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6

quantitative analyst

  • 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
7

quantitative analyst

  • 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.
8

quantitative analyst

  • 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.