Python Assistant

Somya Harjai

Chicago, IL +1-312-***-**** *****.******@*****.*** LinkedIn

EXPERIENCE

BANK OF AMERICA, STRATEGIC ASSET & LIABILITY MANAGEMENT Charlotte, North Carolina Quantitative Analyst December 2019 – Present

Implemented cheap-rich analysis in Python to calculate the term structure of recovery rates/default probabilities for corporate bonds under real-world & risk-neutral measure for enhancing the bank's capital structure

Devised a relative-value pricing methodology for corporate debt using Black-Scholes Merton model and CAPM for capturing the funding arbitrage in the financial markets STEVANOVICH CENTER FOR FINANCIAL MATHEMATICS Chicago, IL Research Assistant - Portfolio Management I August 2019 – June 2020

Constructed a L-S multi-factor equity investment strategy using ensemble trees algorithms, combining different rolling windows to capture market movements, seasonality & hedging under stress scenarios (SR:1.2,Ranked IC: 0.7)

Served as a TA to 90 postgraduate students. Hosted 2 weekly sessions to discuss lecture notes & investment case studies

Created Python-based assignments & exams on portfolio optimization techniques (convex/non-convex, resample MVO), linear factor models, Interest Rate parity, carry trade, expectation hypothesis for bonds etc. TA_Reviews BLACKROCK INC., FINANCIAL MODELING GROUP Gurgaon, India Quantitative Analyst November 2016 – August 2018

Successfully constructed risk modeling methodologies in Aladdin for more than 80% of the client's investment portfolios by employing regressions, optimizations & PCA algorithms on Blackrock's IShares/ETFs using R

Developed a Python-based algorithm using random forests and count-vectorization to identify Hedged/Un-Hedged Mutual fund strategies across EMEA region with 87% accuracy

Devised a mathematical method that enabled various stakeholders to assess factors behind significant change in risk of their portfolios as a function of weights, standalone risk & corr. of asset classes using 1st order Taylor approximation

Implemented bootstrap procedures, kernel density estimation, hypothesis testing, probabilistic distribution analysis and sequential algorithms using R for building a robust Mutual Funds Risk Quality Control Process EVALUESERVE CORP., GLOBAL MARKETS STRUCTURING Gurgaon, India Quantitative Research Analyst July 2015 – October 2016

Built Minimum Variance, Bear Covariance & Equal Risk Contribution portfolios for rebalancing Risk Premia Index/ETF strategies using quadratic & constrained optimizations in R

Built a computational tool using Visual Basic to automate calculation & cross validation processes of 48 indices daily; reduced time in daily validation processes by 75% and helped convert some potential clients into full-time contracts EDUCATION

THE UNIVERSITY OF CHICAGO Chicago, IL

Master of Science in Financial Mathematics December 2019

Recipient of 50% Merit-based Scholarship

Selected as a top finalist for the McGill Intl Portfolio Challenge 2018, Chicago Booth Investment Competition 2019 INDIAN INSTITUTE OF TECHNOLOGY (IIT-BHU) Varanasi, India Bachelor of Technology (Honors), Materials Science May 2015

IIT-Joint Entrance Examination: 99.8 percentile in the mathematics section PROJECTS

Options Pricing - Implemented pricing models for vanilla call options in Python using control variates, antithetic variates and conditional Monte-Carlo techniques

Fixed Income - Calibration of Vasicek (Bucketing technique) and HJM interest rate models (PCA, splines regression) ADDITIONAL INFORMATION

Certifications: FRM Level 2 Candidate, Introduction to programming with MATLAB, Machine Learning (Coursera) Technical Skills: R, Python, VBA, C++, Bloomberg, Unix/Linux, MS Office

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