sheharyar hasan

vice president

About

Finance professional with over 20 years experience in fixed income portfolio management, balance sheet interest rate risk management and financial modeling. Expertise in investing in Mortgage Backed Securities, Agency CMBS and hedging interest rate risk of $13 billion Mortgage Backed Securities Portfolio. Additional expertise in use of derivatives for hedging MBS portfolios.

Country

united states

City

short hills

Industry

banking

Skill

capital markets, fixed income, bloomberg, derivatives, financial modeling, portfolio management, credit risk, risk management, valuation, interest rate derivatives, investments, structured finance, trading, asset management, market risk, equities, hedge funds, finance, cmbs, residential mortgages, mortgage backed security, financial risk, bonds, hedging, banking, swaps, mbs, alm, agency mbs, intex, intex desktop, model validation, qrm, var

Experience

assistant vice president

federal home loan bank of new york

1996-1 - 2010-3 · 14 yrs 3 mos

vice president, investments and portfolio management

federal home loan bank of new york

2010-3 - 2016-7 · 6 yrs 5 mos

Responsible for investing in Agency Mortgage Backed Securities (MBS) and CMBS for the Bank’s investment portfolio. Developed new investment ideas and hedging strategies for the portfolio. Used Polypaths, Bloomberg, INTEX and AFT prepayment model to evaluate candidates for potential investments. Manage the interest rate risk of Floating and Fixed rate MBS portfolio by utilizing bonds, caps and swaps. Forecast expected margin and asset liability gaps, utilizing models such as Polypaths, QRM and INTEX. Evaluate the credit risk and potential impairment of the Bank’s legacy Private Label MBS portfolio utilizing INTEX. Calculate various risk parameters such as mark-to-market and effective duration to be used in monthly risk management reports for the investment portfolio.