Jan-Luca Frick Email & Phone Number

New York, NY, US

Berkeley, California, US

• Developed an LSTM neural network using TensorFlow and Keras to predict stock price volatility with high-frequency data.
• Engineered features like log returns, volume change, and EWMA volatility to capture intraday market dynamics.
• Optimized the model through hyperparameter tuning and regularization, outperforming GARCH models by 10% in MSE during out-of-sample backtesting.
• Conducted extensive backtesting to validate model performance, enhancing tools for real-time trading decisions and risk management strategies.

Frankfurt Am Main, Hessen, DE

• Built a global macroeconomic model to predict Net Asset Values (NAV) of public and private assets using OLS, Elastic Net, Random Forest, and Neural Networks.
• Applied Monte Carlo simulations for scenario analysis, reducing forecast error by 20% and increasing risk-adjusted returns by 15%.
• Integrated macroeconomic indicators such as GDP growth, inflation rates, and interest rates to enhance model accuracy.
• Conducted sensitivity analysis to identify key economic drivers impacting asset valuations under various market conditions.
• Optimized model performance through feature engineering and cross-validation, improving predictive reliability.

Frankfurt Am Main, Hessen, DE

• Analyzed firm-level panel data using regression models to estimate the effects of market concentration on pricing and consumer welfare.
• Developed econometric models to analyze competitive dynamics between complementary products, identifying cross-price elasticity effects.
• Simulated game-theoretic models using Python to assess long-term competitive equilibrium in markets with interdependent products.
• Conducted statistical tests and robustness checks to validate model assumptions and results.
• Contributed to academic publications, assisting in writing and data visualization.

Bonn, DE

• Refined pricing strategies for equities, fixed income, and derivatives using Linear, Ridge, and Lasso regression models, along with K-means clustering.
• Identified $15M in untapped revenue potential through quantitative analysis and market segmentation.
• Conducted time-series analysis and predictive modeling to forecast market trends, enhancing clients’ strategic positioning.
• Collaborated with cross-functional teams across APAC to implement data-driven pricing models.
• Presented quantitative insights to clients, influencing pricing strategies and revenue optimization.

Frankfurt Am Main, Hessen, DE

• Developed a multi-period portfolio optimizer using Python’s CVXPY package, integrating mean-variance and conditional variance optimization objectives, enhancing the Sharpe ratio by 25% compared to the existing.
• Applied DCC GARCH and Copulas to generate dynamic covariances for portfolio risk modeling, increasing forecast accuracy by 15%.
• Extended the optimizer by incorporating recommitment strategies, capital call and cashflow projections for private equity investments, effectively reducing liquidity risk and optimizing portfolio management using VaR.
• Led benchmarking sessions with industry-leaders, FactSet and Axioma, comparing asset allocations and runtime across various scenarios. Achieved 85% reduction in runtime, from 5min to 50s, compared to industry standards
• Presented findings to the investment committee, influencing strategic asset allocation decisions.

Frankfurt Am Main, Hessen, DE

• Led the investment products workstream during the Postbank integration, ensuring seamless data migration and system compatibility.
• Created Python-based analytical tools for project tracking and financial reporting, resulting in a 20% increase in operational efficiency.
• Developed a system for managing financial data pipelines, improving data accuracy and availability for strategic decision-making.
• Collaborated with cross-functional teams to integrate quantitative methods into business processes, enhancing operational efficiency.
• Presented financial analyses to senior leadership, providing actionable insights for process automation and operational improvements.

Frankfurt Am Main, Hessen, DE

• Built a Python tool (Dash, SQL) to automate portfolio analysis and visualization, cutting manual process and saving €100K annually.
• Optimized resource allocation through data-driven capacity planning models, increasing utilization by 25%.
• Conducted statistical analysis on large datasets to identify trends and support decision making.
• Completed Apprenticeship as Computer Science Expert in Software Development, applying programming skills to financial applications.

Frankfurt Am Main, Hessen, DE

• Developed quantitative cost models (direct, indirect, real estate) to analyze and optimize the bank’s cost structure.
• Identified €75M in cost-saving opportunities through detailed data analysis and assigned financial targets to departments.
• Led workstreams and facilitated discussions to implement cost-reduction plans, achieving €60M in savings.
• Applied statistical modeling to enhance operational efficiencies and reduce expenses.
• Presented analytical findings to senior management, influencing strategic financial decisions.

Frankfurt Am Main, Hessen, DE

• Automated DCF modeling and scenario analysis by extracting financial data with NLP (NLTK, spaCy) reducing process time by 50%.
• Integrated Monte Carlo simulations into valuation models, enhancing investment valuations with stochastic modeling techniques.
• Visualized probability distributions of potential outcomes, improving decision-making in investment strategies.
• Conducted market analysis and due diligence for €7M investments across four financing rounds.
• Collaborated with senior analysts to develop quantitative investment strategies and models.

Frankfurt Am Main, Hessen, DE

• Facilitated engaging classroom sessions in Mathematics and Statistics & Probability for undergraduate students.
• Explained complex mathematical concepts clearly, enhancing student understanding and retention.
• Assisted in developing instructional materials and assessments to support curriculum objectives.
• Provided one-on-one tutoring to students needing additional support in quantitative subjects.
• Graded assignments and exams, offering constructive feedback to improve performance.

Master Of Financial Engineering, Financial Engineering

Master Of Financial Mathematics, Financial Mathematics

Bachelor Of Science - B.Sc., Business Administration With Focus On Business Information Systems

Visiting Student, Economics And Finance

Language Study Program, Intensive Mandarin Chinese

Abitur (University Entrance Qualification)