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Juha Korpela, C++ Developer in New York, NY, United States
Juha Korpela

C++ Developer in New York, NY, United States

Member since October 25, 2018
Juha's expertise is in the quantitative economic management of complex financial institutions. He's an experienced executive who thrives solving ill-defined and ambiguous problems in the intersection of CFO, CDO, CRO, CTO utilizing multiple disciplines. As an expert in quantitative modeling, data model design, and software engineering, he is highly efficient. Juha brings all these disciplines together to solve the most complex business problems.
Juha is now available for hire



  • Quantitative Finance, 20 years
  • Linux, 20 years
  • Risk Management, 20 years
  • C++, 19 years
  • Ruby, 18 years
  • Comprehensive Capital Analysis & Review (CCAR), 5 years
  • Data Governance, 5 years
  • Elixir, 1 year
New York, NY, United States



Preferred Environment

Linux, C++, Elixir, Ruby, Python, Matlab, R, Oracl

The most amazing...

...project I've completed was the design and implementation of a complex trading system, data back-end, and analytics.


  • Founder

    2018 - PRESENT
    EcoFinSys LLC
    • Founded EcoFinSys LLC to provide solutions-focused, comprehensive consulting services for banks, insurance companies, asset management firms, and hedge funds in quantitative modeling and analytics, machine learning, data modeling, data governance, and software engineering.
    Technologies: Linux, Elixir, C++, Ruby, Python, R, Matlab, SQL
  • Senior Director, Head of Enterprise Risk Systems, ALM Quantitative Analytics

    2017 - 2018
    • Responsible for designing and delivering enterprise risk system for Asset and Liability Management and Hedging at Transamerica. Recruited the ALM quantitative analytics team whose dual role is to develop and own the quantitative models, data infrastructure, attribution analytics and reporting as well as processes and controls used at ALM to execute all corporate hedge trading programs.
    • Provided managerial oversight to 20+ quantitative analysts, software developers and actuaries.
    • Guided company strategy and direction as a senior executive committee member across multiple internal units and governing bodies.
    • Enterprise Hedge Trading System buildout. Evaluated, selected, lead contract negotiations. On-boarded Charles River, Markit EDM and FinCad creating the foundation of the enterprise hedge trading system. Selected and managed multiple consultancies to assist with implementation.
    • Led design of all data models underlying the architecture. Introduced and implemented Linux as development platform.
    • Implemented analytics architecture integrating C++ and Ruby/Python with Swig.
    • Led recruiting efforts both for permanent hires, internships and consultants. Established new university relationships and strengthened existing ones to more effectively manage talent pipeline. Implemented strategies to identify and retain superior talent.
    • Led the design and reimplementation of economic scenario generation analytics.
    • Contributed to enterprise data governance efforts. Introduced a formally defined language to derive ‘tickers’ for most data items used.
    Technologies: Linux, C++, Ruby, Swig, SQL
  • Director, Head of CCAR Traded Credit Analytics and Reporting

    2016 - 2017
    Credit Suisse
    • Responsible for regulatory delivery of Trading Issuer Default Loss (TIDL) and Incremental Risk Charge Risk Weighted Assets (IRC RWA) methodology and analytics.
    • Lead regulatory model development, documentation, model validation and implementation for CCAR delivery.
    • Managed the CCAR Traded Credit Methodology and Reporting group.
    • Member of the Market and Liquidity Risk Projections Working Group, Credit Risk Projections Working Group.
    • Rearchitected the prototype model implementation, platform and data sourcing.
    • Initiated and led multiple projects to correct data deficiencies and to attain compliance with BCBS-239.
    • Lead projects to become compliant with SR 11-7.
    Technologies: R
  • Director, Quantitative Research Executive

