Mall_MM_Resume
- 1. MAN MOHAN MALL 350 W 43RD STREET, APT# 10B, NEW YORK CITY, NY 10036 + 1 8 6 2 2 1 5 1 4 6 4 – manmohanmall@gmail.com PROFESSIONAL EXPERIENCE JP Morgan New York, NY Fixed Income Valuation Analyst, (Structured Products Group) Apr 2010 – Present Perform valuation of Credit Default Swaps on single names, credit indices and tranches on CDS indices using current market data and proprietary models by calibrating the model to match market data Re-developed the complete pricing platform in Excel-VBA liasing the trade valuator used by trading desks and market data that removed external dependencies and reduced pricing time by more than 30% Developed automated systems in VBA and Perl for end to end pricing of client portfolios Created a proxy for corporate credit spreads in case of lack of market color using movements in corporate bond spreads and relevant indices and sovereign credit spreads Jamison Capital Partners New York, NY Quantitative Trading Analyst - Internship Jan 2009 – Aug 2009 Built and tested an inter-day trading strategy based on a multi-factor and multi-sector model using statistical analysis on S&P 500 index and various factor values and sector returns Developed, tested, assessed risk and implemented a mid-frequency breakout trading strategy based on price-volume dynamics of Natural Gas and Crude futures that was trading live at Jamison Built an automated trading platform that checks for signals, sends order and calculates P&L statistics Created an Excel-VBA based scenario analysis and stress testing tool for assessment of firm wide risk Evalueserve Gurgaon, India Investment Research Analyst May 2007 – Jun 2008 Developed analytical and valuation models using various qualitative and quantitative techniques such as DCF, Analytical Hierarchy Process Modeling, Multiple Regression Analysis and Monte Carlo Simulation Recommended an acquisition target to a leading molecular diagnostics company amongst three companies based on their operational and financial performance which was finally acquired by the company Futures First Kolkata, India Derivatives Trader Jun 2006 – Dec 2006 Traded Eurodollar short term interest rate futures on a notional principal worth USD 20 million Developed trading strategies by creating favorable spreads and butterflies using market momentum, economic fundamentals and movements in other fixed income financial markets EDUCATION Columbia University New York, NY Master of Science in Financial Engineering (GPA 3.7/4.0) Jul 2008 – Dec 2009 Relevant Coursework: Stochastic Calculus, Options Pricing, Fixed Income Derivatives, Multivariate Regression and Time Series Analysis, Monte Carlo Simulation, Implied Volatility Smiles, Security Pricing Models Indian Institute of Technology Kharagpur Kharagpur, India Bachelor of Technology in Biotechnology and Biochemical Engineering (GPA 8.2/10.0) Jul 2002 – May 2006 Minor in Mathematics and Computing Certifications Passed CFA Level II and Financial Risk Management exam (GARP) SKILLS AND PROJECTS Computer Languages: C/C++, Excel-VBA, Perl Applications: Unix, MATLAB, R, Bloomberg Developed VAR estimation models using volatility computation methods such as ARCH and GARCH; Implemented CAPM and Fama-French models for beta estimation Developed calibrated, and compared exotic equity options pricing method using Local Volatility model and Heston’s Stochastic Volatility model ACHIEVEMENTS AND ACTIVITIES Amongst top 0.7 percent students of over 150,000 applicants who appeared for the IIT JEE 2002 Won second prize out of 128 teams in El Matador 2006, a national level equity futures trading competition