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 experiencein developing unified frameworks within the risk analysis scope of a multibillion dollar private-
label RMBS portfolio,dashboard design,and risk assessmentreport writingand 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 incharge of monthlymarket risk modeling andreportingof the bank’s balance sheet. This includes market, position, recon to GL,
benchmarking (e.g., QRMvs PolyPaths vs VS2), RMP compliance, parallel& non-parallel stressscenarioanalysis, various forms ofsensitivity
analysis, volatilityshocks, MVaR, basis risk, attribution.
• Process most of QRMuser-end analyses. This includes ETL setup, product/account creation, loading of market data andextraction&
stratificationof positionfrom various databases, market shocks for various scenarios, planning runs, cannedanduser-definedreporting, etc.
• Continuallyautomate most of the Market Value processes (via Excel VBA), whichwere mostlymanual before I joined. This greatlyreduced (and
continues to minimize) the time-to-completionof deliverables andreduced operational risk.
• Create monthlymaterial for andattended ALCO, MPWG andCBWG meetings
• Produce bi-monthlycontent for the CRO report to the Boardof Directors, and quarterly/annual FHFA schedules.
• Participate inproviding material to internalaudit, model validation, SOX compliance, andexaminers.
• Create reports anddecks whichrelyonerror checks andcomplex & creative Excel formulae / VBA code, fromrawdata import to final form.
• Participated inthe first Dodd-Frank / CCAR stress testing (in2014)
Federal Home Loan Bank of Atlanta (Assets of US$124 Billion asof 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 incharge ofcarrying out the responsibilityof 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 methodologyof the bank's PLRMS portfoliorelative to the PLRMBSuniverse and
streamlinedthe automatedprocessfor 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 dealsfor which the bonds belongto.
− Utilize self-built VBA macros to create LoanPerformance RiskModelfriendlyinput data, transform data intoIntex-friendlypool-level inputs
(PSS files) to be run ona portfoliomode, extract andanalyze anddiscount cashflows.
− Create pool-level projectedcredit vectors (prepayment, delinquency, default, lossseverity, etc) in Loan Performance RiskModel.
− Perform various miscellaneous analysis as requesteddirectlybythe CFO (e.g., backtesting, detailedHPI analysis, benchmarking)
• Create memos andpresentations for executive management, Boardof Directors, examiners andthe FHFA.
• Idealizedandexecutedresearch aimedat preparingthe bank for soundvotinginregards to the FHLBSystem OTTI Governance Committee
quarterlymeetings.
• In helping to shape the framework for the bank’s OTTI analysis, enabledthe otherwise-impossible communicationbetweensystems for
simulationpurposes.
− Programmedmouse-movements via AutoHotKeysoas to run BlackRock – brute force (i.e., forced simulations) - thousands oftimes (via

2. multiple computers), extract data into Excel, andperform distributional analysissoas to determine expectedcashflowlosses.
Quantitative Analyst – Enterprise Risk Management (Jan 2008 – Nov 2008)
Associate I – Enterprise Risk Management (Dec 2006 – Dec 2007)
• Playeda major role in the establishment of the framework for the newly-formed Enterprise RiskManagement Risk ReportingandAnalysis.
• Restructuredthe underlying analytical compositionof the bank’s ERM-ledannual risk assessment report to include more quantitative analysis.
An example includes the creationof a risk level & directionscoring algorithm at the granular level andat all levels rolled upto the enterprise.
• Participated inandquantifiedERM-ledriskassessments at the groupand executive levels.
• Led the ERMteam inthe development of regular reports to the Board ofDirectors. The report includes, for example, a combinationof
regression-basedanalysis, hypothesistesting, Monte Carlo simulation, VaR analysisthat is aimedat combining quantitative andqualitative
analysis indeterminingrisktrends in the individual risk metrics, lines of business, risk categories and the enterprise position.
• Collaboratedwith multiple businessunits inthe ERMreporting ofKRIs and KPIs for the following areas:
− Market risk: e.g., duration, market VaR, macro-hedge, interest rate sensitivity.
− Credit risk: e.g., collateral discount, loanloss reserve, MBS portfolio analytics.
− Operational risk: e.g., BaselII andCOSO alignment, scenarioanalysis, metric creation.
• Frequentlymet withmembers of executive management to discuss both ad-hoc andlong-term project specifications, business planning,
regulatoryrequirements andthe conceptualization ofideas.
Georgia Tech Research Institute – Atlanta, GA (2004 – 2006)
Graduate Student Assistant - Electro-Optics Laboratory
• Modeled& analyzedthe characteristics ofhyperspectralsignaturesusing pattern recognition (via Matlab). Publishedthe paper “Statistical
analysis of spectral data for vegetationdetection” inthe journal “Proceedings ofSPIE, the International Societyfor Optical Engineering”.
CREOL – Orlando,FL (Summer 2003)
National Science Foundation-sponsored Intern - Ultrafast Photonics Laboratory
• Transformedthe analytical theoryof linear / nonlinear optical dispersion of fiber optics / grism / prism intonumerical code for software.
EDUCATION
M.S. in Quantitative and Computational Finance - Georgia Instituteof Technology – Atlanta,GA (2006)
B.S. in Engineering Physics / Minor in Mathematics - Embry-Riddle Aeronautical University - Daytona Beach, FL (2004)
PROFICIENCIES
Spoken Languages: FluencyinEnglish, 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 RiskModel, Maple, BlackRock, Mathematica,
Labview, MS Office, Bloomberg, AutoHotKey, Photoshop, AutoHotKey, Polypaths, C, TrueStandings,
MISCELLANEOUS STRENGTHS, INTERESTS AND ACCOMPLISHMENTS
• Organizationalinterest inthe fieldof data visualizationpsychology(e.g., Tufte, sparklines, dashboard design).
• Cross-cultural experience of havinglivedbothin the U.S. and inBrazil.
• International Baccalaureate scholar.
• Delegate chosenas the one to represent Florida inthe 1999 National Youth Science Camp.
• Personal interests include:hiking, traveling, diversityof knowledge, science-based(molecular) gastronomy& mixology, outdoor activities with
my wife, daughter & two amazing dogs. Oh, and I do have a pet project:checkout mysite andwhite paper:ampd.io/whitepaper