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Assistant Management

Location:
Brookline, Massachusetts, United States
Posted:
November 29, 2018

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Resume:

FRANÇOIS GUAY, Ph.D.

*** ******** ****** #***, *********, MA 02446 • 857-***-**** •ac7tr3@r.postjobfree.com • www.linkedin.com/in/frguay

GOAL: Relocating to Montreal to work for a dynamic company as a data scientist

PROFESSIONNEL EXPERIENCE

ASSOCIATE, CORNERSTONE RESEARCH (Boston, MA) 2016 – August 2018

Ø Worked on high profile litigation matters (~$100M-$1B) related to Mortgage-Backed Securities, Collateralized Debt Obligations, LIBOR-indexed Derivatives, Credit Rating Agency Models, Options and Distressed Investments

Ø Managed teams of analysts on the matters addressed

Ø Wrote an expert report for a litigation matter related to a CDO ($500M)

o Loan performance modeling: Loan cash flows and defaults with regression analysis

o RMBS modeling: Simulation of different scenarios of loan performance and modeling of the waterfall structure of the Mortgage-Backed Securities

Ø Responsible for the analyses of databases containing LIBOR-index derivatives (~$1B, notional value of ~$500B) and computation of the client exposure to help counsel preparing for settlement talks

Ø Internal investigation of the transactions and asset valuations of a mutual fund (~$1B)

o Investigation helped settlement negotiations with the SEC

INTERN, STATE STREET ASSOCIATES (Cambridge, MA) 2015

Ø QUANTEXTUAL TEAM: Searched and summarized academic literature related to investment management, performance measurement, risk management, macroeconomics and empirical finance

INSTRUCTOR, BOSTON UNIVERSITY (Boston, MA)

Ø Portfolio Theory (Master), Doctoral Seminar in Finance (PhD) 2018

Ø Intermediate Macroeconomics (Undergraduate) 2014

TEACHING FELLOW, BOSTON UNIVERSITY (Boston, MA), 2012-2015

Ø Statistics for Economists (Master)

Ø Advanced Econometrics (PhD)

Ø Introduction to Macroeconomics (Undergraduate)

MENTORED MASTER STUDENTS, BOSTON UNIVERSITY (Boston, MA)

Ø Helped two master’s students on their master’s thesis in financial econometrics

RESEARCH ASSISTANT, McGILL UNIVERSITY (Montréal, QC) 2011

Ø Assisted a professor develop a new way to evaluate mutual fund performances

Ø Conducted research on mutual fund performances using False Discovery Rate methods

Ø Elaborated Matlab code to sort the funds according to their characteristics (turnover, size, age, etc.) and test whether some categories of funds generating positive alpha were lucky or had skills

EDUCATION

PH.D. IN ECONOMICS, BOSTON UNIVERSITY (Boston, MA) 2011-2016

SPECIALIZATION IN FINANCIAL ECONOMETRICS, ASSET PRICING AND COMPUTATIONAL METHODS PhD Thesis: Parameter Inference for Multivariate Stochastic Processes with Jumps

Ø Provided estimation methods for multivariate jump-diffusion models (asset pricing)

Ø Wrote and solved a stochastic volatility model with Markov-switching parameters using MCMC

Ø Competences: Regression Analysis, Time-Series Analysis, Stochastic Calculus, Bayesian statistics, Monte Carlo Simulations, Data Modeling, Forecasting, Variance Analysis, Portfolio Optimization, Malliavin Calculus

PH.D. CLASSES IN ECONOMICS, UNIVERSITÉ DE MONTRÉAL (Montréal, QC) 2010-2011

MS IN APPLIED MATHEMATICS w ÉCOLE POLYTECHNIQUE DE MONTRÉAL (Montréal, QC) 2009-2010

SPECIALIZATION IN OPERATIONS RESEARCH AND REVENUE MANAGEMENT Master Thesis: A bi-level model for revenue management in media industry

Ø Developed a model to maximise profits in media industry

Ø Maximized the profits of media firms when they sell commercials during their breaks

Ø Wrote the model from scratch, implemented it with a Mixed-Integer Programming software

Ø Ran the algorithm with simulated data, improved the algorithm to gain resolution speed

Ø Competences: Dynamic programming, Algorithm analysis, Non-linear Optimization, Integer linear programming, Optimal control

BS IN INDUSTRIAL ENGINEERING, ARTS ET MÉTIERS PARISTECH (Paris, France) 2008

AWARDS AND PROFESSIONAL CERTIFICATIONS

PASSED ALL THREE LEVELS OF THE CFA PROGRAM, CFA INSTITUTE 2015 HARIRI GRADUATE

FELLOWSHIP Institute for Computing and Computational Science & Engineering, Boston, MA 2015

SPECIAL RESEARCH FELLOWSHIP, École Polytechnique de Montréal, Montréal, QC 2009 - 2010

SKILLS AND ACTIVITIES

SKILLS: R, Python, Matlab, C++, MS Office, Bloomberg, notions of SAS and SQL

GRADUATE ECONOMICS ASSOCIATION CO-PRESIDENTw Boston University (Boston, MA)

Ø Organized social events for the graduate students of the Economics Department

LANGUAGES: English, French



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