Python, SQL, VBA, C++, Stochastic modeling, Statistical modeling

SAMANTHA LUO

678-***-**** • Jersey City, NJ • ********@*****.***

EXPERIENCE

MORGAN STANLEY New York

Market Risk Associate Mar. 2017 - Present

• Built Python/VBA tools to leverage large datasets to proactively identify risks in portfolios, collaborated with desks to understand portfolio construction and PnL drivers; developed and maintained reports for portfolio risk monitoring; assessed potential risk and portfolio impact to assist with deals and new products approval

• Executed Python-based analysis on VaR to understand portfolio risk diversification, reported analysis to CFO to make capital infusion decision; worked with Business to reduce capital through portfolio allocation optimization

• Built tools to analyze correlations among credit indices, rates products and existing portfolio, identified optimal macro hedges and presented results to management on weekly basis; collaborated with desks to enhance hedging strategies to reduce basis risk and PnL volatility; performed trending and variance analysis on trading positions and presented material risk changes to senior management on monthly basis

• Led ad-hoc projects including Credit regression model enhancement; VaR, Stress Scenario and Greeks limit frame- work recalibration

CME Group New York

Quantitative Research Summer Analyst Jun. 2016 - Aug. 2016

• Built Python tool to validate benchmark data for derivatives including connecting to Oracle Plus to extract data; cal- culating and validating key statistical metrics; creating warning for breaks and generating report for clearing house

• Constructed forward curves for energy products using different numerical methods

• Assisted with volatility surface construction for future options; analyzed and categorized sources of pricing errors EDUCATION

Georgia Institute of Technology, Scheller College of Business Atlanta, Georgia Master of Science in Quantitative and Computational Finance GPA: 3.8 Aug. 2015 - Dec. 2016 Key Coursework: Machine Learning for Trading, Numerical Method, Stochastic Processes, Derivatives, Financial Data Analysis Wuhan University Wuhan, China

Bachelor of Science in Financial Engineering GPA: 3.8 Sep. 2011 - Jun. 2015 Key Coursework: Time Series Analysis, Corporate Finance, Fixed Income Investment PROJECT

Dispersion Strategy During Market Stress (Python)

• Researched DJX and estimated average option implied correlation (IC) between constituents from 2019.06 - 2020.05

• Sourced trading signals from pattern of IC; designed Dispersion strategy using straddles on DJX and its components and hedged with underlying stocks to keep delta-neutral; constructed portfolio during market stress period; estimated main risk measures and developed stress testing methodology for portfolio Derivatives Pricing (Python)

• Developed option pricing framework by calibrating parameters for SABR models using market data; constructing implied volatility surface; implementing numerical method for option pricing using Monte Carlo Simulation

• Priced interest rate swaption, bond future option and digital option; compared model effectiveness for classic, shifted, free boundary SABR models under different rates environments Delta hedging & Gamma-Scalping Strategy (C++, Python)

• Implemented delta-hedging portfolio and estimated implied volatility based on Black-Scholes model; back-tested strategy using both Monte Carlo simulated and real-life GOOG stock & option prices

• Constructed a back-testing framework for Gamma-Scalping trading strategy including trading signal generation, mar- ket data extraction, optimal ATM straddle selection, and portfolio position calculation

• Back-tested 7 strategy parameters to optimize in-sample Sharpe ratio; applied parameters to scrapped real time data SKILLS/ CERTIFICATIONS

Programming: Python, C++, SQL, VBA Certifications: CFA Level III Passed

Contact this candidate