Daniel J. McNulty II

Columbia University Graduate School of Arts and Sciences

Master of Arts - MA, Mathematics of Finance | 2018 - 2020 | Link to Diploma

Activities: The Columbia Quant Group and the Columbia Statistics Club

Coursework:

• Stochastic Processes - Applications I
• Stochastic Methods in Finance
• Statistical Inference/Time-Series Modeling
• Statistical Methods in Finance
• Numerical Methods in Finance
• Quantitative Methods in Investment Management
• Computational Methods in Finance (Columbia Master of Science in Financial Engineering course)
• Mathematical Methods in Financial Price Analysis
• PhD Introduction to Econometrics and Statistical Inference (Columbia Business School course)
• Statistical Computing and Introduction to Data Science
• Linear Regression Analysis
• Introduction to the Mathematics of Finance
• Mathematics of Finance Practitioners' Seminar

The Cooper Union for the Advancement of Science and Art

Bachelor of Engineering - BE, Chemical Engineering | 2013 - 2017

Activities: Cooper Union Finance and Investment Club

Recieved a full tuition scholarship

Risk Advisory Solutions Modeling & Valuation Associate

KPMG US | Jan 2020 - Present

• Appraise and calculate bilateral credit valuation adjustments for portfolios of over 800 positions containing derivatives and securities, including interest rate/cross currency/credit default swaps, interest rate caps/floors, foreign exchange/equity/TBA/credit default swap options, foreign exchange/commodity forwards, warrants, term/delayed draw/revolver loans, corporate/municipal bonds, collateralized mortgage obligations, and various asset backed securities using Bloomberg and INTEXcalc
• Conduct hedge effectiveness tests on interest rate swaps meant to protect against inopportune and unforeseen interest rate changes
• Perform quality control tests on firm valuation tools and facilitated the implementation of a new valuation tool

Advisory Risk Analytics Valuation Intern

KPMG US | Jun 2019 - Aug 2019

• Calculated valuations, including bilateral credit valuation adjustments, of portfolios with over 200 interest rate and cross-currency swaps, cap and floor options, and commodity futures using Bloomberg
• Analyzed bond and credit data from Bloomberg for over 200 companies utilizing Excel and R to construct pivot tables and box plots summarizing team findings
• Assisted in the hedge effectiveness testing of interest rate swaps

Information Technology Summer Analyst

Credit Suisse | Jun 2016 - Aug 2016

• Optimized and automated tracking of 8,000 technical infrastructure assets in Excel using VBA for future allocated cost savings
• Collaborated with a team of interns to produce 2 instructional videos, a promotional video, and a social media marketing plan to promote mobile applications within the firm
• Presented projects to groups of up to 80 people, including 10 department heads

Research Assistant

Columbia Department of Economics | Feb 2019 - May 2019

Assisted in doctoral student Ye Zhang's Startup Financing, Venture Capital and Bank Lending research project by

• Generating 60 interactive global and 60 interactive US chloropeth map layers displaying venture capital investment data spanning from 2000 to 2019 using R
• Compiling, sorting, and verifying the accuracy of venture capital financier data within the project database
• Locating and correcting erroneous venture capital financier data within the project database

Asset-Backed Security Modeling Case Study

ScriptUni | Aug 2018

Part of the Practical Python for Financial Applications Certification

• Implemented structured security and tranche Python classes with waterfall mechanisms that tracked every cash flow within the asset-backed security
• Developed functions to determine the IRR, DIRR, average life, and rating of each tranche
• Created a Monte Carlo simulation to simulate different credit default scenarios

Option Modeling and Pricing Project

QuantNet | May 2018 - Jun 2018

Part of the C++ for Financial Applications Certification

• Designed American and European option C++ classes that encapsulated Black-Scholes option pricing and option sensitivity calculation functionality
• Analyzed Monte Carlo and Finite Difference methods utilized in pricing European options, including writing functions to compute the standard deviation and error of the Monte Carlo simulations
• Refined C++ programs displaying Monte Carlo and Finite Difference output in Excel spreadsheets

Group Leader

Project HAPPY | Sep 2009 - Present

• Train and motivate group counselors on how to interact with participants with various disabilities
• Provide special needs participants with sports and recreational activities on a weekly basis
• Cultivate social skills and self-esteem in children often marginalized due to mental impairments