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