Irakli Machabeli

Mobile: 1 646 945 3101

Working permission: US Green Card

Profile

· Highly skilled and experienced software developer with 15+ years of experience.

· Extensive background in the financial industry, with a firm understanding of both business and technology behind MBS, Fixed Income and Equity derivatives. Series 7 & series 63.

· Diligent and motivated team player with excellent writing and communication skills.

· In depth knowledge of C++, STL, C#, SQL, debuggers for different platforms, memory leak detection tools.

Skills

Programming languages:

Operating Systems:

Databases:

Others:

Windows GUI, MFC, Win32 SDK, ActiveX/COM/DCOM, ODBC, Microsoft Transaction Server, multithreaded programming, ACE Framework, network programming (TCP/IP), XML, PL SQL, Oracle PROC, Oracle OCI, DOS/Windows/Linux internals, ladebug, idebug, gdb, wdb, dde, workshop, soft-ice, insure++, third, purify, UNIX bash scripting, Perl, Clearcase/Clearquest

Employment History

Developed from scratch pricier for non agency RMBS that is primary tool used by traders, as well as for nightly risk calculation. Pricing engine comprises following parts:

· OZ proprietary credit model(combination of short term roll rate model and long term default and loss severity projections based on performance of deal/group collateral relative to vintage and collateral type);

· Prepayment scenarios based on collateral’s HPA as well as refinanceability to FNMA/Freddie Mac or FHA/VA mortgages;

· Extensions to open source Quantlib library for term structure calculation including AR models for forecasting of indexes like COF11 from Swap curve;

· Several batch processes and excel based reports for automation of nightly risk calculation.

· Developed in C++/C# prototype HOAS model (OAS model with multiple paths of housing scenarios). Application leverages Barclay’s implementation of LMM model, INtex is used as a cash flow generator. Agency pass thru cash out refinance prepayment model fitted in MATLAB using multidimensional logistic regression with back fitting algorithm across cube of Rate Incentive, Cum HPA, WALA, SATO, Cum LTV, FICO, Doc. Type etc.

· Designed and implemented Daily Mortgage Packet that includes various pass thru performance metrics. Empirical durations, volatility and convexity adjusted empirical durations. Fully hedged (level, curve & vol.) carry performance as well as regression based models for TBA rich/cheap analysis like standard relative value analysis of Coupon Swap, Butterfly, Current Coupon swap and proprietary constant TBA price and convexity adjusted regression.

· Automated various excel based projection models. Namely TBA supply model, short term prepayment speed projections, worst to deliver TBA analysis etc.

· Participated in development of ALT-A default & loss model. Implemented wrapper on top of polypaths MBS batch calculator to price ALT-A deals using proprietary ALT-A model for different HPA scenarios

· Developed in C# small utilities to speed up data mining and analysis for research publications and recommendations for pass thru trades.

Programmer analyst in the informational technology group of structured equity derivatives trading desk.

· Designed and implemented in C# hedge tracking application that allows simulation of simplified options hedging strategy. Resulting theoretical P&L is compared to the real P&L achieved by trader per customer or per risk book base.

· Developed reference data server on top of Bear Stearns proprietary messaging framework &ACE framework. Prototype was developed using both C++ and C# for Windows and C++ for Linux platform.

· Senior software engineer in a 7-person team responsible for the SDLC of billing engine of BSCS Software.

· Optimized performance and the memory consumption of BSCS main release and lots of customer releases. For example when billing corporate account with 0.5 MLN, just fine tuning STL(roguewave) library on TRUE64 and HP machines saved about 6Gb of memory.

· Ported customer releases for different kind of platforms: from 32 to 64 Sun sparc, from oracle 7 pro c/oci to 8&9.

· Trained onsite colleges in Sao Paolo office. Supported in the feature design for the key customers in Latin America: Nextel Argentina, Brazil, Peru, Telecell Mexico, TIM Brazil etc.

Tbilisi Interbank Currency Exchange – Tbilisi, Georgia June 1993 -Dec 2000

Lead the 5-person team of technical department responsible for the software development and technical maintenance of the exchange.

· Lead design, coding and implementation of application for electronic exchange trading.

· Worked with the dealers to fine tune the final specification for the remote terminals.

· Designed, coded and implemented remote terminals for market participants and software for operators that serve floor brokers·

Open source projects

Education

Non degree student. Classes taken in fall of 2007: Stochastic Calculus, Derivative Securities.

Postgraduate study at the department of applied mathematics. Certificate of exams of Candidate of Science.

School of Business, Tbilisi State University - Tbilisi, Georgia Sep 1990 – Jun 1993

Trainings/Seminars

· Advanced C++. Koelsch & Altmann Software & Management Consulting GmbH. Jun 10-13, 2002, Germany.

· Government Debt Management seminar. Bank of England. Center for Central Banking Studies. Jul 15-18, 1997, Georgia.