ROHAN JAIN
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
