Prateek Rastogi
Toronto
Summary
A seasoned quantitative finance expert with over a decade of experience in risk analysis, capital modeling, and portfolio management. Skilled in developing predictive models and risk assessment tools to enhance financial decision-making.
Overview
13
13
years of professional experience
Work History
Senior Quantitative Researcher
BlueFire AI
06.2017 - Current
- Spearheaded quantitative portfolio construction and rebalancing for U.S and China funds
- Developed data-driven proprietary predictive alpha and risk signal library
- Innovated an in-house probabilistic credit stress measure and credit rating framework for risk event prediction
- Developed a news categorization model using an in-house Events Extraction pipeline
- Implemented a predictive model using ML based techniques to identify companies at risk of price decline
- Authored marketing communications, including reports and conference papers on quantitative research methodologies
Officer
Bank of America
11.2015 - 05.2017
- Established a quantitative unit to support the FICC Asia sales and trading desk
- Conducted comprehensive research on OTC derivatives, implementing live risk tracking methodologies to enhance operational efficiency
- Facilitated the rollout of electronic FX trading platforms, significantly improving client trading capabilities
- Partnered with Risk Managers to simulate stress scenarios and maintained trader pricing tools (Excel)
Senior Analyst
Nomura
10.2014 - 10.2015
- Enhanced Economic Capital models to optimize capital allocation across trading desks
- Analyzed credit and capital requirements for new trades using advanced modeling techniques for Value-at-Risk and stress testing
Team Lead
Bank of America
03.2013 - 09.2015
- Collaborated with trading desks to assess credit and funding risks for derivatives, developing comprehensive credit mitigants and hedging strategies
- Conducted ad-hoc analyses and what-if scenarios to identify key credit risks associated with new derivative transactions
- Led the implementation of simulation engines while optimizing data reporting tools to enhance analytical support for business operations
Quantitative Developer
BFB Trading LLC
12.2011 - 09.2012
- Executed position tracking for trades, enhancing accuracy and efficiency
- Engineered and executed technical strategies in various asset classes
- Backtested, validated and optimized existing strategies to enhance the performance
Education
Master of Science - Finance
Illinois Institute of Technology
Chicago, IL05.2012
Bachelor of Science - Computer Science Engineering
Amity University
Noida, India06.2008
Skills
- Asset Pricing
- C
- Data Analysis
- Equities
- Excel
- Fixed Income
- Portfolio Management
- Predictive Modeling
- Python
- Quantitative Research
- Risk Analysis
- SQL
- Stress Testing
- VBA
Timeline
Senior Quantitative Researcher
BlueFire AI
06.2017 - Current
Officer
Bank of America
11.2015 - 05.2017
Senior Analyst
Nomura
10.2014 - 10.2015
Team Lead
Bank of America
03.2013 - 09.2015
Quantitative Developer
BFB Trading LLC
12.2011 - 09.2012
Master of Science - Finance
Illinois Institute of Technology
Bachelor of Science - Computer Science Engineering
Amity University
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