Amin Sabzivand

S

Study of US-Treasury Bond Market

• Applied the principal component analysis on US-treasury bond market data to identify maturity of bonds that are responsible for majority of variations in market.

P

Portfolio Management Scenario Testing

• Studied the development and use of economic scenario generators (historical, hypothetical, event based).

R

Risk Measures

• Calculated risk measures, VaR and CVaR, for a portfolio consisting of bonds, stocks, and options. • Implemented conditional calibration with a 2-year lookback interval. • Studied different aspects of coherent and incoherent risk measures.

F

Financial Information Exchange (FIX) Engine Development

• Collaborated with my team to build a functioning FIX client in C# which enabled users to connect to a proprietary server application generating artificial market data, and automatically apply the trading strategy and track the P&L of the portfolio. • The acceptor captured a stream of quotes from the server and analyzed the market information based on the quotes to develop a profitable trading strategy.

P

Portfolio Profit and Loss Analysis

• Decomposed the P&L of a portfolio consisting of CLL Index into theta, spot, skew, and volatility P&L, which made the hedging process more effective.

V

Volatility Modeling

• Calibrated volatility using Gatheral formula. • Calculated local volatility between two time slices. • Implemented GARCH (1,1) in MATLAB to forecast volatility of daily log-return in the next day.

D

Derivation of Zero Rate Curve

• Calculated the interest rates for different maturities using bonds, eurodollar futures, and swaps.

C

Comprehensive Capital Analysis and Review (CCAR)

• Researched areas where CCAR can be applied within banking and gained overall knowledge of CCAR requirements. • Learned how different corporations prepare capital plans to assess processes that incorporate forward- looking projections of revenues and losses to monitor their internal capital adequacy.

S

Study of Extreme Behavior of a Hypothetical Portfolio

• Maximum-Likelihood approach was used to estimate scale and tail parameter of a generalized pareto distribution function, followed by analyzing the extreme behavior of portfolio.

D

Designing GUI Option Pricing Calculator

• Designed option calculator which priced variety of options including European, American, Asian, Range, Barrier, and Digital. • Applied different variance reduction methods including Antithetic, and Delta-based control variation into the model. • Stored data in SQL database, and track the P&L of created portfolio.

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