Pavel Okunev

pavel.okunev@loanperformance.com

Experience:      

LoanPerformance              Senior Risk Modeler

San Francisco, CA 94105 2006 to Present

· Developed housing price model for use in valuation of residential mortgage portfolios. The model preserves time and space correlations of housing price returns.

Bank of America Quantitative Analyst

San Francisco, CA 94104 2005 to 2006

· Developed and implemented fast Monte Carlo simulation methodology for operational risk economic capital simulation. The new methodology reduced computation time by up to 1500 times  allowing bank to meet its Basel II regulatory requirements.

· Revised loss severity modeling methodology.

Wells Fargo Bank Structured Credit Analyst

San Francisco, CA 94104 2004 to 2005

· Designed and implemented analytic component of the proprietary CDO valuation software.

· Used commercial and proprietary software to compute implied correlations, tranche losses and loss distributions for CDOs.

Lawrence Berkeley National Laboratory Research Assistant

Berkeley, CA 94720 2000 to 2005

· Developed fast Monte Carlo simulation techniques with applications to statistical physics and  finance.

Review of my work on CDOs:    

                             M. Staunton, Back to Normal for CDOs, Wilmott Magazine, July 2006.

Education:        

University of California at Berkeley Doctor of Philosophy, Mathematics

Berkeley, CA 94720 2005

· Field of Study: numerical analysis (emphasis in  fast Monte Carlo simulations).

University of Connecticut at Storrs BS in Mathematics Moscow University Attended:

Storrs, CT 1999 Moscow, Russia 1993-1995

Programming Skills:  

      C, MatLab, Mathematica

Awards:

· Graduated summa cum laude from University of Connecticut. · Was selected as a University Scholar by the University of Connecticut. This is the highest honor given to undergraduate students at that school. · Was awarded a gold medal upon finishing high school. This medal is the highest honor conferred by the Ukrainian state on high school graduates. · Participated in the Ukrainian Mathematical Olympiads. Was awarded second place once and third place three times.

Publications:

Renormalization Techniques with Applications to                                                                                                                                                             Spin Systems and Finance,  Lawrence Berkeley National Lab Report, 2006.   Using Hermite Expansions for Fast and Arbitrarily Accurate                                                                                      Computation of the Expected Loss of a Loan Portfolio Tranche                                                                in the Gaussian Factor Model                                                                                                                                                                                                                                                                                                           Lawrence Berkeley National Lab Report -57835, 2005.     Comparative Performance of Three Different Algorithms for the                                                            Non-Markovian Optimal Prediction Applied to the Hald System                                                                Lawrence Berkeley National Lab Report -48802, 2001.   with G. Goldberg, M. Neumann, and H. Schneider,  Distribution of                                            subdominant eigenvalues of random matrices                                                                                                                                                                                      Methodology and Computing in Applied Probability, 2:137-151, 2000.

Additional Information:

    A brief biography can be found at

     http://www.loanperformance.com/brain-trust/okunev.aspx