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Quantitative Analyst Resume Samples
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0-5 years of experience
Quantitative Analyst and Software Development Lead for $40B global investment banking, securities and investment management firm. Serve as interface between trading group and IT.
- Worked with internal clients to determine product requirements and managed development projects.
- Trained staff in application support and development, leading transition of support from quant group to IT.
- Turned significant losses into marked increases in profitability by developing real-time high-frequency
- Improved accuracy of pricing structures enabling more profitable trading by developing BGM pricing
- Increased client retention rates and data quality by designing fixed-income analysis and reporting.
0-5 years of experience
Managed team of quantitative analysts, sales people, and database programmers in both daily assignments and long-term overall strategy, with a singular focus on delivering a
product that met and exceeded the varied objectives of each individual client.
- Routinely met with CFOs, PMs and head traders to present analytical material and deliver actionable insights.
- Ran client service relationships for 30% of team's revenue base, while managing projects and overall client experience across entire revenue base.
- Drove sales process for 20% of new prospects, and managed client on-boarding process for all new sales.
- Redesigned both human and software-based processes to adapt to the ever-changing
- Designed new Web-based GUI, as well as beta tested intermittent software releases.
6-10 years of experience
Implemented, automated, and maintained econometrics model and data management using Stata, Access, Excel and SQL Server.
- Led testing, design, and implementation of quarterly retail subclass forecasting model. Tested and validated model in Stata, automated
- Designed and created retail clustering visualization web tool linked to SQL Server utilizing Google maps API, jqplot, cluster analysis in R.
- Innovated numerous VBA macros and tools to facilitate data analysis and report building for a team of 30 market analysts.
- Served as primary liaison between analytics team and IT team for data migration and linking from individual Access databases to SQL
0-5 years of experience
Conducted quantitative financial analysis and fund level valuation modeling for industry leading real
estate investment firm.
- Completed market and neighborhood studies for the acquisitions department.
- Developed comprehensive investment memos configuring investment explanations and deal returns while organizing and reviewing hundreds of tax returns during the extremely time sensitive period of reporting.
- Managed the capital call request process for multi-investor funds by directly communicating with various investment banks.
- Helped asset management and fund management in the design theory and database structure for the improvement of the overall database in order to improve the efficiency and quality of information.
0-5 years of experience
Conducted statistical analysis on crowd-funded companies and explored various financial models for best suitability
- Identified meaningful relationships between companies' bankruptcy rates and factors such as revenue growth rate, profitability
- Successfully built preliminary bankruptcy models to assess the expected return and risks for crowd-funding insurance products
- Contributed in compiling a database with more than 100 global equity crowd-funding platforms and 800 companies
0-5 years of experience
Led fuel conservation project to monitor and report Auxiliary Power Units usage and saved the company over $1.6M a year
- Conducted quantitative and statistics analysis to track and monitor operations performance, improved flight reliability
- Developed goals application in Excel VBA to set up goals, do what-if scenario analysis and track performance
- Automated process to prepare Quality Review deck of over 100 pages for weekly senior management meeting
6-10 years of experience
Planned, implemented, and maintained the front and back end components of a web application (using MySQL, Python, HTML, JavaScript, and JQuery) that supported statistical analysis of financial securities, allowed the user to filter over thousands of financial instruments, and perform regression and volatility analysis
- Created, programmed, and implemented procedures for processing and categorizing large data sets to extract meaningful statistical models of equity returns using hundreds of economic and market factors
- Authored the white paper "Disentangling the Value Added by a Fund-of-Funds: Manager Selection and Strategic Allocation"
- Responsible for the development of a tool to facilitate equity investment decisions. This tool involved automated retrieval and manual import of equity data from various sources into a database for correlation analysis, modeling, and multi-factor analysis
- Contributed Python code to Signet's proprietary asset, risk, and client management software
- Created a client website for Signet Wealth Management affiliate
0-5 years of experience
Designed and developed proprietary trade models that leveraged the high correlation among credit card spend patterns and specific government macroeconomic releases.
- Built complex statistical models in SAS that generated buy/sell signals of the 10-Year bond using forecasted credit card transactional data.
- Identified optimal trade opportunities and financial instruments that incorporated the buy/sell signals from comparisons between internal and consensus retail sales or non-farm payroll estimates.
- Used different software to organize and model multi-terabyte sized credit card databases.
- Provided strategic direction to a small team of PhD statisticians and programmers.
