1. Raul J. Gianelli
rgiane@yahoo.com
(786) 201-2697
Summary:
Expertise in asset liability management as well as market and credit risk modeling. Extensive experience in mortgage
analytics, forecasting, and financial planning & analysis. Well-versed in setting up and running Dodd-Frank (DFAST),
CCAR, and in-house stress testing in QRM-ALM platform. Effective leadership and communication skills. Able to interact
and communicate effectively with various stakeholders at all organizational levels.
Professional Experience:
Fannie Mae, Washington, DC
Risk Based Capital (RBC) - Risk Analytics Manager 2008 – 2015
− Implemented and executed enterprise level CCAR stress testing for the whole Fannie Mae portfolio on the
Quantitative Risk Management (QRM) – Asset Liability Management (ALM) platform. This exercise also involved
interpolation of the Moody’s scenarios. The test results are reported the Fannie Mae Board of Directors.
− Executed Dodd-Frank Act Stress Testing (DFAST) for the Fannie Mae capital markets mortgage portfolio (~$ 300B).
Presented results to VP of Capital Markets Finance.
− Implemented the Fannie Mae proprietary credit risk model in QRM-ALM using multivariate matrices, vectors,
assumption variables, and QRM equation builder. This credit risk model is the premier model that Fannie Mae uses to
calculate the credit risk of its mortgage portfolio as well as calculation of guaranty fees.
− Implemented QRM ALM model as the new platform for the next generation risk based capital, portfolio
management, and regulatory stress testing exercise.
− Implemented income / capital stress - testing platform in QRM-ALM at business unit level. The main objective of
this exercise was to assess the impact of each stress scenario on the balance sheet of the different business units as
well as isolate the diversification impact from running the whole balance sheet.
− Implemented the Andrew Davison and Company (ADCo) Loan Dynamics Model (LDM) in QRM-ALM. This
process included calibration of the model to actual performance and comparing its performance to other Fannie Mae
proprietary models.
− Recommended a modeling approach for Credit Risk Transfer deals in QRM, modeled the waterfall structure of a
hypothetical deal and made a presentation to explain the new structure and modeling approach to the RBC team.
− Implemented parametric and historical value at risk (VaR) analysis in QRM-ALM. The VaR methodology uses delta-
gamma and total evaluation approaches.
− Performed research and proposed implementation method for credit risk transfer structure of mortgage products in the
QRM-ALM model.
− Back tested the QRM-ALM callable debt model accuracy in the execution of callable bonds in a forecast analysis.
− Presented alternatives for modeling counterparty risk and credit enhancement contracts for MBS pool insurance.
− Created process documentation and white papers for internal model audit teams.
− Other responsibilities include:
 Trained the existing RBC team in market risk analysis and the use of the QRM platform.
 Provided technical support to our legal department in the contract negotiation with QRM.
 Partnered with the technology team to continuously improve the QRM-ALM processing time and
process controls.
 Worked with business partners to create the data set required for the new credit models.
E*Trade Financial, Arlington, VA
Senior Risk Manager 2007 - 2008
− Calculated and reported the daily risk position of the Bank to the director of asset/liability management, using QRM
ALM and PolyPaths.
− Calculated, analyzed, and reported market value of portfolio equity by marking to market all assets, liabilities, and off
balance sheet items using QRM-ALM and PolyPaths.
− Calculated, analyzed, and reported earnings sensitivities to the VP of Financial Planning and Analysis, by forecasting
net interest income for all assets, liabilities, and off balance sheet items using QRM-ALM.
− Coordinate the development and gathering of data and business assumptions of the forecast and earnings at risk
process, guided staff in assumptions documentation, and evaluated them for reasonableness and consistency.
− Calculated and reported net interest income for the Bank under multiple scenarios.
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2. − Supervised the production of regulatory and internal risk management reports and treasury liquidity reports, including
the ALCO package.
− Created process documentation and white papers of existing and proposed methodologies.
Bank United, Coral Gables, FL
VP - A/L Management. 2004 - 2007
− Led the A/L management and forecasting teams.
− Designed, developed and implemented a prepayments model, to keep track of the loan portfolio performance.
− Created a mortgage analytics package in Hyperion (now Tableau) to understand portfolio trends and evaluate
strategies.
− Reported, analyzed, and presented the institution earnings forecast. Analyzed and made recommendations to
maximize revenue and minimize interest rate risk and liquidity, while controlling adequate levels in equity ratios and
other business and regulatory key metrics.
− Implemented funds transfer pricing (FTP) in BancWare. Reported and analyzed presented results.
− Responsible for the forecast process from updating the current position and new business assumptions to analyzing
different scenarios, interest rate scenarios, and forecasted CPRs. Prepared the Strategic ALCO package, including the
Bank’s earnings forecast and various ad hoc analyses depending on the focus of the meeting.
− Modeled structured securitizations, non-determined maturity deposits sensitivity and reasonableness of MSR
valuations.
− Designed, developed, and implemented a mortgage analytics package.
− Designed, developed, and implemented a FHLB advances sale and callability models.
− Responsible for the TB-13 modeling comparison to OTS results, reconciliation and presentation to the Board of
Directors.
Union Bank, Sunrise, FL
Financial Analyst, Investments. 2004 – 2004
− Assisted in the development and implementation of investment, funding and borrowing strategies. Prepare the
information package for the asset-liability and the investments committee.
− Developed a database and a reporting system to survey the performance of non-agency securities.
− Made credit analysis on corporate, CMBS and ABS bonds.
− Prepared the information package to feed the IP Sendero Asset Liability model.
− Provided modeling, advising and recommendations to the marketing department on areas such as product profitability
− Assisted in identifying new technologies to support the investments and IRR processes.
Cotecna Quality Resources, Miami, FL
Network Coordination Manager. 2003 - 2003
− Oversaw Finance, Administration, Sales, Marketing, and Operations.
− Managed the budget and forecasting sales and expenses.
− Supervised financial matters. Vendors payable, accounts receivables and reconciliation.
− Prepared documentation to demonstrate financial stability and the use of resources needed for the operation.
− Monitored products and service implementation. Lead the monthly management review.
American Express, Buenos Aires, Argentina
Risk Operations Latin America & Caribbean. Business & Financial Senior Analyst. 1997 - 2002
− Responsible for preparing and analyzing all financial and production MIS for all risk related areas providing support
to the Latin America & Caribbean VP of Risk Operations.
− Led initiatives to align Risk Operations MIS across Latin America & Caribbean and other corporate units such as
International Call Center Engineering, International Portfolio Profitability, Business Engineering and Operations
Finance.
− Developed forecasting models for the main financial variables of the card portfolio.
− Developed a capacity-planning tool to forecast the impact of the key operations volumes on the number of resources.
Made the budget and lead the ABM mapping of all risk areas.
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3. Education:
Master of Science in Finance (MSF), Florida International University.
BA in Economics. Florida International University.
Applications:
Asset/Liability Management: IPS Sendero ALM, BancWare ALM, QRM ALM, PolyPaths, Intex
Productivity: VBA, SQL, MS Office Suite, Hyperion, Tableau, Business Objects.
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