Dec 2023 – Present · 2 yrs 3 mos · New York, New York, United States · On-site

• ◦ Portfolio Optimization: Enhanced a hedging portfolio optimizer, increasing the model’s capacity by 100x through improved convex optimization formulation. Decoupled the code from the solver using CVXPY.
• ◦ Survival Analysis: Built a model to predict the time-to-exit of private equity investments, eliminating model bias by applying survival analysis techniques to handle censored data.
• ◦ Price Prediction: Developed models to predict GP’s mark and high-yield bond prices, enhancing price forecasting accuracy.

May 2023 – Dec 2023 · 7 mos · New York, New York, United States · On-site