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Quantitative Risk Analyst Resume

Chicago, IL

TECHNICAL SKILLS:

Quantitative Finance/Economics: Option Pricing, Quantitative Risk Management, Quantitative Trading Strategies, Microeconomics, Econometrics, Portfolio Theory, Financial Programming, Simulation Methods

Computer Science: Cloud Computing, Data Mining, Applied Machine Learning

Computer Skills: proficient in C++, R, MATLAB, Python, Excel VBA, MS Office, Bloomberg Terminal

PROFESSIONAL EXPERIENCE:

Confidential, Chicago, IL

Quantitative Risk Analyst

Responsibilities:

  • Margin Model Validation based on VaR and stress test of various test cases, validate C# code for production back - test. enhanced margin performance by validating the pricing and valuation of swap and swaption.
  • Research stochastic risk model with recent data to accommodate negative-rate environment.
  • Data Cleansing for future options and Time Series Analysis for stochastic parameters calibrated in PM models.

Confidential, Chicago, IL

Data Analyst

Responsibilities:

  • Build a probability/forecasting model with time series analysis on executive incentive plans.
  • Conduct PCA on company performance features for dimension deduction. Apply clustering analysis based on performance PCs to form sub-universes. In each sub-universe, conduct supervised learning and feature engineering with time series model to relate incentive plan features to performance metrics.

Confidential

Fund of Funds Analyst

Responsibilities:

  • Developed an internal PE database, researched on buyout and VC performance of European and US markets.
  • Optimized the liquidity management by J-curve modeling and cash flow analysis, projected 3/5-year exit returns.
  • Provided on-site due diligence survey on venture capitals (GSR) and presented a formal report on the department meeting.

Confidential

Quantitative Investment Analyst, Intern

Responsibilities:

  • Constructed factor model to capture macro dynamics and regime changes, out-of-sample tested by historical data.
  • Priced products by Finite Difference and Fourier Transformation method, with simulations in MATLAB.
  • Measured risk exposure by AV and CV Monte Carlo simulation and employed Vasicek model with modifications.

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