212-***-**** email@example.com, www.linkedin.com/in/andrei-golubentsev
QUANTITATIVE ANALYST / ADVANCED FINANCIAL MODELER
DATA SCIENTIST / SOFTWARE DEVELOPER
Scientist with years of experience focusing on quantitative and qualitative analysis and Big Data. Patent inventor. Essential experience of experimental research, advanced mathematical and financial modeling, different machine learning techniques, formulation of complex problems, development of novel solutions, scientific computing and software development. Developer of many software packages applied in finance and business. Management of people, supervision of undergraduate and PhD students. Experience in teaching object-oriented design, data analysis and physics courses. Primary author of about 12 papers published in major peer-reviewed physics journals. Reported at major international scientific conferences. AREAS OF EXPERTISE
Advanced Financial Modeling Software Development Predictive Modeling Quantitative Risk Machine Learning Deep Learning Data Science Model Validation Financial Engineering Statistics Pricing VaR/HVaR/Stress Tests Heavy Tails Time Series Analysis Modeling Stress Testing Basel CCAR FRTB
Credit Risk Interest Rates Swaps Swaptions OTC Derivatives Commodities Options Futures Management Collaborative Work Team Building & Motivation Project Leadership C# C++ .NET PYTHON JAVA R SPARK SQL Excel VBA PROFESSIONAL EXPERIENCE
Independent Consultant, New York, NY 2017 - present
Software development – pricing, hedging, risk management, data mining
Independent model validation – rates, commodities, equities, credit, XVA BANK OF AMERICA, New York, NY 2013 – 2017
Director, Risk Management, Portfolio Analytics Group
Development of new risk models for Interest Rates, Currencies, and Commodities.
VaR, SVaR, CCAR, FRTB and stress testing processes – support and improvements.
Developed codes using Machine Learning methods to preventively identify books that may experience VaR break.
CME GROUP, New York, NY 2011 – 2013
Executive Director, Clearing House Risk
Extending current offering to include interest rate swaptions.
Developed and patented methodology for building swaptions volatility cube.
Developed a flavor of SABR model with positive implied probability density.
Presented results to clearing member firms and CME Risk Committee. BANK OF MONTREAL, New York, NY 2007 – 2011
Director, Structured Products
Development strategy for new generation of the cross-products analytics platform – MFL
(Mathematical Finance Library). Design emphasizes modularity, model lifecycle management, ease of quant-trader interaction and eventual integration into various systems.
Developed MFL modules for basic Interest rates analytics – dates, rate conventions, etc.
Developed MFL modules for pricing and hedging callable Libor exotic trades in Libor Market Model.
Support and development of pricing models for oil, power and natural gas trading. CREDIT SUISSE, New York, NY 2006 – 2007
Vice President, Global Modeling and Analytics Group
Support and development of pricing models for oil, power and natural gas trading. WACHOVIA SECURITIES, Charlotte, NC 2003 – 2006
Vice President, Quantitative Analytics Group
Development and support of valuation analytics for interest rate derivatives desk. Developed pricers for callable range accrual swaps, callable capped floaters.
Development and support of valuation analytics for commodities derivatives desk. Implemented PCA based model for pricing energy derivatives.
Developed pricers for average price oil and natural gas options, swaptions, options on baskets of commodities, barrier trigger swaps.
Reviewed, at management’s request, a number of vendor software systems for pricing and risk management.
CIBC, Toronto, ON 1998 – 2003
Quantitative Analyst, Interest Rate Derivatives Trading. Manager, Global Analytics, Risk Management Division Education
Ph.D. in Physics, Moscow Institute for Physics and Technology Master of Science (MS), Theoretical and Mathematical Physics at Moscow Institute of Physics and Technology (State University) Publications 12 articles in leading peer review journals Patents Blending Methodology for Settling Swaption Volatility Cube and Prices; URL: https://patents.justia.com/inventor/andrei- goloubentsev