    2014 - 2015
    Bank of America Merrill Lynch
    • Provide thought leadership and drive implementation in concentration risk, house guidelines, risk appetite, extended CCAR stress testing, line of business profitability measurement, and regulatory optimization.
    • Provide thought leadership and drive implementation in concentration risk, house guidelines, risk appetite, extended CCAR stress testing, line of business profitability measurement, and regulatory optimization.
    • Developed a theoretical economic model for probabilistic optimization of risk appetite. Designed an Enterprise Simulation System for probabilistic modeling of balance sheet and income statement dynamics.
    • Created a system for the measurement of tall-tree default impact on capital across all commercial businesses.
    • Utilized Moody’s Risk Frontier for the first time to simulate default events for the non-consumer side of the company. Wrote custom software to extract default events, aggregate them to the ultimate parent entity (UPE) level to construct loss distributions for all UPEs of the firm. The technology stack used: Linux, Ruby, C++, Boost, Swig, GSL, PostgreSQL, Teradata, Netezza, SQL Server, MongoDB.
    • To measure tail concentration risk, generated top ten tall tree risk reports for every financial hierarchy point using industry sector, rating and region and all their combinations by ranking UPEs by their 99th percentile loss.
    • Determined the marginal impact of excluding an UPE as the change in the 99th percentile loss. Risk Frontier simulated credit event file size: 7TB.
    • Calculated the impact of different limit structures on the firm.
    • Framework for optimal concentration limit setting in different levels of the financial hierarchy in the context of expected return and tail risk trade-off.
    • Analysis of risk capital allocation among market, credit and operational risks.
    Technologies: Linux, C++, Ruby, SQL, Matlab
  • Managing Director, Head of Scenarios

    2013 - 2014
    American International Group
    • Lead the global Scenario Group responsible for scenario generation and expansion for CCAR stress testing.
    • Transformed an Excel based scenario generation process into a fully automatic programmatic implementation with a database backend.
    • Generated scenarios for May and Nov 2013 CCAR runs.
    • Wrote an analytic platform consisting of 18,000 lines of code for scenario research and generation. This platform integrates market data from various sources and provides analytics for fast, flexible and realistic scenario design.
    • Provided advice to other AIG groups on liquidity, limits and analytics.
    Technologies: Linux, C++, Ruby, SQL
  • Risk Manager, Head Quant

    2011 - 2012
    Linden Advisors
    • Quantitative risk analysis for internal trading risk management and external investor relations. New investment strategy development. Analytics strategy development.
    • Daily risk, limits, VaR and scenario analysis generation, portfolio monitoring and reporting for internal portfolio risk management and external reporting.
    • Managed monthly investor reporting and meetings.
    • Rewrote from scratch scenario and VaR systems in C#.
    • Designed new fundamental risk infrastructure and migrated all applications to new platform.
    • Created IronRuby .NET based Ruby wrapper to Bloomberg API.
    • Wrote several C# Infragistics .NET based portfolio risk analysis GUI applications.
    • Versioned name value pair storage for risk process and market data.
    • Developed machine readable news-based automatic news analysis system for portfolio event-based trading, risk monitoring and for improving fundamental analysts' productivity.
    • Developed machine readable news-based automatic news analysis system for portfolio event-based trading, risk monitoring and for improving fundamental analysts' productivity.
    • Implemented option market monitoring analytics for index ETF option trading.
    Technologies: C#. Infragistics, C++, Ruby, SQL
  • Vice President, Strategist, Global Liquidity Products trading desk and Divisional Strategies