0-5 years of experience
Managed over $150mln in quantitative equity stat arb strategies
- Developed dynamic hybrid macro/quant models
- Assisted in managing a half a billion quantitative market neutral equity portfolio
- Conducted quantitative research on technical and fundamental modeling factors
- Performed timing and execution optimization of various strategies
0-5 years of experience
Performed complex analysis and reporting for a firm that served school districts and municipalities that were seeking bond initiatives while managing a team of four experienced professionals. Reviewed and analyzed financial statements for accuracy. Built multiple scenarios for each client, and led presentations to recommend products. Directed clients in developing annual budgets and forecasts. Determined how to structure future debt with current liabilities. Managed risk by timing market entry and identify underwriters who offer appropriate products. Researched prospective clients and accounts.
- Achieved 15%-20% savings for clients by structuring deals that lowered interest rates. Closed over $250 million in annual bond financing.
- Enhanced skills in Excel by using vlookup and pivot tables for analysis and modeling.
- Held Series 7, 6, 63. Current on all licenses.
0-5 years of experience
Developed software to monitor and model portfolio securities and derivatives
- Collected and integrating data from a variety of sources; automating data maintenance
- Managed interest rate risk for a $30B portfolio including municipal and corporate debt
- Modeled securities to forecast municipal bond refunding and detect new investment opportunties
- Built machine learning based text classification system to collect and identify relevant news stories
- Led team of software developers to build analytics for portfolio management system
- Developed risk models to facilitate and encourage growth in the trading portfolio
0-5 years of experience
Priced exotic and standard energy derivatives based on electricity and natural gas prices
- Supported pricing and modelling activities in major energy markets
- Initiated risk management study group to improve modelling of risks related to group businesses
- Improved calibration of forecasting models related to ancillary costs
0-5 years of experience
Assisted in profit optimizations in market making strategies based on supply and demand data from the order book
- Conduct statistical research, created P&L simulation and risk metrics, pattern recognition methods in R
- Converted computational algorithm and quantitative idea into production code in C#
- Assisted in creation of various handy tool boxes, interface, and data visualization in C#
- Assisted in database development and maintenance in MS-SQL Management Studio (over 10TB data)
- Reduced operation risks by quality assurance, cases testing and monitoring live performance
0-5 years of experience
Employed on the Natural Gas trading desk to build and implement S&D models and conceive, model and back-test trade ideas.
- Developed, calibrated, and maintained multiple power demand models, including econometric models of power demand and gas-burn for power,
- Built front-end tool to aggregate the results of S/D component models and make EOS storage inventory estimates; also provided the user an ability to
- Developed a suite of daily pricing and fundamental tools for traders, including pipeline flow scrapes, forecast weather summaries with historical
- Served as primary liaison between trade floor and product development group, ensuring that the trade floor was an integral part of the product
- Developed and back-tested regression-based model to forecast Henry hub cash-to-prompt spread.
- Performed ad hoc analysis in support and development of trade theses.
- Led and participated in weekly global fundamentals group meetings.
- Managed and oversaw the efforts of junior analysts and interns.
0-5 years of experience
Designed and back tested trading strategies hard coded into high frequency trading algorithms
- Innovated and implemented univariate / multivariate financial time series analysis/prediction methods
- Applied statistical theory and methods to collect, organize, analyze, and interpret equity market data
- Analyzed financial information to produce forecasts of economic conditions and prepare financial reports
0-5 years of experience
Analyzed load data for uncertainty. Developed custom load models and perform research in order to accurately price commodity electricity & gas for wholesale & retail sales.
- Forecasted customer demand for daily physical operation, managed volumetric risk throughout the portfolio.
- Simulated hourly, monthly and yearly energy consumption demand at customer level & for total system.
- Forecasted the hourly, monthly & yearly energy demand for total system & at the customer level. Estimated per unit cost & price of electricity to the corporate customers and estimated different charges like transmission loss, load factor etc., for each customer.
- Segment customer's profile on the basis of energy consumption & demand in order to offer incentivized rates. Developed the Swing Options model & validate the swing premium (in a team effort).
- Collected, integrated & tracked customer usage & sale's forecasts & maintain the associated databases. Used SAS applications to retrieve and analyzed the data to forecast the demand.
- Researched & analyzed the energy market to communicate business & competitor-specific information. Analyzed the information gathered periodically for business intelligence to make better decisions.
