Quantitative Risk Analyst Resume Chicago, IL - Hire IT People

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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Quantitative Risk Analyst Resume

Chicago, IL

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