Quantitative Analyst Intern Resume Chicago - Hire IT People

TECHNICAL SKILLS:

Tools and Programing Languages: Python (Data Science), R, SQL, Tableau, C++

Analytical Skills: Data Analysis, Time Series Analysis, Predictive Modelling, Regression Analysis

Platforms and Frameworks: R Studio, IPython, .NET, Visual Studio, MS Excel, MS Access

Financial Risk Management: Portfolio Risk using Value at Risk, GARCH, NGARCH, Monte - Carlo simulation

PROFESSIONAL EXPERIENCE:

Confidential, Chicago

Quantitative Analyst Intern

Responsibilities:

Deriving statistical inferences out of fundamental data like USDA reports, NASS survey and New Zealand Global Dairy Trade index and building an analytics system
Built a regression based price prediction model for various instruments and created data visualization tools
Automated reports related to various instruments pricing, trade processing and risk reporting through Python scripts
Used data science libraries like Pandas, Numpy, Quandl, Matplotlib in Python

Confidential, Chicago

Derivatives Database Analyst

Responsibilities:

Cleaned the historical FIA derivatives data and ran various data manipulation techniques in R
Performed physical and logical database design for historical derivatives data
Wrote analytical SQL queries to fetch trends of transactions in Futures & Options for building global FIA Derivatives database
Created web based R shiny data visualisation application

Confidential

Market Analyst/Trader

Responsibilities:

Responsible for trading agricultural futures instruments like Corn, Wheat, Soybean
Analysed USDA reports, Export Sales, WASDE reports, NASS survey etc. in order to make statistical inference out of it
Developed trading strategies and implemented them with VBA excel and C++
Created number crunching and data visualisation tools in R for predicting seasonality in calendar spreads
Developed an in depth understanding of fundamentals of agricultural commodities with respect to seasonality, price risk, futures curve and physical aspects

Confidential, Chicago

Style Analyst

Responsibilities:

Performed style analysis for a US multi cap equity mutual fund using the four Russell indices to determine the investing style of the fund and to determine the benchmark by calculating minimum tracking error in MATLAB
Performed time series & weighted average regressions to analyze the active returns of asset manager
Performed portfolio analytics with risk factors such as beta, market cap, book to price, and sectors to determine the efficiency of the risk model, to determine which risk factors drove the market

Market Risk

Confidential, Chicago

Responsibilities:

Calculated historical simulation 1-day 95% VaR and 1-Day 95% CVaR, Linear VaR for a portfolio of ETF
Wrote a script in R to calculate Maximum Drawdown
Simulated an exotic options position in order to calculate Monte Carlo Simulation VaR in R
Used daily return data of an instrument to model the volatility by GARCH model and EWMA model, and evaluated the performance of each model by statistical tests

Confidential, Chicago

Responsibilities:

Developed models including Merton, Reduced Form, & Rating Agency for determining the probability of defaults from data related to S&P 500 companies
Developed hybrid models using above mentioned models with varied weightages for performing sensitivity analysis
Performed regulatory capital analysis using Standard Approach (agency ratings), and Foundation IRB Approach
Employed CCAR analysis for modelling the probability of defaults using hybrid models for various scenarios considering SR11-7 regulations for model risk and performed stress tests
Developed PPNR model using time-series regressions for forecasting the net revenue in R

Confidential, Chicago

Responsibilities:

Developed GUI based C# application using Trader API to connect to exchanges for extracting market data feeds
Implemented multi-threading modules, socket programing and event driven application