Associate Financial Engineer
January 2011 - Present
Buy-Side Product Management
Boston, MA
- Currently assisting in the design and implementation of workflow solution designed to assist European insurance firms to comply with Solvency II regulation.
- Well-versed in current insurance industry practices in risk modeling:
- Experience with Solvency II standard model, and internal model implementations.
- Progressing towards becoming an expert in Solvency II regulation.
- Experienced with curve fitting, portfolio replication and optimization based risk modeling.
- Expert in Algo Risk software components including CWM, Riskwatch, ASE, ARA, ABE, IDM, AIDB, and UDS.EDUCATION
December 2010Hempstead, NYGPA: 4.0/4.0
B.A. Mathematics, EconomicsMay 2009Cornell University, College of Arts and SciencesIthaca, NYDouble Major
COURSEWORK
Financial Engineering, Futures Markets, Investment Analysis and Portfolio Management, Entrepreneurship and Private Equity- Modeled Forward Rate Curves, Variance and Interest Rate Swaps, FX arbitrage and interest rate parity, futures market spreads
- Constructed an automated Excel model to create an industry risk-neutral minimum variance portfolio on stocks within S&P500
- Performed company and industry full pro forma analysis and technical analysis on Wynn Resorts (WYNN)
- Developed comprehensive business plan, marketing plan, and forecasted five years of financial statements for a potential start- up web collaboration company. Presented business plan to panel of investors using PowerPoint
Time Series Analysis, Financial Computing in C++/C#, Principles of Financial Mathematics, Derivatives and Risk Management- Experience with Vector Autoregressive (VAR) models, State Space models, Kalman Filtering, Forecast Error Decomposition, and Monte Carlo methods to forecast and analyze financial time series
- Constructed a high-frequency algorithmic trading shell in C++/C# using live data and methods in statistical arbitrage
- Modeled derivative option prices using stochastic differential equations, binary and Black-Scholes pricing models
WORK EXPERIENCE
Intern – Greenberg Capital, Woodbury, NYMay - Nov 2010
- Designed quantitative investment models and conducted extensive research and back testing to determine profitability
- Constructed an algorithmic trading system in VBA using quantitative models and methods in statistical arbitrage
- Automated daily processes
Intern – Law Offices of Cohen and Slamowitz, Westbury, NYJun - Aug 2008
- Designed and implemented new computer model that produced amortization payment schedules for debtors
- Assisted in updating company software from SQL servers to web-based servers
Intern - Arrow Electronics, Corporate Communications, Melville, NYMay - Aug 2006
- Developed methodology and prepared a comprehensive proposal for allocating philanthropic donations
- First college freshman to be selected for Arrow’s summer internship program
- Conducted extensive research on the reporting practices of Fortune 500 companies
- Designed an interactive timeline of the company’s history, profiled on the main page of the company’s website
LEADERSHIP EXPERIENCE
- Delta Kappa Epsilon Fraternity Treasurer
- Responsible for annual budgeting process and allocating cost to fraternity members
- Analyzed cash flows and restructured operating model
- Delta Kappa Epsilon Fraternity Rush Chair
COMPUTER/MODELING SKILLS
- Bloomberg Global Product Certification: Equity, Fixed Income
- Microsoft Excel Financial Modeling, VBA, Bloomberg
- Expert knowledge of MS Office: Excel, PowerPoint, Word
- Statistical modeling with S Plus, R, Maple, MATLAB
- Programming proficiency with Java, PHP, SQL, C++/C#, Linux/UNIX systems
INTERESTS