Graduate Intern Resume Arlington, VA - Hire IT People

SKILLS 

Statistical Programming: R, MATLAB, SAS

General Programming: C++, JAVA, Python

RDBMS: MySQL, PostgreSQL

Other Software: PolyPaths, PolyPaths ALM, AD&Co, Excel (VBA), @Risk, Intex, Minitab

WORK EXPERIENCE:

Confidential, Arlington, VA

Graduate Intern

Responsibilities:

Developed replication and challenge models in MATLAB and R across products (options, RMBS, etc.)
Investigated and resolved American option pricing issues for real - time margin risk tools
Investigated and resolved issues with regression spline models for option volatility
Developed a theoretical framework for analytic approximations that bypass Confidential methods for portfolio simulations
Validated new production and development models; drafted presentation materials for the department; presented findings to management and model owners
Researched anomaly detection methods for use in planned improvements to existing AML models

Confidential, White Plains, NY

Consultant

Responsibilities:

Researched and tested equity trading strategies using R
Designed and implemented R, SQL, and JAVA code for strategy backtesting and performance reporting

Confidential, Washington, DC

Senior Economist

Responsibilities:

Nominated for 2015 Confidential Innovation Award for work on predictive modeling in healthcare revenue optimization
Designed, implemented, and validated mortgage default and loss severity models using granular loan level data; used models to predict and test loan performance for use in successful $15 billion settlement for client
Researched and implemented trading cost models using TAQ data; developed programs in PostgreSQL, R, and SAS for efficiently estimating trading cost parameters using large transaction datasets (1 TB); used models to predict baseline liquidation costs for long-short hedge fund portfolios
Researched and implemented Confidential methods in MATLAB for pricing commodity production contracts
Researched and implemented volatility skew models in R and MATLAB for use in crude oil options pricing

Economist

Confidential

Responsibilities:

Designed and implemented regression models and statistical tests to investigate the performance of inverse mutual funds; investigated and documented model robustness (bootstrapped errors, median regression); used models for prediction and hypothesis testing
Derived prediction errors for Confidential estimation for use with heteroskedastic regression models; used prediction errors to correct hypothesis testing used for existing models; implemented iteratively re-weighted estimation procedures in SAS and R
Researched and implemented time series methods for analyzing treasury futures; used models to test for market manipulation; results became cornerstone of multi-million dollar successful settlement for client
Implemented Confidential models in MATLAB for estimating liability; developed algorithms that reduced computation time (~90%) and solved memory bottlenecks

Confidential, Chicago, IL

Associate Economist

Responsibilities:

Designed and implemented simulations in Python to calculate higher moments of theoretical wage distributions; rewrote simulations in C++ to address performance concerns
Improved ensemble models for predicting inflation for the Confidential meetings
Performed logistic regression on micro-datasets ( Confidential, etc.) for use in predicting labor quality; wrote SAS code to prepare and validate data for analysis
Produced the Confidential using dimension reduction techniques; results incorporated into internal/external reports

Confidential, Chicago, IL

Analyst

Responsibilities:

Managed credit card transaction data in a massively parallel UNIX environment using SAS and shell scripting
Implemented and evaluated prediction models in SAS and Excel for use in direct marketing
Summarized results for management; used results to streamline market targeting and produce monthly reports

Confidential, Washington, DC

Junior Fellow

Responsibilities:

Research assistant to Confidential Pei for projects related to democratic transitions and Chinese politics
Incorporated research into academic publications