Summary
Work History
Education
Skills
Accomplishments
Additional Information
Timeline
Generic

Parineeta Gengaje

Salt Lake City,UT

Summary

A highly motivated quantitative analyst with comprehensive mathematical modeling and implementation skills and in-depth knowledge of quantitative finance including Term Structure Models, Financial Derivatives, Risk Management, Probability Theory and Stochastic Calculus; seeking a position as a Quantitative Analyst or related where these skills and knowledge will add greater value.

Work History

Quantitative Analyst

Citigroup Inc.
  • Studied all types of computational errors such as discretization, truncation and interpolation errors and controlled errors within the limits given.
  • Found the most appropriate values of parameters including dampening factor implemented in the CGMY model.
  • Priced financial derivatives in the CGMY model using numerical approaches such as the trapezoidal and Simpson's rules.
  • Applied the Fast Fourier Transform (FFT) to simultaneously price a large number of contracts with the desired accuracy.
  • Developed a new methodology to effectively price the contracts using Hilbert Transform approach which shows substantial improvements in pricing accuracy and computational cost.
  • Assisted managers on trade approvals and finance on price verification methodologies.

Intern as Quantitative Researcher

Investment Technology Group Inc.
  • Assisted in building proprietary options pricing models which show improvements in terms of pricing accuracy and computing efficiency.
  • Assisted in developing algorithms for company's Multi-Asset Execution Management Systems (MAEMS).
  • Implemented various financial derivative models in the quantitative analysis of private equity investments using C++ programming.
  • Created formal modeling of risk, return and trading cost profiles for equities and other firm-wide assets classes.

Credit Risk Model Validation Analyst

CITIC Securities Co. Ltd.
  • Extensively tested the risk models including sensitivity analysis, extreme value testing, uncertainty analysis, backtesting, and benchmarking to challenge the models effectively.
  • Evaluated the model use appropriateness in the context of CCAR/DFAST.
  • Found inappropriate use of equity replication model in the counterparty credit risk exposure project, and debugged it.
  • Wrote comprehensive independent validation reports explaining the analysis performed and their results.

Research Projects

University Of Illinois At Urbana-Champaign
  • Term structure models: applied Hull-White one-factor model and LIBOR market model (LMM) to price and calibrate a range of interest rate products such as European swaption, multi-look trigger swap, caption, Bermudan swaption, constant maturity swap (CMS), and a real world CMS derivative; results show that the LMM in general leads to better estimation of derivative prices than the Hull-White one-factor model.
  • Optimization: conducted Markowitz mean-variance analysis using Black-Litterman returns using 10 years of data on S&P 500 stocks and applied the Black-Litterman model to reconstruct portfolio allocation and studied the sensitivity of portfolio.
  • Risk management: developed and implemented the dynamic conditional correlation (DCC) models to forecast the future correlations among S&P 500 stocks and optimized related portfolios, sponsored by Busey Bank.
  • Monte Carlo Simulation: applied random tree method to price path-dependent options with high computational efficiency by creating a MATLAB application to perform Monte Carlo simulations.

Education

Master of Science - Financial Analysis (STEM Degree)

University of San Francisco
San Francisco, CA
12.2020

Bachelor of Engineering - Electronics & Telecommunication

Cummins College of Engineering
Pune, India
05.2016

Skills

  • Proficient programming skills in MATLAB, R, SAS, VBA and SQL
  • Experience with building advanced statistical methods in a big data environment
  • Research in developing risk and valuation models
  • Expert level at Stochastic Calculus, Brownian Motion, PDE, ODE, Monte Carlo Simulations, Finite Difference Methods etc
  • Creative and self-starter
  • Excellent interpersonal and communication skills
  • Able to work on multiple projects simultaneously
  • Great team-player
  • Highly self-disciplined, detail-and results-oriented
  • Strong organizational skills; good time management, capable under pressure and to responsibly manage to tight deadlines

Accomplishments

Developed a new methodology in pricing options with substantial improvements in pricing accuracy and computational cost.

Additional Information

  • CFA level II candidate
  • Awards: University of Pennsylvania Graduate Fellowship, Chinese Academy of Sciences Fellowship, National First Fellowship of China
  • Publications: (First-author) J. Chem. Theory Comput., vol. 4, pp. 1643-1653, 2008; Chemical Physics, vol. 345, pp. 73-81, 2008
  • Languages: English (fluent), Mandarin (native)

Timeline

Quantitative Analyst

Citigroup Inc.

Intern as Quantitative Researcher

Investment Technology Group Inc.

Credit Risk Model Validation Analyst

CITIC Securities Co. Ltd.

Research Projects

University Of Illinois At Urbana-Champaign

Master of Science - Financial Analysis (STEM Degree)

University of San Francisco

Bachelor of Engineering - Electronics & Telecommunication

Cummins College of Engineering

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Parineeta Gengaje