Alberto C.

Data Scientist

555 dollar
Freelancer
19 ans
Londres, ROYAUME-UNI

Mon expérience

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Counterparty Credit Risk AnalyticsMay 2018 - Présent

* Morgan Stanley, ( Quantitative Analyst, Counterparty Credit Risk Analytics
- Contributions to model development of the Exposure Calculation system in the context of IMM.
- Reviewed and tested IR analytical pricers used for potential exposure calculation: IR Swaptions (Phisi- cally/Cash settled, zero-coupon), CMS Swaps/Caps/floors.
- Reviewed and tested the American Monte Carlo framework.
- Implemented RNIMM methodologies for commodity and IR products (Python).
- Contributions to the initial Margin models used for collateral management.
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ICADE Bussiness SchoolSeptember 2019 - September 2019

Teaching unsupervised learning: Dimensionality reduction and clustering techniques.
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CME GroupFebruary 2017 - April 2018

Quantitative Analyst, Quantitative Risk Management
- Member of the development team of the CMBX product.
- Implemetation of C# Quant Risk library for derivatives pricing and Initial Margin calculation (Equity, Credit, Commodities).
- Statistical Modelling of underlying risk factors (Future curves, implied volatilities, credit spreads, etc).
- Implemented a general framework for estimation and simulation of non-gaussian CCC ARMA-GARCH
models by Maximum likelihood.
- Implemented Clewlow-Strickland type models to simulate forward curves.
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Fidelity National Information ServicesOctober 2015 - January 2017

Support/development of a C++ cross-asset library used for independent exotic derivatives pricing.
- Implemented from scratch a Copula model to engineer Crossed FX smiles.
- Implemented Delta/Strike vol parametrization according to FX conventions.
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Equities & Commodities Valuation MethodologiesSeptember 2014 - September 2015

* UBS Investment bank Equities & Commodities Valuation Methodologies
- Engineering of fair value adjustments and independent price testing methodologies for IPV. Products:
Basket/Asian options, VolTargets, CPPI, etc.

- Review of the Front-Ofce pricing models and their parameter marking methodologies. Preparation of model risk review documentation.
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Pricing Model ValidationNovember 2011 - August 2014

Performing in depth model risk reviews of Front-Ofce Equity derivatives pricing models.
- Development of an independent library for benchmarking and testing purposes (Matlab/C). The library implemented different pricing techniques as Monte Carlo, Finite differences, Longstaff-Schwartz; differ- ent models as Black-Scholes and LocalVol models; and it was able to price complex payoffs and features:
Autocallables, discrete/continuous barriers, asians, lookbacks, baskets, quanto options, etc.
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Institute for ResearchSeptember 2004 - September 2010

Statistical modelling of electricity load and spot price time series.
- Developed automatic estimation and forecasting tools of time series models: Seasonal-ARIMA, dynamic regression, GARCH, State Space, Kalman filter, Neural networks. Developed estimation framework of regime-switching models based on the Expectation-Maximization algorithm.
- Matlab, C, C#, PL/SQL, SQL Server.
- Publications and works can be found at http://www.iit.upcomillas.es/people/amcruz.
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Quality ObjectsJanuary 2003 - January 2004

Tester and developer of an application aimed to maintain communication equipments.
- The application was developed in Java (J2EE). I was part of a large team of developers (more than 30), involved in all stages of the software life cycle.
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CoritelJanuary 2002 - January 2003

Developing and maintenance of a Treasury Backofce System.
- Technology used: Java, J2EE, C, PL/SQL, Shell script Unix.
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Telefonica I+DJanuary 2001 - January 2002

Developing of a Web based system (Java, JSP, Servlets).

Academic

Mes compétences

Technologies

Machine Learning

IT Infrastructure

Unix, Linux

Software testing

Test Driven Development (TDD)

Databases

Microsoft SQL Server, MySQL

Others

Analytics, Algorithms

Other

Assistant Researcher, Quantitative Analyst, Derivatives, Density forecasting, External Lecturer, Price Forecasting, Computer Science, Equities, Object Oriented Analysis/Design, Analyst/Programmer, Visual Basic for Applications, Exotic Derivatives, Java Servlets, Java 2 Enterprise Edition, Microsoft C-SHARP, Equities as Derivatives, Python Programming, Collateral Management, Commodities, Foreign Exchange, Java Server Pages, Researcher, Quantitative Analyst, Quantitative Risk Management, Quantitative Analyst, FastVal Analytics Quant Team, C Programming Language

Languages

C++, Java, PL/SQL, Java EE, OOP, Matlab, Shell Scripting, C#, Python, Oracle PL/SQL, LaTeX, R Language, Unix Shell Script, C/C++, SQL, VBA

Machine Learning

Neural networks

Mes études et formations

Doctor of Philosophy, Industrial Science, Computer Science Engineering - Comillas Pontifical University2008 - 2013

Computer Science - Comillas Pontifical University1997 - 2002