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PROFILE Equity Trader for a top trading firm with $200,000 in trades every day. Worked with a team of 25 people to research, develop and execute multiple day and swing trades. Successfully incorporated multiple risk management techniques into equity trading.
Pricing of European, American and exotic options using numerical and analytical methods such as Monte-Carlo simulation and Heston models in R. Calculated VaR, CVaR, probability of default and loss given default for 9.4 million residential loans using analytical and machine learning algorithms. PROFESSIONAL EXPERIENCE: T3 Trading Group- New York, NY Aug 2018- Present
Equity Proprietary Trader
• Development of trading strategies to 20% increased profits and 15% reduction in risk.
• Use of macro and micro economics and news to determine whether to hold stocks drastically improved trades.
• Risk Management techniques such as limit downs and double downs help create a minimum risk reward/ratio of 3:1. Used post trade analysis and trade reviews to ensure that 3:1 risk/reward ratio is maintained. Reliance Industries LTD – Treasury Department, Mumbai, India, June 2017 – July 2017 Risk Management, Intern
• Quantified credit risk on government and tax-free bonds by using concepts of hazard rates, probability of default and exposure at default in Excel and R
• Risk monitoring and mark-to-market of all positions across multiple asset for all traders in R
• Sensitivity analysis of interest rates on the swaps portfolio using Excel and Bloomberg
• Back-testing of multiple trading strategies and rate on return of mutual funds using Excel EDUCATION Stevens Institute of Technology, Hoboken, New Jersey May 2018 Master of Science in Financial Engineering, Risk Management Certification, GPA – 3.6/ 4 Carleton University, Ottawa, Canada June 2015
Bachelor of Science in Electrical Engineering, GPA – 8.1/12 SKILLS: Technical Skills: R, Python, Java, SQL, Machine learning, MS Office Suite, MATLAB, Windows and Linux operating system, Google Cloud platform.
Quant Skills: Financial Derivatives, Option pricing, Advanced Derivatives, Monte-Carlo Simulation, Finite Difference, Machine Learning, Neural Networks, Risk Management, VAR, CVAR, CDS, CDO, Structured Products, Principal Component Analysis, Mark-to-Market of multiple positions Risk Management: Calibration of yield curve, hazard rate curve and survival rate. Valuation of structured products such as interest rate swaps, par asset swaps. Risk measures such as VAR, CVAR and EAD for counterparty credit risk. Analysis of different types of risks such as market, credit, liquidity and systemic risk. Trading: Support and Resistance levels, Candlestick patterns, Development of new trading strategies, Breakout and breakdowns.
PROJECTS: Mortgage Risk analysis using Deep learning 2018
• Prediction of Loss Given Default and Probability of Default on 9.4 million residential loans obtained through Fannie Mae, with a value of $1.3 trillion, using machine learning and neural networks
• Data Analysis of the 9.4 million loans to determine the number of defaults, prepayments and their distribution through different states in the country.
• Implemented attribute analysis to reduce the number of attributes required by the model from 30 to 12.
• Achieved an accuracy of 96% while predicting default using neural networks. Derivative Pricing Model 2016
• Implemented multiple pricing models such as black Scholes, Heston Model and calibration of the SABR model
• Implicit, Explicit and Crank-Nicolson Finite Difference models for European, American and exotic option pricing
• Use of Monte-Carlo simulations to price options
Enterprise Risk Management 2017
• Calculated the Exposure at Default and survival probability on options using Monte-Carlo Simulations and Expected Exposure.
• Calculated the hazard rates, survival probability and probability of default from Par CDS spreads using excel.
• Valuation of structured products such as CDS, CDO, Par Asset swaps