TECHNICAL SKILLS

• SAS, SPSS, EViews, VBA, Crystal Ball, OptQuest, QMacros
• MS Office, Capital IQ, Axapta, QlikView, Monarch

PROFESSIONAL EXPERIENCE

Confidential

Investment Analyst

Responsibilities:

• Prospected for high net - worth individuals and determined their eligibility for the firm's investment strategies
• Researched asset allocation strategies designed to help manage risk while pursuing various long-term financial goals via upside participation and downside protection
• Engaged in morning discussion of situation on financial markets and in global economy, presenting daily reports, based on news from Wall Street Journal and Barron’s
• Cooperated with a team of 5 interns and Senior Management in all aspects of the day to day operations
• Attended Bloomberg seminars and courses to further apply in technical analysis of stock prices

Confidential

Quantitative Analyst

Responsibilities:

• Led an elaborate research project to forecast dynamics of the Solar Renewable Energy Credits Market in New Jersey. Completed regression and correlation analyses and created a presentation as a final deliverable for the CEO. Analyzed the potential of a similar market in NY.
• Identified Top-25 most lucrative and highly profitable photovoltaic incentives for the company, after analyzing the corresponding federal and state legislation for every state.

Confidential

Responsibilities:

• Performed portfolio optimization using nonlinear models, particularly constructed efficient frontier, maximized the return and minimized the risk. Also completed bond pricing through Markov models.
• Managed three portfolios of: 6 Exchange Trade Funds, in which I calculated the weights using CAPM regression and mean-variance analysis to maximize the Sharpe ratio; 15 long/short pairs of stocks with the highest aggregate difference score of combined factors, which also determined the weights allocation; 8 S&P 500 mini futures contracts and 421 treasury bonds to structure a long share. Calculated and managed the delta of the third portfolio based on our forecast of dynamics of the underlying index. Provided the highest total portfolio return among 50 teams.
• Developed a hedging strategy to minimize exposure to currency and sales risk using Monte-Carlo simulation. For that constructed a stochastic model and defined the best combination of put options.
• Identified the best bidding strategy using decision-tree model with probabilities and expected cash flows for every outcome.
• Developed risk aversion models using expected utility functions. Determined the optimal investment strategy by maximizing certainty equivalent. Carried out options pricing using binomial lattice.

Confidential

Quantitative Analyst

Responsibilities:

• Enabled clients to meet the rigorous and complicated standards of the Sarbanes-Oxley Act by implementing new internal control systems.
• Developed a new strategy to introduce world standards in the Russian communication infrastructure industry. Reviewed and analyzed universal communication services best practices in 40 countries, and recommended several amendments that were made to the corresponding Russian regulations.
• Led a successful team project to enhance an access rights system (a special computer system, which stipulates access rights of every employee to the corporate database) in a large multinational automobile manufacturer, resulting in secured employee access for every employee to the respective data base.