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Senior Quantitative Specialist Resume

New, YorK


  • C++
  • Python
  • Matlab
  • R
  • SQL


Senior Quantitative Specialist

Confidential, New York


  • Lead research project on transaction cost models; apply optimization theory to derive optimal strategies for portfolio liquidation; develop liquidity adjusted Value - at-Risk (L-VaR) model using optimal liquidation strategies and implement teh L-VaR model wif Python
  • Conduct back tests and stress tests on institutional portfolios wif SQL and present analysis results to senior management on a monthly basis; lead junior team members to enhance testing platforms; improve teh accuracy and efficiency of back testing and stress testing methodologies
  • Mitigate model risk by designing and implementing statistical tests to monitor teh performance of margin models; develop Excel applications using VBA and SQL to generate risk reports
  • Enhance and implement teh methodology for historical stress scenario selection wif Matlab and SQL; quantify risk exposure under extreme market conditions and hypothetical scenarios; participate in teh development of guarantee funds for clearing members
  • Perform in-depth analysis on various asset classes, such as, exchange traded funds (ETFs), ADRs and fixed-income securities, to identify teh limitations of market risk models; recommend model revisions and conduct impact analysis wif SQL and R
  • Implement Merton model to quantify credit risk of institutional accounts wif R

Quantitative Consultant



  • Implemented VaR methodologies and developed applications using Python and SQL to manage institutional margin accounts
  • Reported directly to teh Head of Quantitative Trading; directly supported traders in high-frequency and medium- to long-term equity and derivatives trading
  • Conducted independent research and modeling to design trading strategies on stocks, ETFs, closed- end funds (CEFs) and equity derivatives; managed teh lifecycle of strategy development and drove teh strategy adoption and execution
  • Led teh development and implementation of stochastic models in pricing options, convertible bonds and other derivatives using C++ and Matlab; performed in-depth analysis on teh net asset value of emerging market ETFs
  • Explained model performance and estimations to traders; conducted scenario analysis and stress tests to identify major sources of risk; recommended hedging strategies
  • Enhanced teh performance of an in-house automated pair trading system; analyzed tick data sets to detect inaccurate quotes and updated teh real-time trading database wif SQL
  • Implemented teh local volatility model to price path-dependent derivatives; applied variance reduction techniques to improve teh efficiency of Monte-Carlo simulations
  • Developed and maintained teh company's skew calculation system; calculated overnight and real­time skews for an in-house option trading system

Quantitative Finance Analyst



  • Analyzed teh market risk exposure of equity, credit and mortgage products
  • Validated key assumptions in pricing models for valuing and hedging exotic options; identified model strengths and weaknesses
  • Developed programs using C++ to validate pricing models for derivatives trading; assisted trading desks in implementing teh models in teh pricing system
  • Worked closely wif risk managers to verify and approve pending transactions of exotic derivatives; identified issues wif pricing model selections and recommended proper revisions

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