Expert Investment Quant, Data Scientist & Risk Researcher

Expert Investment Quant, Data Scientist & Risk Researcher who will help you solve complex problems. My emphasis is on quality via multi-disciplinary subject matter expertise, with quantitative expertise being foremost. I believe in testing/validating key premises and using validated premises as the foundation to determine which quantitative methods to apply to the data set at-hand. Highly experienced working with structured [financial; economic] data sets as well as unstructured [social media-scraped and blog-scraped]. In brief, I will provide you highly actionable analysis and interpretation that brings value-add. SKILLS Machine Learning; Tensorflow/Keras [RNN and CNN; Adam Optimization Algo] Natural Language Processing NLTK [Binary Cross-Entropy; Text Classifiers] Statistics *Expert in multivariate regression; panel regression; statistical inference testing; normal and non-normal distributions; Bayesian; Shrinkage methods Econometrics *Expert in various time series methods [AR; ARIMA]; testing for and adjusting for non-normality [non-constant variance; serial correlation] *Application of time series methods to higher frequency [monthly] and lower frequency [quarterly] economic data *Application of non-stationarity tests [Augmented Dickey-Fuller] and seasonality tests Derivatives *Expert in pricing, trading, and investment risks of multi-asset class derivatives Valuation *Expert in several pricing methodologies of Options Optimization *Expert in various methods of return and volatility forecasting as inputs for optimization *Expert in understanding objective function [maximize risk-adjusted return] and associated constraints [tax; transaction; over/underweight; etc…] Programming *Proficient in Python, R, and SQL Investment Risk Models *Expert in MSCI RiskManager; MSCI BarraOne; Northfield; Bloomberg PORT; APT *Expert knowledge of different modeling methods of above-mentioned vendors and can communicate pros and cons (e.g., APT’s Principal Components methodology vs. MSCI RiskManager full-repricing methodology vs. BarraOne cross-sectional estimation methodology) EXPERIENCE Investment Risk Oversight *Led regularly scheduled Portfolio reviews with Multi-Asset Investment teams *Oversight spanned Multi-Asset Risk Parity, Relative Value, and Commodity-Focused Strategies which trade derivatives across multiple asset classes Alpha Generation / Portfolio Construction Commodities: *Assisted Commodity Fund Managers in generating alpha via portfolio optimization *Developed Commodity expected return model used in Commodity investment team alpha generation process Convertibles: *Improved alpha of Convertibles trades by researching & recommending hedges to unintended Greek exposures Long/Short Equities: *Improved alpha of Long/Short Equity trades by researching & recommending hedges to unintended style factor exposures Investment Idea Testing *Collaborated with investment teams to test their new investment ideas