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Data Analyst Python

Location:
New York City, NY
Posted:
February 24, 2020

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Resume:

Serge Shuster, adbywu@r.postjobfree.com, 646-***-****

Skills: Python, Tensorflow/Keras, NLTK, PyTorch, Scikit-Learn, Django/Tornado/Flask

R, C++, Java, Spring Boot, Hadoop/Spark/MLib, AWS, PHP, JavaScript, React, REST

Fixed Income/Equities/Commodities/FX, Machine Learning, Data Science/Analytics/AI

Trading/Portfolio/Risk, Credit/Default, Prepayments, Sport Betting, Predictive Analytics

Experience :

Magical Industries, 315 CPW, NY, 08/19 - current, Lead Developer, AI/ML/Data Science

Develop Voice API/Conversational AI Websites/Avatars/Chatbots, using JavaScript/Typescript Django/Tornado/Flask. Scikit-Learn/NLP analysis of Fixed Income/Equity/FX (C++, Java)

Data Science and Data Mining for Financial and Election Big Data (Hadoop/PySpark/React)

Develop sport betting predictive analytics/strategies/hedging/money management (Python/R)

Guggenheim Partners/Mezocliq NY, 9/16-11/19, Quant/AI/ML/Data Science Developer

Pricing/Risk and Portfolio Management, Scenario and Stress Analysis (C++)

Predictive Sports Analytics using Neural Networks and Regressions (Python/R)

Used Neural Network to calibrate MBS Prepayment Model (Pythion/R)

News effect on bid/ask and prices of equities and commodities (NLTK, Python)

Develop Market Risk, CCR, Basel, CCAR, CECL models (Java/Hadoop/Spark)

Implement Asset/Portfolio Allocation Reinforcement Learning (Python, C++)

Morgan Stanley,NY,2/16–8/16,Trade Validation, Data Science Quant Developer

Designed and implemented orders validation and execution analytics (Python, Scala)

Implemented XVA/CVA/DVA/FVA calculations for IR Derivatives (Java/Scala)

Developed Market Risk, CCR, Basel, CCAR models for all asset classes (FIX, Java)

Used Machine Learning to find orders requiring manual validation/approval (Python)

Production support for Automated Orders/Executions Systems (Python, Scala, C#)

Federal Reserve Bank of New York, Market Data,5/15–2/16, Quant/ML Developer

Responsible for choosing/testing new technologies and designing secure

analytics and data frameworks for Rapid Solutions Team (RST) (Python)

Used streaming/CEP analytics and processing of market data (Java, C++)

Developed Machine Learning/Regression methods to predict missing data

and correct errors in reported market activity data (Python, C++)

JP Morgan Chase, NY, 6/14–3/15, Collateral Quant/Optimization Quant/Data Analyst

Designed and implemented Collateral Optimizer to maximize return on collateral,

generate trades for finance trading desk. Used Machine Learning / Neural Network

Machine Learning for Mixed Integer Simplex Optimization MILP Coin-OR Symphony

for collateral portfolio for CCAR/Basel (Python, Random Forest/Factor Analysis/PCA)

Quant/Production Athena support for Collateral trading desk (Python, C++)

Bank of America,, NY, 7/13–6/14, Quant and Data Analyst Consultant

Designed Multifactor Simulations of Market/Credit Risk for Convertible Bonds, Munis, Credit Derivatives/CDO, FX/Libor/CP/FF/OIS Swaps, MBS/CMO (Python, C++)

Implemented Low Latency FX and IR Swaps Credit approval

Used Outlier detection Machine Learning to identify transactions which

require manual credit approval (Python, C++, Hadoop Map Reduce)

Production and Quantitative Quartz support for Credit Derivatives desk (Python, C++)

Standard & Poors, NY, 3/12–4/13, Lead Quant Application Developer

Developed Monte-Carlo cashflows/simulations/pricing for MBS/CMO/CDO (C++)

Designed database for market and reference data supporting MBS risk calculations

Validation of pricing/trade data for Swaps, Credit Derivatives, MBS, ABS (C, C++)

Bank of America (3 groups), Merrill Lynch (2 groups), 4/5–3/12, NY, Quant Consultant

Determined data requirements, validated pricing/risk models and parameters,

estimated volatilities, correlations for Credit Derivatives, Equities, FX (C++, VBA)

Implemented Real-Time High Frequency/Low Latency Deal Approval system (C++)

Developed Trade Capture System and real-time pre-trade risk analytics (C++, VB)

Quantitative Projects for CIBC, KPMG, Thomson Financial, 2/99 – 3/05, Consultant

Developed Models for Mexican TIIE Swaps and Swaptions, Brazilian Swaps (VBA)

Built Commodity Trading and Risk Management System (C++, VB, VBA)

Designed/Implemented a library of C++ functions for Emerging Markets (C, C++)

Calculated Prices/Risk profiles for CDS, CDO and Interest Rate Derivatives (C++)

Greenwich Capital Markets, Greenwich, CT, 4/97 – 2/99, Rates and Prepayments, VP

Implemented Monte-Carlo simulations and recombining binomial and trinomial

Lattices for BGM, HJM, Hull-White, Black-Karasinski and BDT models (C, C++)

Designed and implemented cashflow and prepayment models for residential MBS

And Commercial loans/ABS, Home Equity Loans, Auto loans and Credit Cards (C++)

Developed Total Return and OAS Calculators for MBS, CMO and ABS (C++, VB)

Barclays Capital, NY, 2/95 – 4/97, Rates and Convertible Bonds, VP

Modeled Volatility Smile/Skew/Kurtosis for Equity and Swap Markets (C++)

Built LIBOR/Treasury/Commercial Paper/Fed Funds Swap Curves (C++, VBA)

Implemented real time FX and Equity and Commodity Derivatives Pricing (C++)

Developed Pricing models for exotics and Convertible Bonds (c. C++)

GAT/BARRA, NY, 11/92 – 3/95, Quant/Financial Engineering Developer

Implemented interest rate models and pricing of Fixed Income Securities

MBS/CMO and Structured Notes (VBA, C)

Developed Pricing models for SPDA and other insurance products (C, VB)

Designed and implemented Convertible bonds pricing model (VBA)

ACADEMIC EXPERIENCE

Taught in Baruch/Hunter/Queens/Brooklyn/City Colleges, School of Professional Studies/CUNY the following courses: Options, Futures and Other Derivative Securities, Investment Analysis Corporate Finance, Financial Analysis, Advanced Financial Economics, Money and Banking, Microeconomics, Macroeconomics, Techniques of Economic Analysis, Statistics, Econometrics

EDUCATION

PhD/ABD in Economics, 2014, CUNY, Queens College

PhD Thesis : “Market’s Prediction of Future Macro Economic Events”

M.S. in Philosophy, 2010, CUNY, Graduate Center

M.A. in Economics, 2007, CUNY, Queens College

Graduate Courses in Math and Computer Science (NYU and CUNY)

M.S. in Math and Computer Science, 1991, Novosibirsk University, Russia

MS Thesis : “Pattern Recognition in Economics and Physics”



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