    2009 - 2011
    Goldman Sachs
    • Built FAS133 Long Haul hedge accounting system for valuing GS issued unsecured debt.
    • Directed integration to controllers' accounting systems. To avoid balance sheet volatility GS.
    • issued debt and structured notes can be held under Long Haul accounting. This requires.
    • special analytics for valuation and evaluating hedge effectiveness.
    • Assisted structured notes trading desks globally to obtain FAS133 treatment for new.
    • structured notes deals.
    • GS adopted a model where the Global Liquidity Products trading desk sources all funding for.
    • the firm and sells it to different businesses which are charged differentiated funding costs.
    • depending on their balance sheet and liquidity usage. This required systems to calculate and.
    • predict balance sheet and liquidity usage for each business. Participated in the development of Asset Liability Management (ALM), Modeled Liquidity Outflow (MLO) and Global Core.
    • Excess (GCE) systems.
    • Repo analytics. Exchange initial margin data and analytics, various sophisticated SQL analyses.
    • using the firm-wide position and risk databases.
    • Performed ad hoc deal analysis for senior management.
    • Working across treasury, operations, strategies and funding controllers on Security Division's.
    • projects.
    Technologies: Slang, SecDB, SQL
  • Director, Quantitative Analytics and Modeling Structured Credit and ABS Proprietary Trading

    2007 - 2009
    Merrill Lynch
    • Designed and implemented analytics for subprime mortgage trading. This increased the trading volume tenfold. As a result, the trading desk became the second largest participant in the subprime market. This was based on analytic capability that made it possible to relate illiquid bonds to the ABX indices for pricing and hedging and submit bids and offers to every bond on daily bwic/owic lists.
    • Developed a correlation scenario analysis system that valued trading books consisting of tens of thousands of index and bespoke tranches in arbitrary market scenarios. One of the main uses was the management of the book's convexity profile.
    • Created a C++ layer on top of INTEX which made it possible to write the subprime valuation system in the object-oriented scripting language Ruby in four months. This distributed system priced 30,000 cusips in thousands of scenarios and ran on a custom-made Linux cluster.
    • Loan level analysis using the LoanPerformance data.
    • Lead the design of a new data model for structured credit trading.
    • Refined CLO analytics.
    Technologies: Linux, C++, Ruby, R, Matlab, SQL, SAS
  • Vice President, Quantitative Credit Research

    2006 - 2007
    Citadel Investment Group
    • Exotic deal pricing and hedge design for bespoke tranches and synthetic cash-flow CDOs.
    • Developed a valuation tool for analyzing arbitrary combinations of indices, tranches, default swaps and recovery locks against static default scenarios and Monte Carlo simulations.
    • Invented a method for risk-neutralizing Monte Carlo simulations to ensure that all standard tranches are simultaneously priced to market.
    • Implemented option volatility surface estimation process for the convertible bond business.
    • Analyzed the modeling approach, implementation and the risk process for the long-dated warrant book.
    • Documented the Citadel's proprietary convertible bond pricing models.
    Technologies: Linux, C++, Python, SQL
  • Vice President, Quantitative Credit Research and Fixed Income Derivatives Trading

    2002 - 2005
    Lehman Brothers
    • Synthetic CDO trading and interest rate products counterparty credit risk.
    • Invented, implemented and supervised all aspects of the global roll out of Lehman’s next generation synthetic CDO pricing model which matches the correlation skew i.e. price all CDX and ITRAX tranches within bid/ask.
    • Deployed firm wide automatic reports to track the intrinsic value of standardized portfolios and their constituent curves and CDS markets.
    • Created a plan and a mathematical specification for the rewrite of Lehman’s credit curve libraries. Wrote detailed analysis on how to use bespoke and standard portfolios and their tranches for modifying bond portfolio risk-profiles, developed a credit portfolio simulation tool.
    • Delivered marketers and traders a GUI application for calculating finance and credit charges with credit mitigants for interest rate products. This had a substantial impact on revenues as it significantly reduced response times for customer inquiries.
    • Extended an existing exotic derivatives pricing tool for calculating finance and credit charges. Deployed new analytics for valuing credit mitigants including conditional swap re-couponing, mutual puts, rating and/or MtM based termination clauses.
    • Wrote a new core analytics library (~40,000 lines of C++/Ruby including credit derivatives methods) designed to be an efficient distributed MC engine for portfolio simulations of market and credit risk. Integrated existing non-defaultable pricing systems (Summit), deal repositories, risk-systems, entity relationships data and external default swap spread data feed into the new system.
    • Significantly improved a securitization transaction to monetize derivatives portfolio receivables.
    Technologies: Linux, C++, Ruby, Matlab
  • Vice President, Quantitative Credit Research