0-5 years of experience
Tracked site metrics including Email campaign performance, mobile funnel activity, customer demographic and geographic information using SQL and Python
- Analyzed Attribution Model for user acquisition strategy and remarketing using data mining technologies
- Built predictive and segmentation models on user conversion and repeat rate using machine learning packages in R
- Interpreted quantitative outputs and reported results to the management to drive business decisions
0-5 years of experience
Performed statistical analysis of budget.
- Composed, maintained and presented statistical reports and business plans for associates and potential investors
- Served as team leader alongside company president
- Collected and organized data for identifying financial discrepancies
- Mentored company sales representatives
- Assisted in the sale of cutting edge waste to energy technology
0-5 years of experience
Assisted Division Manager of Credit Reporting and ALLL (Allowance for Loan and Lease Losses) in the preparation of the ALLL supporting schedules
- Tracked and analyzed concentration risks and portfolio trends, including documentation and policy exceptions
- Participated in research, compilation and preparation of global portfolio monitoring projects
- Developed systems to stress test the portfolio for economic changes
0-5 years of experience
Performed risk attribution and analysis on Variable Annuities' liabilities
- Reconciled two economic scenarios generator systems and back-tested for convergence purposes
- Participated in the new GAAP development process and validated the model
- Projected quarter-end GAAP reserve based on different equity market shocks
0-5 years of experience
- Studied characteristics of foreign exchange (FX) market and differences between FX and equity markets
- Dealt with huge amount of data with database management
- Selected and analyzed quote and order data for up to eight currency pairs and ten dealers and ECNs
- Observed certain patterns and provided guidance on benchmarks used to make pricing and routing decisions for potential algorithms
0-5 years of experience
- Provided customized investment solutions that integrate environmental, social and governance (ESG) analysis.
- Performed quantitative analysis on 500 stocks by comparing historical prices, trends and sustainability performance.
- Developed a list of Top 100 companies with best returns, financial ratios and sustainability rankings for investors.
0-5 years of experience
- Analyzed data for 2 financial projects on investment planning, airport acquisition
- Collected and analyzed market data, and produced marketing reports
- Analyzed pricing and promotion in 3 marketing projects
6-10 years of experience
- Built bottom-up valuation and growth models, and performed a broad array of company and industry specific fundamental research to support buy/sell recommendations
- Developed, tested, and optimized proprietary stock selection models used in managing the firm's equity assets
- Ensured integrity of formulas and accuracy of data in our weekly, bi-monthly, and quarterly quantitative reports
- Performed back testing and alpha testing through FactSet Research Systems
- Composed written summary of a portfolio's selection & allocation effects through portfolio attribution software, summarized contributors & detractors by market cap and earnings growth quintiles for board meetings
- Supervised the completion and accuracy of all request for proposals and investment questionnaires
0-5 years of experience
Determined value at risk for the firm's largest individual bond holder and created multiple complex interest rate sensitivity models which relieved investors' concerns
- Illustrated the value of investing in the firms' mutual fund through the use of correlation matrixes and the efficient frontier. Analysis and data published in quarterly newsletter
- Researched convertible debt issuers; persuaded management to increase equity position in a holding to remain properly hedged
- Utilized Excel to aggregate portfolio returns of firms' largest investor which was previously unattainable
0-5 years of experience
- Performed independent model reviews in credit risk area and documented the findings
- Reviewed mortgage orphans PD/LGD/EAD model codes and documents based on Basel III with SAS
- Validated auto and mortgage profitability model based on cash flow analysis with Excel, VBA and Access
- Implemented home equity expected loss model validation and performed back-testing with SAS and Excel
- Cooperated with model developing team to fine-tune the models and documents
0-5 years of experience
- Conducted market research and quantified the arbitrage costs of ETF strategy, with an aim to anticipate market trend
- Developed and back-tested an automated momentum trading strategy in MATLAB
- Constructed revenue forecasting model using statistical techniques such as exponential smoothing and regression analysis
- Coded in R organizing 2 million data observations to improve the efficiency of portfolio regression processes
0-5 years of experience
Support the development of views on the financial markets for analysis and quarterly reviews
- Develop a quantitative model to trade off key market indicators in collaboration with the Managing Partner
- Maintained and updated quantitative model regularly to ensure accuracy in the data and automation
- Gathered and analyzed various asset class data critical for developing asset allocation strategies to manage risk
0-5 years of experience
- Reviewed and analyzed large amounts of stock market raw data in the past two years using Excel and Matlab
- Analyzed price ratios and mathematical relationships between trading vehicles in order to devise profitable trading opportunities
- Created and developed automated trading strategies including pairs trading, high frequency trading and etc.
