Howard E. Covert

4 Langmaid Avenue

Apartment 11

Somerville, MA 02145

home:  (617)-718-2794

cell:     (617)-680-9142

Professional goals: research in credit modeling and financial engineering

Work experience

International Finance Corporation

The World Bank Group

2121 Pennsylvania Av, NW.

Washington, DC

April 2002 -

Consultant with the Structured Finance group: developed analytics for credit products: Brady bonds, options on bonds subject to default, sovereign bonds, credit default swaps, and credit default swaptions; built analytics to compute stripped yield, stripped spread, implied default probabilities and look for relative value; built Monte-Carlo-based model for pricing portfolio baskets of equities or currencies; built finite-difference grid models for pricing American equity and currency options.

Hypo Real Estate Capital Corporation

622 Third Ave,

29^th Floor

New York, NY 10017

February 2004 -

Consultant on credit product models: credit default swaps, credit default swaptions, first-to-default basket default swaps, CLNs, CDOs – using reduced (hazard-rate) models; built Monte-Carlo-based CDO model (normal-copula and student-t-copula approaches); developed code to build yield curves and default curves; developed code for rapid computation of Greeks based on work of Joshi and Kainth; developed models to examine impact of correlation between hazard rates and interest rates on relative value analysis of fixed and floating-rate bonds.

Hypovereinsbank

150 E 42^nd St.

New York, NY 10017

November, 2001 - March, 2004

Consultant with Risk Management Products group: building pricing models for credit instruments – credit default swaps, credit default swaptions, first-to-default basket default swaps, CLNs, CDOs – using reduced (hazard-rate) models; built Monte-Carlo-based CDO model (normal-copula and student-t-copula approaches); developed code to build yield curves and default curves.

Laboratory for Financial Engineering (LFE)

Sloan School of Management

Massachusetts Institute of Technolog

Cambridge, MA

July, 2001 - June, 2002

Postdoctoral associate for LFE: was guest lecturer on credit and interest rate derivatives in Financial Engineering class; researched quantitatative methods applied to finance, specializing in derivatives pricing, high-performance computing, and econometrics; negotiated purchase of high-performance computing cluster and established sponsorship relationships with Dell; responsible for managing software, system administration, and security in a heterogeneous environment of PCs and Unix workstations.

Barclays Capital

New York, NY

November, 1999 - July, 2001

Risk Finance group: building pricing models for credit instruments – credit default swaps,  quanto credit default swaps, first-to-default basket default swaps, credit-linked notes – using hazard-rate models, using structural models built on Merton’s default model, and using the Creditmetrics approach, developed in risk-neutral and bond-forward neutral measures. Models were written in VB, VBA, and C++.

February, 1999 - November, 1999

IT-Risk Management group, developed analytics, performed model validation, and built pricing models for emerging-market fixed-income and derivative products. Have extensive experience using Summit analytics and GUIs, and evaluated Summit modules for credit derivatives (credit linked notes and default swaps) and for Brazil bonds and currency swaps. Have knowledge of derivative models for swaptions, caps and floors, digitals, and other options. Possess knowledge of standard VAR and creditmetrics methodologies: scenario matrices, historical simulation, VCV methodology.

Education

Massachusetts Institute of Technology

Cambridge, MA 02139

1993-1998 

Ph.D. degree in Chemical Engineering, February 1999.

Princeton University

Princeton, NJ

1981-1985

 Bachelor of Science degree in Chemical Engineering, magna cum laude, June 1985, with certificate in Program in Engineering Physics.