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Quant Analyst Resume

PROFESSIONAL EXPERIENCE

Confidential

Quant Analyst

Responsibilities:

  • Research and develop advanced risk models using Python and C++ to calculate traded risk for options, swaps and other derivatives under OIS settings and regulatory frameworks such as BASEL 3, OCC, FRB and PRA
  • Enhance counterparty credit and market risk models to enable business to assess RWA impact of new products and trading strategies to achieve efficient risk weighted capital return
  • Perform model limitation analysis on 12+ models. Identified a pricing model error that severely underestimated convexity risk of Base Metal averages swaps that could results a 20 million mtm loss under CCAR scenario.
  • Develop numerical tools and computation scripts for Summit/Sophis systems covering IR/Equity products, to demonstrate the effectiveness of risk models and address issues raised by Model Risk Management. Analysis included:
  • Exposure modifier/scalar calculation to compensate LIBOR - OIS spread deficiency in exotic pricing models
  • Back-testing proxy methodology's conservativeness for desk VaR/RNIV on emerging market basis curves
  • Sensitivity vs Full Revaluation impact analysis to improve model speed performance using 300+ risk factors
  • Trade level Mark-to-Market discrepancy analysis revealing monitoring mechanism on exchange closing data
  • Model limitation on Dupire's local volatility surface with repo/dividend risk scenarios and RNIV calculation
  • Perform ad hoc quantitative analysis on existing portfolios and during new product/transaction approval. On demand quantitative support for businesses and traded risk management across asset classes
  • Meet regulators and lead OCC/FRB submission to successfully obtain Confidential 's US prime finance trading approval

Confidential

Quant Analyst

Responsibilities:

  • Provided real-time trading floor support to resolve trade booking or modeling issues on hedging strategies and execution for buy-side clients. Validated and analyzed pricing/risk models for Sophis/Summit/Murex/Calypso
  • Verified VaR, Stress testing and other risk methodology implementations by replicating the core analytics to ensure that the mathematical theory is sound and the achieved result are consistent with the expectation
  • Owned the communications with clients' traders, quants and IT. Travelled globally to meet and interact with stakeholders onsite. Drafted business specs and led external presale demos and presentations
  • Documented reports outlining model assumptions, analytical methodologies and assessments, computational methods, test results and potential risks. Manage roadmap studies and patch deliveries using JIRA/Confluence

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