Vice President Management
Resume:
KHOSROW MEHRZAD
Syosset, NY 11791
********@*****.***
EXPERIENCE
**** - ******* *** ********* *********** Stamford, CT
Senior Pricing Analyst
( Managed a team of analysts evaluating equity, fixed income, and
currency derivatives. Developed financial models, and
complemented the theoretical pricing models with practical
trading experience. Built pricing models for derivatives
securities such as long term options, cliquet options,
convertible bonds, interest rate swaps, total return swaps,
cross-currency swaps, variance swaps, and currency forwards
and options. Priced corporate, municipal, and church bonds as
well as loans.
( Interacted with clients, earned their trusts and sold the company's
services to them.
( Reviewed the portfolio of securities, as well as the operating
processes, proposed and successfully implemented modifications
that enhanced the quality of firm's services, and the
productivity of group.
2007 - 2010 ALPHAENGINE GLOBAL INVESTMENT SOLUTIONS Princeton, NJ
Managing Director, Co-CIO / Portfolio Manager
( Established the investment management division. Developed multi-
factor global macro models tailored to clients' requirements
and benchmarks, and helped them with their tactical asset
allocation decisions Applied various quantitative methods to
test fundamentally rational hypotheses. Discovered causal
relationships between economic; financial; and technical
factors, and assets' prices; and built tactical asset
allocation models. Traded US Equity, International Equity,
Commodity, Currencies and US Fixed Income Futures.
( Interacted with clients and successfully explained the models to
them.
( Developed trading, portfolio management, and reporting tools and
programs.
2004 - 2007 DEUTSCHE BANK ADVISORS New York, NY
Director
( Managed a US equity book consisting of option structures, pair
trades and individual longs and shorts. Developed a semi-
automated process using Bloomberg Excel adds-in to screen a
large number of Russell 2000 equities based on fundamental,
valuation and technical parameters. Established mean-reversing
or momentum pair trades with full consideration of fundamental
rationality of trade, timing and potential catalysts driving
the spread. The portfolio was sector and sub-sector neutral
with an annualized return of 18%.
( Conducted the fundamental analysis of US public companies and
followed their developments and news closely. Provided
fundamental information to other portfolio managers in an
informal and voluntary basis. Participated in training of a
group of junior analysts in India, and supervised their
relationship with US portfolio managers.
1997 - 2003 J.P. MORGAN INVESTMENT MANAGEMENT INC. New York, NY
Vice President
( Supervised an interdisciplinary team to build the first relative
value hedge fund for JP Morgan.
( Managed a diverse portfolio with an audited track record of 26.6%
annualized return net of fee, 13.4% volatility and a
correlation of 0.13 with the S&P Index. Portfolio consisted of
relative value currency, interest rate and equity (risk
arbitrage, event-driven option structures and equity pairs)
trades.
( Considered an expert in high yield currencies, relative value
trades, and derivatives at JPMIM and was consulted by numerous
groups inside the firm.
( Designed and implemented hedging strategies for JP Morgan Multi-
Markets Group in portfolio as well as single position level.
( Developed a stochastic pair-trading model to discover statistically
significant deviation from a long-term serially correlated
relationship of two shares. Applied a semi-automated process
to evaluate M&A deals, and to systematically investigate
various quantitative and qualitative factors which had
potential to derail the deals. Established a quantitative
process to evaluate the currency pairs with consideration of
their historical serially correlated relationship, fiscal and
monetary parameters, and trade competition.
( Traded various derivative products with diverse underlying asset
classes and was the key person establishing JPMIM's derivative
business.
1995 - 1997 HSBC SECURITIES INC., Risk Trading Group New York, NY
Assistant Vice President
( Traded for the proprietary desk. Concentrated on US Treasury bonds
and related options.
1988 - 1993 BOMBARDIER INC., Regional Jet (RJ) Division Montreal, Canada
Group Leader
( Developed computer simulation programs to analyze aircrafts in case
of ditching, bird strike or engine burst. Led a group of
engineers responsible for improving reliability of aircraft
structures.
EDUCATION
1993 - 1995 M.I.T SLOAN SCHOOL OF MANAGEMENT Cambridge, MA
Master of Business Administration. GPA: 4.7/5.0.
( Concentration in Financial Engineering.
1986 - 1988 McGILL UNIVERSITY Montreal, Canada
Master of Engineering (Applied Mechanics). GPA: 4.0/4.0.
( Received McGill Major Fellowship, Emil Nenniger Award, and John
Bonsell Porter Scholarship.
1982 - 1986 SHARIF UNIVERSITY OF TECHNOLOGY Tehran, Iran
Bachelor of Engineering (Structural), Highest Distinction. GPA:
4.0/4.0.
( Vice President of Mountain Climbing Club.
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