund); (iv) integrated credit/market risk methodologies (Canadian pension fund). Led a research and development project in performance and risk attribution for fixed income products. Supervised and guided quantitative analysts and developers for modeling, prototyping, architecting and development.
2/98-2/00 Sailfish Systems, Reuters Risk Management, NY, NY Senior Financial Engineer
Led a project for detailed financial reconciliation between a derivatives trade-capture system and a firm-wide risk management system. Participated in the design and development of Value-At-Risk modules for credit and buy-side risk management. Provided on-site risk management consulting for major banks and financial institutions in Austria, Germany and Norway.
9/96-2/98 Westvaco Corporate Research, Laurel, MD Senior Research Scientist
Developed mathematical models for the analysis of hybrid paper structures.
PROFESSIONAL ACHIEVEMENTS
Chartered Financial Analyst (CFA); CFA Institute Financial Risk Manager (FRM); GARP Professional Risk Manager (PRM); PRMIA
EDUCATION
Ph.D. Materials Science, 8-96, The Pennsylvania State University, GPA: 3.9/4.0
Performed viscoelastic/viscous computer simulation for hybrid composites. Authored and co-authored seven technical papers published in major research journals. Achieved one of the highest numbers of citations in the research area, as ranked by Google Scholar and other academic citation indices.
B.S. Mathematics and Applied Mechanics, 9-88, Fudan University, Shanghai, China ADDITIONAL INFORMATION US citizen; fluent in Mandarin Chinese and Shanghainese
