1. Profile
Quantitative Research Analyst with over 8 years of experience in Global Quantitative Strategy team at Deutsche Bank AG, UK.
Primary expertise is in systematic model trading, both spot and option markets, across different time frequencies and across
different asset classes.
Experience
Vice President, Deutsche Bank AG, UK – Aug 09 – Present
Low Frequency Models
• Carry Investing Model. It introduces carry strategies tailored to FX, commodities, rates and equity index markets in addition
to a global cross-asset carry strategy with backtested Sharpe of 1.01.
• Trend Following Model. It investigates some of the most relevant aspect associated with building and managing a global
cross-asset trend portfolio. The 20 year backtested Sharpe is 1.5.
• Cross-factor rates/FX strategy. It exploits movements in rate expectations (monetary policy, inflation) to systematically
buy(sell) currencies where rate expectations rise(fall) on a relative basis, with 20Y backtested Sharpe of +0.8.
• Detecting Bubbles. Introduced a method to identify and date the periods of exuberance and collapse in equity market indices,
style and sector portfolios, with its implications on investment and risk management.
• Style Allocation Model. It allocates the capital between the three popular investment style in FX - Carry, Momentum and
Value- based on the market risk regime. Paper trading Sharpe has been +1.11 since Jan 2013.
High Frequency Models
• Intraday Reversal Model. It identifies the period of intraday reversal in FX and rates through heuristic methods.
• Intraday Cross-Asset Pair Trading Model. It exploits the temporary mis-pricing in two assets and takes long-short positions
for convergence/divergence.
Quantitative Analyst, Sungard Pvt. Ltd., India Oct 07 – Aug 09
• Worked on Credit Portfolio Risk Models - Credit Risk+,Credit Metrics (For Economic Capital) and Basel-II.
• Worked on the Estimation and Validation of Basel-II Risk Parameters (PD, LGD etc.).
• Implemented the Basel-II approaches for Operation Risk (Basic, Standardized and AMA).
Software Engineer, Siemens Pvt. Ltd., India Nov 06 – Oct 07
• Worked independently to enhance their legacy product, NX Translator, by adding new features like 3D PMI and 3D drafting
annotations and improving the accuracy of Model view, GD&T symbols and Dimension objects.
Education
Indian Institute of Technology Bombay, Mumbai, India — Master of Technology, 2001-2006
Indian Institute of Technology Bombay, Mumbai, India — Bachelors of Technology, 2001-2006
Skills
Quantitative Finance: Systematc trading, Stochastic calculus, Derivatives pricing, Risk modelling, Volatility modelling
Statistical Profiency: Econometrics and time series analysis, Portfolio management, Regression analysis, MC Simulations
Computer proficiency: MATLAB, C/C++, R, Excel/VBA, C#, Bloomberg/Reuters
Accomplishments
• Awarded 'Supernova' Award in Individual Category (one in 1500+ employees) in 2008 by SunGard, India. Supernova awards
recognize 'individuals' and Teams who have demonstrated outstanding performance.
• Recipient of MHRD Scholarship for excellent academic performance in IIT, 2006.
Certifications
• Certificate in Quantitative Finance (CQF), UK – June, 2014 cohort.
• Merit certificate in Summer School, London School of Economics, 2010 for Econometrics (Grades: A+, A)
+44 (0)7459162776 v.anandv@gmail.com
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