Quantitative Analyst Resume New York - Hire IT People

SUMMARY

Accomplished Quantitative Analyst & Fixed Income Credit Strategist with solid and progressive experience in diverse areas of finance and quantitative analysis.
Comprehensive background in portfolio management, asset allocation, portfolio optimization, risk management, financial modeling, and financial analysis.
Technical proficiency in C/C++, VB/VBA and SQL. Working knowledge of Matlab, SAS, R, Bloomberg, Factset and Morningstar.

PROFESSIONAL EXPERIENCE

Confidential, New York

Quantitative Analyst

Responsibilities:

Conducted quantitative research on economic scenario generation in CCAR stress testing, validated Moody's Confidential scenario generation model and developed challenger models.

Confidential, New York

Investment Strategist

Responsibilities:

Validated Capital Market Assumption model and Asset Allocation model, developed challenger models and conducted research upon quantitative investment strategies.
Developed Risk Appetite and credit concentration analytical framework for risk budgeting and limit setting by applying enterprise portfolio simulation in Moody's Risk Frontier framework.
Recommended enterprise asset allocation strategy by applying optimization model.
Participated in teh model development of CCAR Commercial Asset Quality and Loss Forecast model and market risk model.
Recommended risk mitigation strategies to hedge enterprise credit risk and loan book.
Day trading equities by applying short - term strategies.

Confidentia

Credit Strategist

Responsibilities:

Maintained responsibility for quantitative and fundamental analysis to generate trade ideas for fixed income credit derivatives and cash products.
Conducted macro research and published trade ideas in investment grade/high yield bonds/CDS, iTraxx/CDX indices, Sovereign CDS/index, CDS curves, index option, credit basket, Cash bond vs. CDS basis, bond option valuation and hedging strategies.
Formulated index arbitrage analytics for iTraxx credit indices which were utilized by teh trading desk for arbitrage trading, published daily index fair value report, and predicted index rolls for iTraxx credit indices.
Produced daily index volatility report for index option products.
Recommended short term trades and hedging strategies for credit flow desk.
Collaborated with fundamental analysts to generate ideas in sectors and single credits.
Played a key role in generating cross-asset ideas including Rates or FX vs. Credit.
Led efforts to integrate and develop credit analytics with quantitative and technology teams.

Confidential

Quantitative Credit Strategist

Responsibilities:

Developed credit portfolio risk management model (Portfolio Risk+) and optimization analytics.
Generated trade ideas and optimization strategies for credit loan portfolios and credit flow desk.
Developed credit vs. equity arbitrage model and published capital structure arbitrage ideas.
Produced a cash bond vs. CDS basis valuation model with embedded option valuation.
Led teh development of risk management, valuation and daily P&L system for convertible bond portfolio.
Generated trade ideas for convertible bond portfolio based on quantitative analysis and fundamental research.

Confidential, Conshohocken, PA

Fixed Income Analyst

Responsibilities:

Implemented Merton's distance-to-default model to analyze credit risk and to conduct relative value analysis for credit portfolio.
Conducted fundamental credit analysis in REITs, Conglomerates, and Technology sectors, and provided industry analysis and trade recommendation to portfolio management team.
Participated in teh development of a fixed income asset liability balance sheet and income statement risk management system and Monte Carlo simulation model.
Maintained interest rate term structure models, fixed income derivatives pricing models and mortgage prepayment models.
Developed balance sheet and income statement strategies for reinvestment, growth and asset allocation.
Developed and maintained a CMO pricing model based on Intex libraries, and maintained other third-party pricing libraries.