I am looking for a remote job in a creative role as a modeler or data scientist, in a close-knit team of exciting people who are eager to make things happen.
I am a technically versatile mathematician whose combination of analytical insight, creativity, attention to detail, and a diverse skill set will be a unique and valuable asset for any team of financial modelers or developers. Twelve years of experience in the finance industry; experienced programmer; great academic track record (two book publications); excellent scientific problem solving and writing skills; dedicated mentor with great talent in explaining complicated concepts to non-mathematicians.
Experience: 11 years
Yearly salary: $200,000
Hourly rate: $200
Nationality: 🇺🇸 United States
Residency: 🇺🇸 United States
Experience
Market Data Scientist, Risk Informatics
Millennium Management 2021 - 2024
Aided in the firm’s transition to its new interest rate risk modeling infrastructure. Documented the firm’s Barra-based equity factor risk model. Devised & implemented novel risk management methods related to the equity factor risk model. Recreated and cross-validated the monthly investor risk report based on new data sources.
Visiting Researcher, Artificial Intelligence & Predictive Analytics Group
NYU Courant Institute 2020 - 2020
Directed the group’s transition to AWS cloud computing (setup & teaching sessions). Aided the group in their Covid-19 and US election research (based on Twitter & Google data).
Vice President, Model Risk Management
Goldman Sachs 2012 - 2019
Codeveloped the mathematical framework of a revolutionary new interest rate model that resolves key shortcomings of other leading approaches. Published as a book in 2018; 2nd ed. (extension to FX) in 2020, 3rd ed. (faster derivation) in 2024. Identified model limitations and uncertainties for a variety of risk models and quantified their materialities, frequently in the context of CCAR/DFAST stress tests. Designed statistical analyses and alternative approaches to test and challenge the firm’s models. Responsible for top-level VaR-related models (and others). Participated in Fed meetings, helped the firm pass all of its annual CCAR/DFAST stress tests. Onboarded and trained 130+ new team members & interns; interviewed 50+ candidates. Mentored ~10 newcomers, oversaw their first projects, and gave them frequent one-on-one lessons. Became the go-to person for questions about mathematical modeling, LaTeX, and IT.
Associate, Corporate Treasury
Goldman Sachs 2010 - 2012
Helped design and program the new ALM (Asset & Liability Management) infrastructure. Goals: Given portfolio data, send weekly liquidity assessment reports to PMs and Corporate Treasury. Prevent bankruptcy in future liquidity crises (e.g., Lehman Brothers in 2008). Wrote 15,000 lines of object-oriented code in a production environment, participated in code reviews. Established and led a biweekly learning series with 20+ talks by invited speakers.
Assistant Research Professor, Mathematics Department
Duke University 2007 - 2010
Wrote a research monograph on a problem in probability theory (large deviation theory), published as a book in the Springer series 'Lecture Notes in Mathematics' (186 pages). Taught graduate- and undergraduate-level math classes in a variety of subjects.
Skills
data-science
math
python
rust
stats
