Trader, Foreign Exchange, Python, Macroeconomics, Statistics

JORGE SUAREZ, CFA

**** ****** **, *** *, BERKELEY, CA, 94709

Email: ************@***.********.*** Tel: +1-510-***-**** Web: www.linkedin.com/in/jorgesuarezalarcon EDUCATION

The University of California, Berkeley – Haas School of Business March 2019 - March 2020 Master of Financial Engineering - Major in Data Science

Industry Research: “High-Frequency extreme price movement detection using VPIN metric and RNN models in TensorFlow / Keras”

Thesis: “A novel, scientific approach to ESG scoring using Natural Language Processing”. By using a LDA and LSTM Classifier this novel ESG score was used to build a long/short strategy that showed lower correlation with Fama-French factors. Rotman School of Management, University of Toronto Sept. 2014 – Apr. 2016 Master of Business Administration – Major in Financial Engineering

1st Place in the MBA Trading Competition; represented UofT at the 2015 Rotman International Trading Competition Universidad del Pacifico, Lima, Peru March 2001 - Dec. 2007 Bachelor of Economics - Major in Econometrics

EXPERIENCE

Russell Investments Seattle, WA

Asset Allocation Strategist, Asset Allocation Research Jul. 2020 – Present

Elaborated Asset Allocation for portfolios with different levels of risk by combining strategies composed of multiple asset classes under a traditional and multi-factor approach coded in Python/Matlab

Researched optimization techniques (Hierarchical Risk Parity) and global macroeconomic themes to improve asset allocation robustness under different regimes and constraints Mellon Investments, BNY Mellon Investment Management San Francisco, CA Quantitative Research Intern, Multi-Factor Fixed Income Oct. 2019 – Feb. 2020

Researched and backtested systematic alpha signals in rates, fx and credit spreads in Emerging Markets using state space models and econometric tools

Implemented Machine Learning models using ensemble methods to increase accuracy of factors classification

Built advanced interest rate curve modeling (affine term structure models) tools used for pre-trade analysis by PMs

Led the creation of Python modules containing classes and functions that were used to test investment hypothesis Scotiabank, Global Banking and Markets Toronto, Canada Associate Director, FICC Emerging Markets Macro May 2016 – Dec. 2018

Managed daily flow activity for LatAm institutional accounts in FI and FX cash and derivatives products across G10 and EM

Exceeded revenue target by 30% each year due to engaging clients with relative value trade ideas Ontario Teachers’ Pension Plan Board Toronto, Canada Summer Intern, Core Fixed Income G10 Rates Trading May 2015 – Aug. 2015

Constructed an automated butterfly monitor in Matlab/Python for Eurodollar, Sterling and Euribor futures curves to identify pricing dislocations by comparing current contracts, constant maturity and generic curves

Researched and proposed relative value strategies within the interest rate derivatives space BBVA Horizonte – Pension Fund, Grupo BBVA Lima, Peru Rates & FX Senior Trader Dec. 2010 – Sept. 2013

Risk taker for the US$ 2 bn rates & fx portfolio using relative value and Fixed Income arbitrage strategies in G10 and EM space

Performed macroeconomic analysis and interest rate modeling of Emerging Markets countries in Matlab/VBA Money Market & FX Portfolio Manager/Research Nov. 2009 – Nov. 2010

Elaborated hedging and tactical strategies to manage the US$ 7 bn FX overlay exposure and the liquidity risk ING Fondos, ING Group Lima, Peru

Junior Fixed Income Trader Dec. 2007 – Oct. 2009

Designed and executed investment strategies for the fixed income portfolios composed of local debt and credit

Financial modeling to assess credit risk of corporate bond issuers using VBA/Matlab to increase coverage of issuers. SKILLS & CERTIFICATIONS

Programming: Fluent in Python, TensorFlow, PyTorch, Matlab, VBA/Excel, SQL.Proficient in R, C++.

Chartered Financial Analyst (CFA), Deep Learning with Python, TensorFlow for Time Series, Digital Signal Processing in Python

UDACITY Nanodegree: Artificial Intelligence for Trading – Statistical Arbitrage Strategies, NLP Sentiment Based Strategies

Competitive soccer player, soccer coach, avid cycler and runner

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