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
Executed 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
