Quantitative Analyst, Intern Resume

TECHNICAL SKILLS:

Programming skills: VBA, MATLAB, SAS, R, SQL, C++

Asset Classes & Management: VaR, Expected Shortfall, CDS, MBS, Bloomberg BMC

PROFESSIONAL EXPERIENCE:

Confidential

Quantitative Analyst, Intern

Responsibilities:

Reported daily VaR estimates on equity and fixed income portfolios with 95% and 99% level using Confidential simulation and historical simulation on MATLAB
Conducted backtesting on 99% VaR and 97.5% Confidential with unconditional methods and validated the entire forecast distribution through realized p - value by Confidential test

Confidential

Actuary Assistant

Responsibilities:

Valued combined life insurance annuities with 10-year bond with optional premiums and flexible term periods and analyzed actual claims/returns versus predicted claims/returns on VBA
Performed risk monitoring on monthly reconciliation of investment returns and claims