Angelo Caraballo

angelo_caraballo@mfe.berkeley.edu

EDUCATION University of California, Berkeley Masters of Financial Engineering, 2012

Haas School of Business GRE: Math 800, Verbal 720

Boston University Masters of Economics, 2004

College of Arts & Sciences Bachelor of Economics & Math, 2004

University of California, Berkeley Coursework 2008-2010 in Mathematics and Statistics

Relevant Skills: Machine Learning, Predictive Modelling, Time Series & Cross Sectional Analysis,
Derivative Pricing, Stochastic Models, Financial Modeling, R, Python, SQL

FINANCIAL USA: Series 7 & 63, Great Britain: FCA Units 1 & 2

ACTUARIAL Exams 1, 2, 3\F, 3\L, 4, 5 & VEEs

RESEARCH An Arbitrage Model in the Market for Horse Racing (2012, Working Paper)

PROFESSIONAL EXPERIENCE:

4/13 5/16 CITIGROUP MULTI-ASSET STRUCTURER ASSOCIATE III New York & London

Designed and priced exotic options and structured products using Black-Scholes and monte-carlo methods.
Produced a portfolio simulator to calculate the optimal proportion to be invested in structured products.
Built an automated pricing platform to regularly send product pitches to clients.
Published monthly product pitches and worked with a variety of teams to bring products to market.

8/12 4/13 CITIGROUP FX STRUCTURING ASSOCIATE I New York, NY

Produced restructuring proposals to hedge clients currency risk.

Provided mark-to-market and Value-at-Risk analysis of FX options & structured products.
Extended and re-engineered the desks automated restructuring proposal system.
Completed volatility event studies, gamma trading studies, and option time value studies.

10/11 1/12 CITIGROUP EXOTIC RATES TRADING - INTERN New York, NY

Developed and back tested a mean reversion based trading strategy on the swap curve.
Designed a trading strategy to exploit patterns surrounding US treasury auctions for TIPS.

8/07 3/11 LECG & AFE CONSULTING (NAVIGANT) SENIOR ASSOCIATE Oakland, CA

Provided analysis of complex issues in economic & financial litigation using an array of statistical tools
applied to very large data sets which often needed to be scrubbed.
Worked directly with, and trusted by, leading experts in the field whose reputations and careers depend on
the quality of work provided by an analyst.

9/06 8/07 CSAA - ACTUARIAL ANALYST II San Francisco, CA

Estimated loss reserves and performed pricing analyses to estimate premiums.

Identified the cause of financial deterioration or improvement to provided management recommendations.

7/04 8/06 LIBERTY MUTUAL - ACTUARIAL ANALYST Boston, MA

Used a variety of actuarial methods to complete quarterly auto liability loss indications.
Recognized as the top public speaker & presenter of the actuarial student program

SKILLS
Computers: R, Python, SQL, VBA, C++, SAS. Exposure to Q and Matlab.
Languages: Fluent in German and English

ACTIVITIES & INTERESTS

11-12 President, UC Berkeley MFE Class of 2012
02-07 Martial Art Instructor and Captain of J.H.Kim Tae Kwon Do Forms Team
00-Present Avid Backpacker, Spear Fishing Enthusiast, interested in Sailing and raising my puppy