Jerry Lavish

Jerry Lavish is a Managing Director in KPMG’s Advisory Services Practice with over 20 years of Financial Services industry experience in technology, research, trading, and portfolio management. Jerry has also been an equities sales trader utilizing self-developed algo trading models for value-added client execution. Strong technical and business management skills enable him to understand a client’s needs and provide innovative solutions. For the past 6 years at KPMG, his current and past clients include some of the leading entities in the Capital Markets and Banking industries.

Professional and industry experience

Jerry has leveraged his background in industry to deliver projects in the Algo and Electronic Trading and Quantitative Modeling Space, especially as it relates to modeling, controls, testing, and documentation. He has delivered the following engagements over his tenure at KPMG:

• Global Investment Bank – Credit Card Launch
  Co-led and delivered project responsible for implementing innovative technology stack to support launch of new credit card product. Implemented PYTHON based ETL Pipeline leveraging AWS, Spark, Airflow, and Hadoop in an Agile Sprint environment supported by JIRA and Confluence.
• Global Investment Bank – IA MRM Peer and Regulatory Benchmark
  Led and delivered project responsible for conducting benchmark on model risk management policies and procedures against peer banks and regulatory expectations for MRM metrics reporting to the Board, model inventory governance, model-vs-tool classification, and vendor models.
• Global Investment Bank – SR11-7 Algo Trading Model Documentation
  Co-led and delivered multiple-phase project responsible for documenting client’s entire inventory of algo trading models to be consistent with the requirements set forth by SR11-7. Currently leading follow-up project to work with the business and mitigate findings as part of the valuation process with Model Risk Management.
• Global Investment Bank – SR11-7 Quant Model Documentation
  Co-led and delivered multiple-phase project responsible for documenting client’s existing quantitative pricing models to be consistent with the requirements set forth by SR11-7. Led Equity Derivatives workstream responsible for almost 1/2 of the total documentation volume. Recruited and trained 20-person team in Bangalore, India in Slang/SecDb to perform testing on all model docs across all products. Member of core team responsible for working with MRM to identify and resolve findings.
• Global Investment Bank – Operational Risk Self-Assessment
  Delivered project responsible for reviewing client’s existing operational risk for all equities and derivatives-based business activities. Led the workstream responsible for working with the client trading desk Partners and senior management to rate areas with inherent risk, identify relevant controls, quantify the resulting residual risk, and determine the ultimate risk decision.
• Global Investment Bank – Volcker Proprietary Trading Review
  Delivered project responsible for reviewing client bank’s process in complying with the Volcker rule around Proprietary Trading. Led the Trading and Analytics effort that focused on identifying and analyzing relevant metrics to demonstrate that the bank is not engaging in any Proprietary Trading activities. Created and maintained several SLANG/SecDb reports used in client status dashboards.
• High-Frequency Trading Execution Broker – Origin Code Review
  Sold and delivered end-to-end review of client’s process for marking origin codes on all electronic client orders. Reviewed all code from “FIX-in” to “FIX-out” and analyzed process for ensuring integrity in handling the myriad unique client and exchange origin code designations. Reviewed governance and oversight.
• Global Investment Bank – 15c3-5 Algo Trading Controls Review
  Delivered project that focused on a comprehensive review and testing of algorithmic and electronic trading models in SLANG/SecDb, Java, and C++, automated controls, and ongoing monitoring processes for fixed income, equity, and equity derivative business units on proprietary platform. Final deliverable was used as input to the bank’s annual SEC 15c3-5 certification.

Additionally, he has the following relevant industry experience:

• One East Partners – CTO / Director of Quant Research
  Directed, planned and managed all technology for the hedge fund from launch, including the development of several proprietary quantitative spread trading, valuation, and currency hedging models. Expanded best-in-class technology footprint across three offices in NY and London.
• Lavish Consulting, LLC – Algo/Electronic Equity Sales Trader
  Developed VWAP+ algorithmic trading model to provide value-added trade execution to the institutional equity management community. Traded institutional client pairs for intraday VWAP execution.
• Lord, Abbett & Co. – Portfolio Manager
  Managed Small Cap Growth separate institutional accounts with an aggregate value of over $1B in assets. Created the proprietary Investable Universe model to assist in managing institutional small-cap growth portfolios.
• Brown Brothers Harriman & Co. – Portfolio Manager
  Co-created and co-managed Dow Jones Islamic Index Fund with over $100MM in long-term assets. Also was a member of BBH's Risk Management Committee, a Partner directed initiative to identify investment risk and determine ways to reduce it.

Technical skills

Software: Apache Spark, Amazon AWS, Airflow, Hadoop, JIRA, Confluence, Advent Geneva, Expert spreadsheet modeling in Microsoft Excel.
Programming: SLANG/SecDb, VBA, C, C++, FORTRAN, Pascal, Lisp, SQL, UNIX/LINUX, RSL, PYTHON, Perl.

Other activities

SCUBA Diving, Skiing, and Cooking (professionally trained as a Chef at the French Culinary Institute).