6-10 years of experience
- Developed monthly and multi-year loss forecasts for $2 billion dollar mortgage portfolios with 98% accuracy
- Developed SAS and SQL code for ad-hoc and schedule query and reporting needs for multiple departments
- Reported data to Senior Executives
- Scenario tested the effects of economic changes on mortgage and foreclosure defaults
- Analyzed risk associated with prime and subprime mortgage portfolios
0-5 years of experience
- Developed trading strategies to find optimal portfolios using MATLAB and VBA
- Monitored and adjusted the portfolio based on risk, margin, and market environment
- Used MATLAB to perform analysis on the movement of implied volatility, skewness and kurtosis in index option markets
- Created robust and flexible programs to aid in the development of a broader risk management tool
- Use skewed t distribution to model and predict S&P 500 return distributions under different market situations in MATLAB
0-5 years of experience
- Extracted data from police and fire service information systems
- Identified data problems and implement strategies for dealing with missing or incorrect data
- Analyzed data of emergency services to calculate workloads; estimated queueing and dispatch
- Assisted with the automation and augmentation of data analysis portions of our current model
- Maintained the growing database of data files and scripts associated with public safety projects
0-5 years of experience
Quantified risk and optimized hedging strategies for multi-million dollar transition events, helping contribute to 2 of the 3
highest revenue months for Russell's transition management business
- Analyzed the price impact of a competitor's proposed index rebalance by generating custom portfolios to highlight cost
- Identified opportunities to enhance fixed income reporting by correcting and automating 3 issues that previously required
- Managed and became SME for in-house analytic tools by developing a working knowledge of C# and R, which allowed me to advise a team of 25 global PMs on the optimal combination of analysis and tools to solve each particular client's needs
- Transitioned an obsolete Access database into a new SQL platform, enabling Russell to generate 5-year client performance
0-5 years of experience
- Analyzed trading pattern for high frequency S&P 500 futures options data under various market conditions
- Developed, tested and optimized high frequency option trading strategies
- Applied Barone-Adesi and Whaley model for implied volatility surface
0-5 years of experience
Performed Strategic Asset Allocation for institutional clients: insurance companies and pension funds.
- Implemented Liability Driven Investment models in MATLAB.
- Added modules in DB's proprietary software for asset allocation and portfolio analysis.
- Updated data templates with Barclays POINT and Bloomberg.
- Optimized the diversity score of a portfolio to achieve high level finance rate.
0-5 years of experience
Brought on board to add SAS skill set to model implementation and validation Team.
- Implementation and validation of credit risk models including mortgage models
- Created data structure and performed statistical validation of Basel II models
- Data retrieval from various sources (flat files, Oracle, Excel, mainframe)
- Reported results to team leader and risk management members
0-5 years of experience
- Performed data analysis to identify commodities for auction.
- Designed and implemented product grouping strategy developed and executed post-auction analytical tools and processes using Excel and SAS.
- Identified complexities associated with multiple-party auctions & developed solutions.
- Maintained database to manipulate information received from the airlines and suppliers.
0-5 years of experience
- Built and implemented statistical models on industry performance, and provided recommendations to business advisory team based on the model results
- Conducted hypothesis testing, descriptive analysis, linear, regression analysis using SAS and SPSS
- Provided analytical support and developed analytical tool in EXCEL for business advisory team to perform ‘what if’ analysis
0-5 years of experience
- Researched regime detection and regime-based investing strategies
- Developed statistical measures for market intensity, strategy confidence and factor dilution
- Generated alternative strategies based on developed statistical measures to improve current alpha model
- Implemented automatic system to back test new sector rotation model in EXCEL/VBA and R
- Reported to Chief Investment Officer
- Extracted macro-economic and finance data from internal database in MS SQL
0-5 years of experience
- Identified trend patterns to contrast market service models and provided statistical summary for better resource optimization
- Researched for algorithms in time series pattern matching and verified the performance of using various developed methods
- Evaluated millions of records for time series data detection and defined data characteristics in large data set
0-5 years of experience
improved pricing and valuation skills of derivatives:
- Built pricing models of derivatives with multiple programming tools (QuantLib, C#)
- Improved accuracy and flexibility of the company's pricing system
- Performed dataset management with Microsoft Excel
- Conducted daily operations on Bloomberg
0-5 years of experience
Worked with the trading desk on day to day tasks such as 'what-if' analysis for potential new trades, scenario
analysis for the existing portfolio and setting up the data feed infrastructure (C++, Python)
- Created and maintained various quantitative trade idea filters in credit relative value (regression analysis and ad hoc filters using Excel/VBA)
- Maintained code for generating trade ideas in single name relative value in capital structure (C++)
- Created factorization reports for the existing portfolio and helped create portfolio hedging methodologies
- Set up infrastructure for generating regular risk reports for internal and investor reporting (Python, VBA)
0-5 years of experience
- Built a regression model to forecast loan growth using macro-economic and interest-rate variables.
