ROHAN JAIN

rohanjain.2209@gmail.com | +91 9987188264

EDUCATION
Year Degree/Exam Institute GPA/Marks(%)
2017 Btech + Mtech Electrical Engg. Indian Institute of Technology, Bombay 9.06
2012 CBSE B.V.B.Vidyashram, Jaipur 93.2
2010 CBSE B.V.B.Vidyashram, Jaipur 9.8

 Level-3 candidate in the Charted Financial Analyst Program, CFA institute, USA
 Minor degree in Computer Science and Engineering, IITB
PROFESSIONAL EXPERIENCE
GOLDMAN SACHS SECURITIES | Senior Analyst | Market Risk Team [Jul 17 – Present]
 Quantify risk and capital calculations for large, diverse and complex set of financial instruments
 Test economic and statistical characteristics of quantitative measures (such as value-at-risk, stress tests)
 Understand pricing & risk models including implementation that enables performing pricing analyses, risk
and capital impact analysis
 Interact and provide quantitative advice to various other groups such as external regulators, market risk
modelers, trading desks and risk committees
 Perform anomaly detections in large data sets, investigate the cause and recommend corrective actions
 Represented MRCQ for approving a $1bn non recourse loan deal to a Japanese domiciled SPV; Involved in
Y14Q Dec submission to Fed; Promoted to Senior Analyst in Jan

CITIGROUP | Citi Equities Technology (Global Market Data) [May 15 – Jul 15]
Depicted trends of intra-day latencies in Citi’s GMD server using interactive and customizable charts
 Built a web application to monitor real-time latency by plotting dynamic graphs
APPROACH  Generated latency report for the entire day which could be shared to Citi’s clients

 Presented the work to the head of Global Market Data team in Belfast (Europe)
RESULTS
 Offered Pre Placement Offer (PPO) in recognition of my performance

QUANTUM PHINANCE | Analyst [May 14 – Jul 14]

Implemented various financial models and optimization algorithms in excel using company’s addin (SheetKraft)
APPROACH  Studied fundamentals of Itô’s lemma, option pricing, portfolio management
 Implemented Black Scholes PDE solver to obtain present value of a call option
RESULTS  Found the distribution of stock prices at option maturity using Volatility smile curve
 Solved Kolmogorov equation to determine asset allocation between equities and bonds
KEY PROJECTS
RISK MEASURES IN QUANTITATIVE FINANCE | R&D Project [Jan 16 – Apr 16]
Identified the shortcomings of conventional risk measures and analyzed new approaches to quantify risk
 Studied the traditional Mean-Variance (MV) and VaR based risk measures
APPROACH
 Formalized an optimization model that penalizes downside risk and rewards upside deviation
 Reduced time complexity from O(n3) in MV to O(n) in MAD model
RESULTS  Lowered transaction costs by reducing number of constraints in the modified MAD approach

STOCK MARKET PREDICTION | Term Paper [May 15 – Jul 15]

Applied Hidden Markov Model (HMM) to forecast intra-day closing prices of stocks
 Trained continuous Hidden Markov Model using historical fractional changes in stock prices
APPROACH
 Used HMM to make a Maximum a Posteriori decision over all possible changes to the stock
RESULTS  Improved accuracy by 10% (in MAPE sense) from the existing methods to predict stock price

MISCELLANEOUS
 Chegg tutor: Tutored 100+ international students on an online tutoring website with 250+
lessons in diverse fields such as finance, MATLAB, C++, algorithms, economics
MENTOR
 Teaching Assistant: Guided 100+ UG and MTech students in Linear Algebra course creating
challenging problems for tutorials and assignments
 Focus on strength-endurance training in the gym, encourage and motivate others to stay fit
FITNESS
and healthy, enjoy running, swimming, cycling