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Quantitative Researcher/ Developer
Koch Industries • March 2023 - March 2024• Scottsdale, AZ
> Assist Portfolio Managers in the management of 5+ billion AUM portfolio specializing in long and short-term GTAA, and volatility, convexity, and fixed income strategy allocations. > Implement applied mathematics techniques such as probability and statistics to model the prices of 20+ various types of OTC products such as IR swaps, ABS, credit default swaps, xVA, options, volatility, variance, correlation, and dispersion swaps including use of Monte Carlo methodologies > Implement regular improvements through reviews of relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation. > Develop proprietary portfolio construction software optimized to target market beta returns while reducing VaR. > Utilize programming languages such as Python, Julia, R and SQL, NoSQL, and Redis databases for data manipulation from the Bloomberg SAPI/BPIPE leading to the development of machine learning econometric loss models for forecasting with use of docker containers to accomplish parallel programming tasks. > Implemented comprehensive signal/risk management protocols for fixed income and credit asset classes, including the implementation of automatic stop-loss mechanisms, strategic diversification across sectors and asset classes, position sizing, correlation analysis, stress tests.
Quantitative Data Engineer
Deloitte• May 2021 - March 2023• Washington, DC
> Write code for model implementation for internal production systems. Implement models, estimation tools and calibration procedures into FDIC statistical model development framework. > Use various techniques to develop data mining tools and algorithms to load and process data sets and develop data pipelines for various formats such as FTP, API, SMTP, PDF, CSV, and structured or unstructured using R, Python, and Stata. > Through agile methodologies develop databases in Oracle/MySQL/SQL/Elasticsearch database using modern SDLC techniques such as CI/CD, Git, system design, OOP, and unit testing, A/B testing while also managing network infrastructure using tools such as Spring Boot and Apache. > Provide meaningful counsel and sound judgment on developing institution wide financial metrics, including historical trends, areas of Risks/gaps, violations and/or improvements through data visualization tools such as PowerBI, and Tableau. > Perform statistical analysis on large datasets, interpret, and report results to leadership using both qualitative and quantitative approaches.
Risk Engineer
Northern Trust• July 2019 - May 2020• Tempe, Arizona
> Develop tools in Excel/VBA to evaluate OTC structured product prices and credit models to confirm trade prices as well as risks taken on strategies. > Developed artificial intelligent software solutions with using reference metadata through Excel, VBA, and SQL, increasing department's efficiency by 150%. > Designed and developed Python-based full stack-applications with external interfaces using React. Leveraged Flask and MySQL for data analysis and management. > Leveraged Python's extensive libraries to enhance application functionality and optimize performance. > Operated as a primary point-of-contact for middle office in OTC derivatives such as interest rate swaps, total return swaps, and credit default swaps for contacts both, inside and outside Northern Trust, to maintain strong relationships. > Produced automated reports to inform fund accounting and clients of all trades and securities processed, to ensure NAV accuracy.
Education
Arizona State University, Tempe
Finance, MS• August 2020 - May 2021• GPA: 3.63
Brigham Young University
Financial Economics, BS• May 2016 - July 2019• GPA: 3.53
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