- Developed a market valuation model for $1b credit card portfolio using risk-adjusted cash-flow analysis.
- Estimating interest-rate and market risk (VaR) exposures by analyzing the balance sheet and income statements of a $140 billion commercial bank and reconciling variances in NII/NIM positions.
- Implementing the prepayment models and modeling the balance sheet in QRM framework.
- Performing detailed monthly analysis and generating statistical reports for a $24b investment portfolio.
- Added synthetic swaptions in Algorithmics to correct the convexity of MBS and mortgage portfolios.
0-5 years of experience
Built tool in Java using Interactive Brokers API's of various portfolio metrics
- Built realized volatility models (i.e. Garman-Klass, Yang-Zhang, ARIMA) to forecast volatility
- Fitted stock returns distribution with various statistic model specification techniques to conduct
- Conducted performance evaluation, tracking, back-testing of strategy analysis and risk attribution
- Implemented pairs trading strategy using Copula techniques by Xie & Wu (2013)
0-5 years of experience
- Created regression model to predict future market share for Merial brand with adjusted r2 > 0.7
- Data validation, checking and cleaning data from multiple databases through MS SQL Server
- Ran queries and extracted data in SQL Server which resulted in over 600 product setup and validations
0-5 years of experience
- Coded the algorithm day trading system (3000 lines) by C++, HTML and Aauto Quicker in a 3-person group.
- Assisted designing algorithm day trading strategy for Stock Index Future Contracts, training and sieving parameters by historical data (0.5 second a tick).
- Organized group members to develop a display program showing market data, strategy condition, etc instantly for clients. Coded the user interface part using Aauto Quicker and HTML.
0-5 years of experience
Engage with business users/analysts to understand their problems and provide analytic solutions including designing/
implementing/optimizing various quantitative methods and models.
- Perform Linear Regression, Logistic Regression and Variable Selection Methods on large dataset. Improve their performances by modifying algorithms and queries, increase speed by more than 10 times. (Stored Procedures)
- Research and develop string functions, financial functions, statistical functions and machine learning models for in-database
- Test and validate statistical methods and models using R, SAS, and SQL.
- Write comprehensive unit tests for over 100 functions. Design and implement automated testing framework and tools. (Linux,
- Lead function development lifecycle through plan, design, development and testing phases on Actian Matrix (Paraccel)
6-10 years of experience
Using in-depth financial product, trade lifecycle, and exchange knowledge, plan, execute and support financial company's
day-to-day operations.
- Structure and administer a variety of financial products the company monitored and valued, including interest
- Review trade confirms to determine the details of individual derivative trades and enter them into the proprietary system. Monitor the pricing system, database and website for accuracy correcting issues as needed.
- Work with IT to implement and test all new features of pricing system. Research, analyze and troubleshoot
- Provide clients with ongoing ASC 820 fair value measurements and ASC 815 hedge accounting.
- Communicate regularly with both clients and auditors to answer questions and provide support.
- Gather and compile necessary information for auditors to complete Soc1 annual audit.
0-5 years of experience
- Constructed, validated and maintained pricing and risk models for multiple asset classes.
- Developed risk management and reporting tools used by portfolio managers on liability driven portfolios composed of treasury bonds, strips, interest rate futures, corporate bonds, swaps, swaptions and CDX.
- Developed tools used by strategists to model risks and conduct asset allocations for prospective clients.
- Enhanced curve builder, risk budgeting, benchmark and performance attribution tools used by portfolio managers.
- Supported traders to perform back testing on equity and interest rate derivative strategies.
- Implemented stochastic interest rate models for cash balance plan with caps/floors.