    1999 - 2002
    Salomon Smith Barney
    • Credit derivatives quantitative research, implementation and non-standard pricing for the desk.
    • Derived and implemented analytics for pricing small basket (first-to-default, Nth-to-default) products in the copula framework. Implemented numerical methods for integrating high-dimensional normal distributions with pseudo Monte Carlo using low-discrepancy sequences. Loss, premium and risk calculations. Implemented default time and default event-based valuation for large basket (synthetic CDO tranche valuation) products in the copula framework. Studied hedging in dynamic CDO models where the stochastic hazard rate process depends on the past default events through the copula.
    • Refined bootstrap and optimization-based survival probability curve construction methods. Studied alternative survival curve representations that are compatible with both investment grade and high yield credits. Advanced default swap valuation analytics by implementing premium rebate and accrual under continuous default observation. Developed generic defaultable cash-flow pricing methods for the case where the risk observation period is distinct from tenor. Extended cash-flow scheduling to handle special cases.
    • Designed and supervised implementation of risk feeds to corporate VaR. Derived a forward bin to par risk transformation and developed basket risk measures.
    • Derived and implemented a valuation model for a default swap under both a counterparty and a reference credit risk. Consulted in the development of a counterparty credit exposure valuation system. This system, based on a hybrid of a PDE grid and a Monte Carlo approach, is capable of handling multicurrency exposure, Bermudan swaptions accounting for netting and collateral thresholds.
    • Implemented a stochastic affine hazard and short rate model in a tree to price default swap and asset swap options.
    • Developed pricing models for contingent credit products e.g. mark-to-market termination of a cross currency swap upon an external credit event. Priced deals for the desk: e.g. cancellable swap, defaultable currency option, call option on callable vulnerable bond.
    Technologies: Linux, C, C++, Ruby, Matlab
  • Researcher

    1990 - 1994
    Helsinki University of Technology
    • Laboratory of Physics and the Finnish National Supercomputer Center.
    • Studies of electron transport in 1D structures using quantum and classical molecular dynamics.
    Technologies: Linux, Fortran 90, C++, Matlab


  • Enterprise Risk System (Development)

    Established an Enterprise Risk Systems team. Designed and delivered a hedge trading platform for Asset and Liability Management. Selected, lead legal negotiations and on-boarded all vendor systems to form the basis of the ALM analytics platform.

  • Limit and Concentration Analytics (Development)

    Implemented loan utilization level stochastic simulation of the bank's entire commercial portfolio for return optimization, concentration analysis, and limit determination.

  • Return Optimization, Concentration Management and Limit Determination (Development)

    Implemented loan utilization level stochastic simulation of bank's entire commercial portfolio for return optimization, concentration analysis and limit determination.

  • CCAR scenario generation (Development)

    Led a team to deliver economic scenarios for CCAR. Designed and implemented scenario generation system.

  • Real-time Risk Management System Rewrite (Development)

    Worked with CRO to completely redesign and implement a hedge fund's real-time risk management system. Created a portfolio monitoring system based on automatic news feed analysis.

  • Mortgage Hedging and Valuation System (Development)

    Designed and implemented a subprime mortgage valuation system based on Loan Performance data. This enabled a proprietary trading desk to rapidly quote and gain significant market share.

  • Bespoke Synthetic CDO Tranche Hedging with CDX Tranches (Development)

    Developed an original mathematical model (entropy-based change of measure) making it possible to price bespoke CDX tranches consistently with standard tranches in Monte Carlo simulations. Semi-analytic model for consistent CDO tranche pricing.

  • CVA and FVA Analytics (Development)

    Built first-ever simulation model for a global investment bank to calculate CVA and FVA charges for swaps trading.

