TOBI OYELESI,CFA
230 W 55 St. #28E, New York, NY 10019  908-477-4692  Email: oyelesit@yahoo.com
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PROFESSIONAL PROFILE
Senior Quantitative Analyst with highly innovative and strong programming skills, as well as in-depth market
understanding and broad financial products management. Quantitative and technical solutions include asset
allocation strategies that deliver high returns for pension fund managers, and management of high-performing
equity portfolios. Other solutions are risk models which are used to evaluate and manage portfolio/enterprise market
risk exposures and limits. Experience also includes evaluating other processes, writing specifications and
developing technical solutions. Leadership experience includes management of other members of staff and
maintaining relationships with service providers. Currently managing four people.
PROFESSIONAL EXPERIENCE
Securities and Exchange Commission (SEC), New York City, NY
Financial Engineer
Nov-2013 to Date
Responsible building, maintaining, and enhancing the tool utilized for analyzing registrants’ trade blotters for
examination and investigation purposes. The tool is Excel/VBA and SQLite based. Also responsible for
examining and carrying out complex analyses of transactions based on intra-day data provided by registrants,
Bloomberg, Morningstar, etc. Securities analyzed include equities, mutual funds, municipal bonds, corporate
bonds, and derivatives.
Quantitative Model Developed:
- SEC due diligence national examination tool for transactions analyses and reporting. Tool utilized for the
examination of registrants such as hedge funds, banks, broker dealer, etc. Investments held by registrants
are fixed income, equity, options, swaps, futures, mutual funds, etc. As stated above, the tool is
Excel/VBA and SQLite based.
List of analyses and reporting:
- Investments ranking and suitability
- Daily and intra-day PnL
- Trade patterns
- Accumulation vs events
- Restricted list and employee trades
- Cross and wash trades
Societe Generale, New York City, NY
VP, Interest Rates Group
April-2010 to Nov-2013
Responsible for building/supporting tactical tools for pricing, pnl and risk management purposes. Applications are
mostly Excel/VBA based, with DLLs written in C#. Products covered are commodities, US treasuries, swaps,
swaptions, agencies, etc. Data sources utilized by pricers/pnl/risk tools are Sybase, Reuters, Bloomberg, etc.
Quantitative Models Developed:
- Treasury bills, notes and bonds pricing tool
- Treasury strips pricing tool
- Callable Agencies pricing & risk analyses tool
- Emerging Markets rates risk & pnl analyses utilizing
- Interest rates curve models
- Data transfer process to Market Axess and Codestreet
- Treasury bills, notes, & bonds’ ISIN, issue date, first coupon date and maturity date generator
- Swaps pricing & risk analyses tool
- Swaptions pnl and risk tool
- Commodities pricing tool
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Managed 4 members of staff
Environment/Tools:
- Reuters/RMDS, Bloomberg, RiskOne, SG Analytical Libraries, VBA, Excel, C# (COM), Sybase, Shell
Scripts
GE Capital, Stamford, CT
Consultant
Jun-2009 to Dec-2009
Proposed and built solutions for asset/liability management and data validation purposes.
Portfolio Optimization Model Developed:
- Allocated new capital or funds from maturing investments so as to match liabilities/buffer requirements.
- Remaining funds allocated to investments with the highest Sharpe ratios at specified tenors.
- Validation model analyzed historic and current market data extracted from a Sybase database and
Reuters.
- Multi-dynamic validation model, built to both generate and save a log file of anomalies for further
investigation.
Environment/Tools:
- Sybase, SQL, Access, VBA, Excel, Windows etc.
Fortis, New York City, NY
VP, Money Market/ Fixed Income Modeling
Mar-2006 to May-2009
Responsible for Money Market, Repo, Fixed-Income Derivatives, and FX Desks. Developed models that evaluate
market prices and risk exposures (i.e. PV01/DV01/VaR & other Greeks); and compared against limits. Other
models are utilized for back and stress testing purposes. Also identified technical requirements from traders and
evolved specifications for tactical as well as long-term modeling purposes.
Quantitative Models Developed:
- FI, FX, MM, Agencies and Repo pricing, P&L/Yield and attribution analyses models
- Equity, FI Derivatives and Energy VaR models that obtained live prices and FX rate feeds from
Bloomberg and other workbooks. All data are loaded onto MS Access. Data from queries are then
analyzed using VBA as well as written onto Excel.
- Intra-day VaR model for FX spot exposures. This model calculated running totals of FX exposures in
various currencies, obtained tick data from Bloomberg, and computes VaR
- Developed Credit Default Option model based on Monte Carlo methodology
- Automated data download from the web; automated uploads and plotting of historic P&L & VaR data
onto charts for back testing purposes. Automated download of historic and/or bulk data from Bloomberg
based on date range and list of tickers provided. Automated compilation, formatting and sending of daily
risk reports via Outlook
- Managed 2 members of staff and a consultant
Environment/Tools:
- Oracle, SQL, Access, VBA, Excel, Windows, PolyPaths, etc.
Goldman Sachs, Jersey City, NJ
Consultant
Jul-2005 to Feb-2006
Major overhaul of trading floor server installation processes. Developed multiple quantitative models, and other
applications for this purpose.
