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STEPHEN BURNS e-mail: [email protected] 6050 Carlton Way | Los Angeles, CA 90028 | (323) 599- 8362 (C) | (323) 461-5767 (H) EDUCATION Ph. D., Physics, University of California, Los Angeles, CA. September 1997 M. S., Physics, University of California, Los Angeles, CA. June 1992 B. A., Physics and English Literature, University of Virginia, Charlottesville, VA. January 1990 EXPERIENCE Traveler, The World 2014 – 2015 Vice President, Trust Company of the West 2009 – 2014 Analytics Specialist, Metropolitan West Asset Management, LLC 2004 – 2009 Risk Management Associate, Metropolitan West Asset Management, LLC 2001 – 2004 Lecturer, UCLA Department of Physics and Astronomy 1997 – 2001 FINANCIAL RESEARCH & MODELING Thoroughly evaluated the prepayment and interest rate models of Andrew Davidson and Company, Applied Financial Technology and Citigroup Yield Book; compared, contrasted and identified different assumptions underlying the three models. Used SAS Enterprise Miner to study prepayment and default behavior of sub- prime mortgage loans. Developed prepayment, default and recovery assumptions for non-Agency Mortgage Backed Securities. Researched and reported to the Head of Credit on the pros and cons of various corporate default models. Deduced tranche-level implied default probabilities and recoveries for High Yield CDX Indices. Calculated term structures of implied default probabilities and credit ratings for corporate CDS and cash bonds. For corporate bonds, implemented Citi Recovery rate model along with par- equivalent spread methodology to better capture relative value than traditional spread and z-spread valuation techniques. Cooperated with credit research desk to forecast default-adjusted returns for the Merrill High Yield Index.
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STEPHEN BURNS e-mail: [email protected] 6050 Carlton Way | Los Angeles, CA 90028 | (323) 599-8362 (C) | (323) 461-5767 (H)
EDUCATIONPh. D., Physics, University of California, Los Angeles, CA. September 1997M. S., Physics, University of California, Los Angeles, CA. June 1992B. A., Physics and English Literature, University of Virginia, Charlottesville, VA. January 1990
EXPERIENCETraveler, The World 2014 – 2015Vice President, Trust Company of the West 2009 – 2014Analytics Specialist, Metropolitan West Asset Management, LLC 2004 – 2009Risk Management Associate, Metropolitan West Asset Management, LLC 2001 – 2004Lecturer, UCLA Department of Physics and Astronomy 1997 – 2001FINANCIAL RESEARCH & MODELING Thoroughly evaluated the prepayment and interest rate models of Andrew Davidson and Company, Applied
Financial Technology and Citigroup Yield Book; compared, contrasted and identified different assumptions underlying the three models.
Used SAS Enterprise Miner to study prepayment and default behavior of sub-prime mortgage loans. Developed prepayment, default and recovery assumptions for non-Agency Mortgage Backed Securities. Researched and reported to the Head of Credit on the pros and cons of various corporate default models. Deduced tranche-level implied default probabilities and recoveries for High Yield CDX Indices. Calculated term structures of implied default probabilities and credit ratings for corporate CDS and cash bonds. For corporate bonds, implemented Citi Recovery rate model along with par-equivalent spread methodology to
better capture relative value than traditional spread and z-spread valuation techniques. Cooperated with credit research desk to forecast default-adjusted returns for the Merrill High Yield Index. Worked with traders and developers to create a proprietary and interactive high yield relative value application. Calculated spread betas for Barclays Indices and TCW holdings at the bond, sector and portfolio level. Analyzed historical empirical durations to better manage interest rate risk of high yield portfolios. Wrote algorithms to construct swap and Treasury par, spot and forward curves. Implemented Vasicek-Fong cubic-spline methodology to calculate a fair-value Treasury Model curve. Implemented Principal Components Analysis to explain variations in Treasury and Swap curves. Developed programs to compute z- and e-spreads, as well as partial durations. Collaborated with trading desk to forecast day-over-day duration changes for given changes in yield. Created swap overlays to hedge portfolio cash flows against liabilities for Long Duration portfolio mandates. Estimated one-month returns for portfolios and benchmark indices under a wide range of scenarios. Worked with trading desk to develop a statistical model that maps Bloomberg durations to POINT durations to
improve portfolio hedging vs. portfolio benchmarks.
PROGRAMMING EXPERIENCE Recent experience with Excel, SQL, VBA, C, Intex, Bloomberg, Yield Book and Barclays Point. Less recently, I have used SAS Enterprise Miner, MATLAB, Java and Fortran.
SKILLS & ABILITIES Deeply analytical, thoughtful and thorough. Works independently with little need for supervision. Thrives under pressure and prioritizes tasks to meet deadlines. Well-liked, easygoing and collaborative co-worker. Lauded for understanding abstract concepts and translating them into simple and intuitive explanations.
RANDOM TRIVIA Planned and organized a nearly six month trip through fifteen countries in Australia, Asia and Africa, Graduate research cited in two papers by the 2004 Nobel Prize winning physicist Frank Wilczek of MIT. Once mentioned in a 2006 Wall Street Journal “Fund Track” column.