  • Trading Issuer Default Loss (TIDL) and Incremental Risk Charge Risk Weighted Assets (IRC RWA) Methodology and Analytics. (Development)

    Delivered risk-weighted asset (IRC RWA) regulatory analytics.


  • Languages

    C++, Ruby, C, SQL, Slang, Python, R, Elixir, C#, GraphQL
  • Libraries/APIs

    BLAS, MPI, GNU Scientific Library (GSL), IMSL Numerical Libraries, Bloomberg API, ZeroMQ, Standard Template Library (STL), Infragistics, Mongoid, libsvm, LIBLINEAR, Pandas
  • Tools

    MATLAB, SWIG, LaTeX, FINCAD, RiskFrontier, RiskMetrics, Shogun, SNL Financial, Haver Analytics, GDB, Git, Visual Studio, AWS CLI, Enterprise Architect, Machine Learning on AWS
  • Paradigms

    Object-relational Mapping (ORM), Declarative Programming, Quantitative Research, Stress Testing, Object-oriented Programming (OOP), REST, Management, Database Design, Functional Programming, Agile
  • Platforms

    Linux, Unix, Marketo, Bloomberg Terminal, Charles River IMS, Barrie & Hibbert, Oracle, AWS Lambda, Dynare, Amazon Web Services (AWS)
  • Storage

    IvyDB, PostgreSQL, Data Integration, SecDB, Database Modeling, SQL Server 2016, MongoDB, SQLite, MySQL, MariaDB, Sybase, Teradata, Netezza
  • Other

    INTEXcalc, OOP Designs, Financial Options, Financial Data, Quantitative Models, Quantitative Analysis, Quantitative Finance, Quantitative Calculus, Stochastic Modeling, EDM, Options Theory, Futures & Options, Loans & Lending, Timeseries, Time Series Analysis, BCBS 239, SR 11-7, Quantile Estimation, Probability theory, Loss Modeling, Profit & Loss (P&L), Product Development, Risk Assessment, IRC, Scenario Analysis, Risk, Lambda Functions, IT Strategy, Cross-functional Team Leadership, API Integration, Motorola MDLC, Analytics, Bonds, Capital Markets, Comprehensive Capital Analysis & Review (CCAR), Credit Default Swap (CDS), Credit Modeling, Credit Ratings, CVA, Funding Valuation Adjustments (FVA), Econometrics, Economic Capital, Economics, GARCH Model, Market Risk, Monte Carlo, Swaps, Tail Risk, Tranches, VaR, Data Modeling, Fixed Income, Risk Management, Derivatives, Financial Risk Management, Portfolio Analytics, Portfolio Optimization, Portfolio System Design, Integration, Technical Leadership, Team Leadership, Objects, Asset Liability Management (ALM), Mathematical Finance, Bloom's Taxonomy, FRED, Options, Amazon Glacier, IFRS 9, CECL, People Management, Program Management, Project Management Office (PMO), PMO, Software Development Lifecycle (SDLC), Equities, Treasury & Liquidity Management, Mortgages, Stochastic Differential Equations, Volatility, Data Governance, Leadership, Project Leadership, Balance Sheet Optimization, Support Vector Machines (SVM), Modeling, Point Clouds, Stock Market, IFRS 17, Allowance for Loan & Lease Losses (ALLL), Balance Sheets, Basel III, Basel II, Credit Risk, Pre-Provision Net Revenue (PPNR), Series 7
  • Frameworks

    Boost C++, Machine Learning


  • Ph.D. in Finance
    1996 - 1999
    Carnegie Mellon University - Pennsylvania
  • Master of Business Administration degree in Finance
    1994 - 1996
    Carnegie Mellon University - Pennsylvania
  • Master of Science degree in Finance
    1991 - 1994
    Helsinki School of Economics - Helsinki, Finland
  • Master of Science degree in Physics
    1988 - 1994
    Helsinki University of Technology - Espoo, Finland
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