Quantitative Fixed Income Analyst Resume Providence, Rhode Island - Hire IT People

SUMMARY:

Broad knowledge in fixed income, options, futures, equities and energy
Rich quantitative working experience in investment analysis, valuation, pricing, econometrics, modeling, forecasting, backtesting, trading and risk management
Advanced skills in VBA, R, C#, SQL, Matlab, C/C++, Python, Excel, Access, Bloomberg, Yieldbook
Excellent analytical, programming, statistical, math and communication skills
CFA candidate (Chartered Financial Analyst)

PROFESSIONAL EXPERIENCE:

Quantitative Fixed Income Analyst

Confidential, Providence, Rhode Island

Responsibilities:

Priced various fixed income market securities and identified trading opportunities, such as interest rate swap, swaption, cancellable swap, treasury, option, futures
Built models to price fixed income and equity derivatives through Black - Scholes, Monte Carlo simulation, and binomial tree methods
Evaluated security price movements under different yield curve scenarios
Forecasted MBS prepayment speed by R regression to assist mortgage trading
Formed all the possible combinations of paired trading by VBA programming to find out the best relative-value trading
Calculated security duration and convexity; contributed to the portfolio risk management and hedging strategies
Applied principal component analysis in R to determine the richest/cheapest points on treasury and swap curves
Measured treasury and swap total returns by calculating carry and rolldown
Conducted backtesting on historical data to validate trading ideas
Measured investment VAR through historical simulation, variance-covariance method and Monte Carlo simulation
Created automated trading system to trade securities without human interventions

Fixed Income Pricing Analyst

Confidential, Stamford, Connecticut

Responsibilities:

Utilized Fincad and proprietary software to evaluate OTC securities such as interest rate swaps, swaptions, credit default swaps, cross currency swaps, FX derivatives, floating rate notes, options, convertible bonds, mortgage backed securities, ABS, etc.
Applied econometric regression analysis to build predictive models
Derived default probability from bond prices, equity prices or CDS spread quotes
Performed economic analysis on probability distributions, variance and correlation, historical and implied volatilities to assist quantitative modeling
Supported sale teams on requests for pricing; explained modeling/valuation methodologies to US and global clients and solved price challenges
Created VBA macro to automatically download financial data from internet, saved the data to Access database and distributed reports. This whole process ran daily and was 100% automatic.

Quantitative Energy Analyst

Confidential, Kansas City, Missouri

Responsibilities:

Applied econometric models to forecast energy loads and prices
Analyzed complex energy wholesale contracts from value and risk perspectives
Utilized Crystal Ball Monte Carlo simulation tool to find out optimized portfolio construction weights; analyzed asset value distribution and associated risks
Managed energy portfolios and evaluated portfolio performance quantitatively; made recommendations to management as to when and how much assets to purchase or sell in order to maximize portfolio returns
Supported traders on trading strategies, P&L calculation, and risk attribution
Employed derivative combinations to hedge financial risks faced by energy companies
Generated a model, by including all risk factors, to optimize run/shutdown schedule for power generation plants