Quantitative Models Developed:
- Generated daily and weekly reports on team’s activities
- Produced performance measurements, statistical analyses and forecasting of requirements
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Assessed historic data analyses to ascertain most appropriate analogues
Forecasted revenue and expenditure used for improving P&L
Automated extraction of data and generated tables and charts
Other Accomplishments:
- Created a Java application to extract data from proprietary database schemas, manipulated the data,
- mapped identical fields to each other and saved results into Access database.
- Programmed Java script validation functions in proprietary database GUI.
- Updated and maintained Access and Sybase database for data integrity purpose.
Environnent/Tools:
- Oracle, Access, SQL, Java, Excel/Macros, VB/VBA, Matlab, XML/XSL, S&P, Lipper, JavaScript,
D/HTML, MS Project, Windows & NT, Sybase
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ALTANA Pharma US, Florham Park, NJ
Franchise Manager
Apr-2003 to Jul-2005
Developed models that produced sales/revenue projections of products under development based on epidemiology,
competing products data, etc. Model was utilized for revenue projections and other decision-making and marketing
purposes. Also monitored usage of an Intranet site and reported on monthly activities.
Quantitative Models Developed:
- Assessed and forecasted products costs, sales and revenues. Evaluated third-party epidemiology reports.
- Analyzed historical data to ascertain most appropriate analogues for assessment purposes.
- Modeled, architected, designed and developed relational database for storing data.
Environment/Tools:
- IMS Health/MIDAS, NDTI, Dataview, Decision Resources, Data monitor, Electronic Orange Book, New
Product Spectra, IMS Analog Planner, Price Probe, Verispan, other Databases
mPower Inc., London, UK
Senior Investment Analyst
Sep-2000 to Sep-2001
Responsible for setting up the firm’s Research & Strategy unit, developed investment methodology and wrote
technical specification for building an automated online investment advice application.
Quantitative Models Developed:
- Daily evaluated price/risk of fixed income, equity, real estate, bonds and derivatives
- Forecasted market data for optimization purposes using Bootstrap methodology
- Generated portfolios based on Markowitz Mean-Variance optimization methodology
- Replicated portfolios based on a basket of mutual funds using a multi-factor model
- Designed relational db; ascertained appropriate market indices for benchmark purposes
Other Accomplishments:
- Developed investment methodology that combined top-down and bottom-up attributes.
- Designed and implemented Java-based automated process for investment advice.
- Assessed individuals’ risk profiles and mapped them to appropriate efficient portfolios.
Environment/Tools:
- Oracle, Access, SQL, Java, Excel/Macros, VB/VBA, Matlab, XML/XSL, S&P, Lipper, Javascript,
D/HTML, MS Project, Windows & NT
Hermes Pension Fund Management, London, UK
Investment Analyst
Jul-1995 to Aug-2000
Managed top performing stock portfolio worth $400MM. Evaluated (equity, fixed income, real estate, ABS, REITs,
etc.) investment markets. Generated optimal portfolios based on capital market expectations and ALM. Made
recommendations/decisions regarding strategic/tactical asset allocation and stock selection regarding a $60B fund.
Quantitative Models Developed:
- Priced derivatives and portfolio hedging for real estates, equity and fixed income portfolios
- Forecasted total return and cash flow with respect to fixed income, real estate MBS & ABS
- Analyzed portfolio optimization, VaR and credit risk attributions
- Modeled, architected, designed, developed and populated relational database
- Analyzed NPV/IRR of individual investments and portfolios for Hold/Sell recommendation
- Produced and presented strategy papers and progress reports to management and board of trustees.
Environment/Tools:
- Oracle, Access, SQL, Java, C++, C#, Excel/Macros, VBA, Matlab, XML/XSL, JavaScript, S&P, @Risk,
Barra, Ibbotson, RATS, ARGUS, SAS, Unix, OS/2, DOS, Windows & NT
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TECHINICAL SKILLS
Programming:
VBA, Java, C#, JavaScript, Oracle, Sybase, Access, XML/XSL, HTML, SQL, C#
Database Design:
Data Normalization, Tables Relationships, Enforcing Referential Integrity and
Validation Rules, Indexing Techniques
Statistical/Technical:
Monte Carlo Simulation, Markowitz Variance-Covariance Model, Stochastic
Calculus, Black-Scholes Model, Hull-White Model, ARCH, GARCH, AR, MA
Financial Tools:
@Risk, Barra, Bloomberg, Factset, Reuters, PolyPaths, RiskMetrics
Spreadsheet Programs:
Advanced Excel, QuattroPro and Lotus 123
Presentation Programs:
Freelance, PowerPoint, CorelDraw, Word, AmiPro, and WordPerfect
Other Programs:
ARGUS, MicroFit, MatLab, EView, RATS, TSP, SAS, and MS Project
EDUCATION AND CERTIFICATIONS
CFA Charterholder
2009 – current
The Chubb Institute, North Brunswick, NJ
2002 – 2003
Certificate: Web Development & Business Programming
City University Business School, London
1997 – 1999
Master of Science: Mathematical Trading & Finance
Courses covered included Derivatives, Risk Management, Advanced Econometrics, Equity & Fixed Income
Analysis, Quantitative Asset Management, etc. Dissertation in Modern Portfolio Theory.
Birkbeck College, University of London, London
1993 – 1994
Postgraduate Diploma in Economics
Emphasis on Micro/Macro Economics, Econometrics, Bayesian Models, Dissertation in CAPM
Bachelors of Science (Honors) Mathematics
1986 – 1990
Courses covered included Statistics, Real and Complex Analysis, Number Theory, Algebra, etc.