1. rafaellove@gmail.com | 415.530.7224 | 2571 25th
Avenue, San Francisco CA 94116
Rafael Love
Ambiverted, multilingual and quantitatively-driven bank professional with nine years of financial market risk modeling
and enterprise risk management experience. Skilled in highly-formulaic, data-intensive and VBA-driven Excel
spreadsheets. Experience in enterprise risk reporting & asset-liability balance sheet management (QRM). Analyst and
managerial experience in developing unified frameworks within the risk analysis scope of a multibillion dollar private-
label RMBS portfolio, dashboard design, and risk assessment report writing and quantification. M.S. in Quantitative and
Computational Finance from Georgia Institute of Technology and a B.S. in Engineering Physics from Embry-Riddle
Aeronautical University. References from multiple sources available upon request.
EXPERIENCE
Federal Home Loan Bank of San Francisco (Assets of US$99.4 Billion as of June 2016) – San Francisco, CA (Jan 2012 – Present)
Financial Analyst III (Senior Analyst) – Market Risk Management (Jan 2012 – Present)
Market Risk Analytics (Apr 2014 to Present)
Income Simulation (Jan 2012 – Apr 2014)
• Lead analyst in charge of monthly market risk modeling and reporting of the bank’s balance sheet. This includes market, position, recon to GL,
benchmarking (e.g., QRM vs PolyPaths vs VS2), RMP compliance, parallel & non-parallel stress scenario analysis, various forms of sensitivity
analysis, volatility shocks, MVaR, basis risk, attribution.
• Process most of QRM user-end analyses. This includes ETL setup, product/account creation, loading of market data and extraction &
stratification of position from various databases, market shocks for various scenarios, planning runs, canned and user-defined reporting, etc.
• Continually automate most of the Market Value processes (via Excel VBA), which were mostly manual before I joined. This greatly reduced (and
continues to minimize) the time-to-completion of deliverables and reduced operational risk.
• Create monthly material for and attended ALCO, MPWG and CBWG meetings
• Produce bi-monthly content for the CRO report to the Board of Directors, and quarterly/annual FHFA schedules.
• Participate in providing material to internal audit, model validation, SOX compliance, and examiners.
• Create reports and decks which rely on error checks and complex & creative Excel formulae / VBA code, from raw data import to final form.
• Participated in the first Dodd-Frank / CCAR stress testing (in 2014)
Federal Home Loan Bank of Atlanta (Assets of US$124 Billion as of Mar 2011) – Atlanta, GA (Dec 2006 – May 2011)
Senior Financial Risk Analyst II / Team Lead – Financial Risk Modeling (Jan 2011 – May 2011)
Senior Financial Risk Analyst I – Financial Risk Modeling (Apr 2009 – Dec 2010)
Financial Risk Analyst II – Financial Risk Modeling (Nov 2008 – Mar 2009)
• Team lead in charge of carrying out the responsibility of analyzing the bank’s private-label MBS (PLRMBS) portfolio (US$4.7 Billion) for expected
cash flow loss (for Other-Than-Temporary-Impairment purposes).
• Led the research into optimal short-term calibration methodology of the bank's PLRMS portfolio relative to the PLRMBS universe and
streamlined the automated process for the calibration.
• The complex, multi-component process’s holistic approach to OTTI modeling involved the following:
− Extract loan-level historical data (via TrueStandings) for loans underlying all pools comprising the deals for which the bonds belong to.
− Utilize self-built VBA macros to create Loan Performance Risk Model friendly input data, transform data into Intex-friendly pool-level inputs
(PSS files) to be run on a portfolio mode, extract and analyze and discount cash flows.
− Create pool-level projected credit vectors (prepayment, delinquency, default, loss severity, etc) in Loan Performance Risk Model.
− Perform various miscellaneous analysis as requested directly by the CFO (e.g., backtesting, detailed HPI analysis, benchmarking)
• Create memos and presentations for executive management, Board of Directors, examiners and the FHFA.
