Experience 
July 2017 – Present 
Neuberger Berman | Breton Hill
Toronto, Canada
Quantitative Investment Analyst
  • Research and develop alternative risk premia strategies, signals, and portfolio construction methods in futures and FX; Launched strategies have over $100 million USD in combined notional and include Rates Carry and Tactical EM FX
  • Lead daily meetings of derivatives research working group, manage project deliverables, and guide junior analysts
  • Collaborate with PMs on defining new strategies, setting exposures, and preparing client presentation materials
  • Communicate trades and provide commentaries on model behavior and relevant macro/fundamental developments
  • Developed MATLAB tools for performance attributions, risk visualizations, quantamental equity score calculation
March 2015 – July 2017  
BMO Capital Markets
Trading Products, Toronto, Canada
Associate
  • Develop and maintain an in-house front office library of pricing and risk models for management of multi-million dollar fixed income and interest rate derivative trading positions
  • Gather requirements from interest rate and structured products trading desks on new products and model features
  • Produce analytics that have a direct bearing on hedging positions taken by the structured products trading desk
  • Develop Excel model prototypes for use by sales and trading: e.g. calibration of swaption volatility surfaces; principal component analysis (PCA) hedging strategies; pricing of customized cross currency swaps transactions
January 2013 – July 2014 
Axpo Trading
International Origination and Trading, Dietikon, Switzerland
Junior Quantitative Analyst
  • Priced commodity derivative deals on forwards, futures, options, and renewable obligation certificates for origination
  • ‚ÄčExecuted trades to hedge/rebalance multi-million Euro portfolio of energy derivatives
  • Established processes for construction of term structure correlation surface and volatility inputs for optimization
  • Optimized and executed proxy and rollover hedging strategies with respect to risk and transaction costs
  • Developed process for rapid prototyping, calibration, and simulation of portfolio models; implemented optimization algorithms for parameter calibration
  • Led a project to design and implement a front office quantitative platform/UDF library in C#

May 2011 – June 2012
LGT Capital Management
Asset Allocation, Pfaffikon, Switzerland
Master Thesis Placement
  • Developed and deployed an object oriented C# solution to automate and enhance portfolio construction techniques for asset allocation, backtesting, and attribution processes
  • Investigated a dynamical system approach for forecasting of macroeconomic time series, based on chartist and fundamentalist expectations; estimated model using nonlinear statistical techniques and system identification

May 2009 – September 2009
TD Securities
Quantitative Strategy Research, Chicago, USA
Analyst
  • Collaborated with strategists to develop an automated high frequency trading strategy on Canadian equities using alpha signals derived from tick data market microstructure and spread dynamics patterns
  • Independently developed infrastructure, performed simulations and statistical analysis of risk/return characteristics in Matlab, and documented findings; results were used to enhance the group’s market making algorithm
  • Developed routines for extraction and formatting stock price data using MATLAB and MarketQA, improving data capture and efficiency of the quant team

September 2008 – January 2009
TD Securities
Quantitative Research, Chicago, USA
Analyst
  • Developed testing infrastructure and validated a new option valuation model for trading desk in C++ and VBA, ensuring a smooth transition and improving workflow; developed volatility smile analysis tools
  • Built a PnL attribution reporting process in Perl/VBA, providing ongoing analysis of the performance of the market making team's models and strategies to traders and senior management
  • Built a profit-and-loss attribution report for senior management using a UNIX Perl script, ensuring ongoing analysis of the performance of the firm's models and strategies
  • Automated option implied volatility analysis tool of Excel VBA based option pricing models, improving workflow efficiency

January 2008 – April 2008
Mercer
Health & Benefits, Princeton, USA
Actuarial Intern
  • Used financial models to perform claim cost development calculations and liability estimates on client data
  • Improved office efficiency by updating existing models and developed VBA macros for data manipulation
  • Researched and wrote an actuarial research paper on Adverse Selection Thresholds in Multi-Option Health Insurance Plan Designs for Small Groups, in response to a client inquiry
  • Performed testing and quality control of datasets

May 2007 – August 2007
CGI Group Inc.
Systems Integration & Consulting, Markham, Canada
Consultant
  • Investigated the Internal Audit management reporting process and improved efficiency by developing VBA macros based on gathered requirements
  • Designed and configured a SharePoint Portal site for the Internet Services Practice, thereby enhancing collaboration within the team
  • Prepared Business Continuity Plan diagrams and flowcharts using Visio 2007
  • Manipulated large datasets in Excel

August 2006 – December 2006
TD Securities
Market Risk Operations, Toronto, Canada
Junior Analyst – Overage Database
  • Acted as a control point for high-level risk reports and signified due diligence before submitting to executive management, regulatory bodies, and other groups within the bank
  • Provided ongoing development, information management, support and maintenance of the Bank's online Market Risk Policy Manual and Global Trading Overage database
  • Participated in an internal audit project for the Reputational Risk group
  • Liaised with analysts from other departments and management when unusual data required further analysis, ensuring issues were communicated effectively and in a timely manner

January 2006 – April 2006
Workplace Safety & Insurance Board
Research & Evaluation, Toronto, Canada
Junior Research Analyst
  • Developed form based VBA programs for computerized automated telephone surveys and prepared queries and reports using MS Access
  • Utilized SAS programming and other basic statistical calculations to conduct descriptive analyses of databases and MS Excel charts
  • Reviewed and analyzed injured workers’ files and selected a survey sample based on conclusions

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