Quantitative Analyst Resume Examples
- Actively contributed to maintain, validate, improve and update asset allocation stochastic model Insight
- Researched, developed, & back-tested quantitative portfolio allocation and optimization strategies via statistical models using fundamental and macro data
- Produced research using quantitative and fundamental methods for equities to improve current asset allocation model processes
- Successfully developed investment strategies tailored to clients’ requests enhancing list of clients and positively contributing to the team’s revenues.
- Assisted clients with analysis on equity and fixed income funds breaking down complex information for presentation to technical and non-technical audiences
- Produced accurate reports and forecast for asset allocation, business planning and risk management.
- Distributing daily FTP rates to business and compiling daily, monthly and ad hoc reports relating to FTP.
- Ensure the delivery of accurate and timely FTP information to business units, Balance Sheet Management (BSM) stakeholders and committees.
- Apply knowledge of the organizational systems, structures, policies and procedures to achieve FTP results and analytics to the benefit of the Nedbank Group.
- Involved with the completion of the monthly FTP process.
- Assist with detailed monthly exception reporting, data quality checks and validation of FTP results.
- Assisting the Head of FTP and Analytics to continuously improve the FTP methodology and systems to ensure the Bank keeps pace with a constantly changing regulatory landscape and abreast of best market practice.
- Involved with the finalization of the FTP of new products by collaborating with multiple stakeholders across the organisation.
- Research and analyze market trends and statistics to make modeling decisions.
- Perform daily statistical analyses (e.g. risk analytics, loan pricing, default risk modeling, etc.) and coding tasks (e.g. pattern recognition or machine learning).
- Present and interpret data results to senior management and clients.
- Collaborate with teams of mathematicians, computer engineers and physicists to develop optimal strategies.
- Managing and supporting a global financial software product The Yield Book. Improved the process for overnight technical support for Yield Book’s large-scale production environment (Linux based) by automating processes.Establishing Yield Book’s networking environment by helping to design system configuration, automating services deployment to support development teams, system installation, defining, documenting, and enforcing system standards and policies.
- Designing and implementation of new upgraded solutions of moving to the Cisco 9500 switches using Cisco APIc controller and being certified Field Engineer for Cisco ACI, to help improve resilience of the current Yield Book network infrastructure and help implement network virtualization.
- Helped in securing network system by establishing and enforcing policies, and defining and monitoring network access using RSA Authentication manager and Secure ID.
- Using performance monitoring tools, Whatsup Gold to maximize network performance by efficiently troubleshooting network problems and outages, scheduling upgrades and collaborating with network architects on network optimization.
- Created, programmed, and implemented strategies to go live in market for equities. The strategies were both model based and trend based. Risk based Quantity automation and retail flow based quantity automation was also implemented.
- Extensively worked on translating leading stock signals such as Nifty 50 and Banknifty to lagging stock futures such as ICICI Bank futures. Both in depth data analysis and signal return based execution was programmed and documented. Both passive and active order placing were implemented.
- Continuously review the FTP principles per product to ensure all products is transfer priced accurately.
- Managing the data deliverables for FTP purposes.
- running monthly reports
- working on large once-off projects which required:data analysis
- testing of processes
- help with building back-end structures
- modelling future scenarios
- Maintain and update procedure documents relating to the Potential Future Exposure (PFE) calculations.
- Investigate PFE exception breaches.
- Producing various reports on PFE utilization and trends.
- Interacting with the trading desks and various other stakeholders on the PFE calculation of various structured deals including derivatives.
- Data screening, data analysis for the analytics and visualisation. Standardised the process and data to smooth the communication within the team and improve the performance of the App.
- Portfolio optimisation. Shaped optimisation and risk management algorithm in R, adjusting portfolio constraint set to take advantage of changes in rebalancing process and adjust portfolio’s exposure to the market-index accordingly.
- Portfolio construction. Provided quantitative research to facilitate discipline of fundamental portfolio management process. Brainstorming new strategies to the recommended portfolio which yield better return in the portfolio.
- Portfolio monitoring: wrote a suite of performance and exposure monitoring algorithm, enabling portfolio managers to quickly understand emergent sources of risk and stock specific issues.
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