• Idealized and executed research aimed at preparing the bank for sound voting in regards to the FHLB System OTTI Governance Committee
quarterly meetings.
• In helping to shape the framework for the bank’s OTTI analysis, enabled the otherwise-impossible communication between systems for
simulation purposes.
− Programmed mouse-movements via AutoHotKey so as to run BlackRock – brute force (i.e., forced simulations) - thousands of times (via

2. multiple computers), extract data into Excel, and perform distributional analysis so as to determine expected cash flow losses.
Quantitative Analyst – Enterprise Risk Management (Jan 2008 – Nov 2008)
Associate I – Enterprise Risk Management (Dec 2006 – Dec 2007)
• Played a major role in the establishment of the framework for the newly-formed Enterprise Risk Management Risk Reporting and Analysis.
• Restructured the underlying analytical composition of the bank’s ERM-led annual risk assessment report to include more quantitative analysis.
An example includes the creation of a risk level & direction scoring algorithm at the granular level and at all levels rolled up to the enterprise.
• Participated in and quantified ERM-led risk assessments at the group and executive levels.
• Led the ERM team in the development of regular reports to the Board of Directors. The report includes, for example, a combination of
regression-based analysis, hypothesis testing, Monte Carlo simulation, VaR analysis that is aimed at combining quantitative and qualitative
analysis in determining risk trends in the individual risk metrics, lines of business, risk categories and the enterprise position.
• Collaborated with multiple business units in the ERM reporting of KRIs and KPIs for the following areas:
− Market risk: e.g., duration, market VaR, macro-hedge, interest rate sensitivity.
− Credit risk: e.g., collateral discount, loan loss reserve, MBS portfolio analytics.
− Operational risk: e.g., Basel II and COSO alignment, scenario analysis, metric creation.
• Frequently met with members of executive management to discuss both ad-hoc and long-term project specifications, business planning,
regulatory requirements and the conceptualization of ideas.
Georgia Tech Research Institute – Atlanta, GA (2004 – 2006)
Graduate Student Assistant - Electro-Optics Laboratory
• Modeled & analyzed the characteristics of hyperspectral signatures using pattern recognition (via Matlab). Published the paper “Statistical
analysis of spectral data for vegetation detection” in the journal “Proceedings of SPIE, the International Society for Optical Engineering”.
CREOL – Orlando, FL (Summer 2003)
National Science Foundation-sponsored Intern - Ultrafast Photonics Laboratory
• Transformed the analytical theory of linear / nonlinear optical dispersion of fiber optics / grism / prism into numerical code for software.
EDUCATION
M.S. in Quantitative and Computational Finance - Georgia Institute of Technology – Atlanta, GA (2006)
B.S. in Engineering Physics / Minor in Mathematics - Embry-Riddle Aeronautical University - Daytona Beach, FL (2004)
PROFICIENCIES
Spoken Languages: Fluency in English, Portuguese and Spanish
Programming/Applications (Current): Excel (VBA, Complex Formulae & Design), PowerPoint, Word, Access, QRM, Polypaths, Bloomberg
Programming/Applications (Rusty): Matlab, Intex Desktop, CoreLogic's Loan Performance Risk Model, Maple, BlackRock, Mathematica,
Labview, MS Office, Bloomberg, AutoHotKey, Photoshop, AutoHotKey, Polypaths, C, TrueStandings,
MISCELLANEOUS STRENGTHS, INTERESTS AND ACCOMPLISHMENTS
• Organizational interest in the field of data visualization psychology (e.g., Tufte, sparklines, dashboard design).
• Cross-cultural experience of having lived both in the U.S. and in Brazil.
• International Baccalaureate scholar.
• Delegate chosen as the one to represent Florida in the 1999 National Youth Science Camp.
• Personal interests include: hiking, traveling, diversity of knowledge, science-based (molecular) gastronomy & mixology, outdoor activities with
my wife, daughter & two amazing dogs. Oh, and I do have a pet project: check out my site and white paper: ampd.io/whitepaper