Quantitative Analyst Resume Atlanta, GA - Hire IT People

TECHNICAL SKILLS

Programming: Python, C++, R, MATLAB/Octave, SAS, LINUX environment

PROFESSIONAL EXPERIENCE

Confidential, Atlanta, GA

Quantitative Analyst

Responsibilities:

Built Forward Curve model used to construct the spot and forward LIBOR curves for a 60 - month horizon
Validated Lambda Model used to manage derivatives’ credit and settlement line, calculate credit exposures for each counterparty
Validated Liquidity Stress Test Model used to analyze and control the entity’s ability to overcome liquidity crises

Confidential, Tampa, FL

Model Validation Analyst

Responsibilities:

Validated Incremental Risk Capital model and VaR model on quarterly basis, investigated VaR break case by case
Validated Volatility / Correlation Matrix Construction model by testing impact of missing data, decomposition algorithm and etc.
Validated Volatility Estimation Methodology model by backtest, proved conservativeness of the method
Validated Credit Spread Distribution Assumption model by statistical tests such as KS, JB test and backtest
Validated Northfield Optimizer (asset allocation) model by conducting convergence, stability and sensitivity test

Confidential

Intern Analyst

Responsibilities:

Built an event study based trading strategy by Python, the rebalanced portfolio realized a 19.4% return in 3 months
Modified business valuation and intellectual property pricing methods resulting in simplified decision-making process
Supported Senior Vice President during arbitration negotiation and prepared pricing models supported by economic rationales

Confidential

Intern Analyst

Responsibilities:

Built a Monte Carlo stress test model for the company to test insurance portfolio, conducted sensitivity test and scenario test
Assessed risk exposure and conducted credit default risk analysis of major insurance business using Merton Model