Quantitative Analyst Resume Profile New York, NY - Hire IT People

PROFESSIONAL EXPERIENCE

Confidential

Quantitative Analyst

Created an application-based valuation model in C /VSTO for simulating losses on SVF Stable Value Fund Wraps offered in retirement plans.
Used Monte-Carlo Simulation to estimate SVF Wrap Losses based on stochastically generated paths of future interest rates, credit spreads and withdrawal rates.
Developed and evaluated various hedging strategies in R/C using interest rate models to determine an optimal strategy.
Enhanced the application to simulate individual paths, portfolios and perform stress test analysis.
Used Maximum-Likelihood Estimation and Kalman Filter to calibrate CIR Model parameters for short term interest rates and credit spreads.
Performed Stress Test Analysis on a portfolio of short to medium-term fixed-income assets using sensitivity and scenario analysis of the portfolio to extreme realistic moves in Interest Rates and Credit Spreads.
Analyzed the interplay among supply, demand and price of oil to model Crude Oil Price Dynamics in R/C using time series analysis.
Implemented models in C /VSTO for pricing risk of various equipment finance securities such as aircraft lease securitized products and freight derivatives like Forward Freight Agreements.

Confidential

Quantitative Analyst Summer Intern

Developed an Equity Dispersion strategy using variance swaps involving selling volatility on an index and buying volatility on an optimal basket of underlying cheap volatility stocks with high average Implied Correlation.
Implemented a fixed strike dispersion strategy using options and came up with a vega rebalancing and delta hedging methodology to manage the strategy.

Confidential

Summer Intern, Equity Derivatives Analytics

Developed the SABR Model in C for modeling the smile dynamics of volatility surfaces for European stocks indices.
Implemented tools in Excel/VBA for pricing and managing risk of various products including options, variance swaps, dispersion trades and volatility spread trades.

ACHIEVEMENTS

Won a Gold medal in Badminton among 12 participating teams from the state at the Bangalore Sports meet, 2008.
Awarded a certificate for exceptional classical dance performance by the Chief Minister, Karnataka, India.
Awarded 'the most eloquent' among 50 speakers in a Debating Competition at the National Integration Camp 2007.

SKILLS INTERESTS

Technical Skills: C , C, C , VSTO, VBA, R, SAS, SQL, Python, Hadoop, MS Office, Bloomberg.
Interests: Classical dancing, adventure sports, swimming, poker, travel.