Jay Rao Email & Phone Number

New York, New York, Us

Conduct quantitative research on portfolio construction and strategic/tactical asset allocation solutions for Chief Investment Officers. Examine the impacts of potential (and existing) tilts on key risk metrics such as tracking error, value at risk (VaR), beta, Sharpe, max drawdown, and many others.Use risk models, optimizers, investment software, and algorithms to identify potential geographic biases, factor/style tilts, sector over/underweights and other applicable idiosyncratic exposures inherent to single- and multi-asset client portfolios across domestic and international mandates.Develop tools and design algorithms to help systematize the analysis process and play a key role in the parsing, cleansing, analysis, and visualization of pertinent investment/portfolio data from a variety of sources such as Goldman's proprietary datasets & systems, index providers, risk models, exchanges, and third-party data providers.

New York, New York, Us

• Analyzed the U.S.-listed ETF market and primarily focused on options-based, fully-synthetic ETFs. • Constructed and employed functional and object-oriented programming techniques in Python for advanced financial modeling with derivatives (e.g., Black-Scholes-Merton, Bachelier, Black-76, etc.). Utilized techniques to develop innovative product/portfolio ideas, backtest potential strategies, and vet existing ones in the marketplace. Analyzed baskets of derivatives under various volatility, inflation, and interest rate regimes and assembled informative analyses to drive business decisions. • Developed analyses and thought pieces to help integrate option-based ETFs into volatility-matched portfolios. Worked with portfolio management, sales, sell-side desks, index providers, and exchanges as part of broader research effort.

Worldwide, Oo

• Worked almost exclusively for a leading government agency focused on space/planetary exploration, aeronautics, and scientific research. Provided analyses on data governance, tooling, business strategy, and industry trends for C-level clientele. • Authored press communications, coordinated stakeholder engagements across business lines, and aided in the creation/execution of organization-wide data strategy.• Developed strong content creation skills and presented key information to clients and senior leaders.

Johannesburg, Gauteng, Za

• Developed a probability of default (PD) model for sovereign obligors using the Cox-Ingersoll-Ross Model, St. Louis Fed research, and CDS premia for U.S. and foreign government debt.• Utilized Python to clean and analyze large datasets from various sources like the World Bank and leveraged statistical software (JMP, MiniTab) for model development and validation.• Presented final thesis on risk assessment to a panel at RMB, showcasing expertise in credit portfolio visualization and risk metrics.

New York, New York, Us

• Led a team of five graduate students in screening and selecting PropTech startups for CitiVentures.• Developed a methodology to size the PropTech market and created a seven-pronged framework for startup valuation. Analyzed political, regulatory, and industry datasets to guide research process.• Integrated critical startup valuation metrics like cash-on-cash valuation, deal flow, management team, and funding into analysis. Presented final recommendations to panel at Citi.

New York, Ny, Us

• Supported JPMorgan's GFICC business by maintaining data repositories and tools for fixed income credit research, trading, and portfolio management.• Utilized Bloomberg Terminal, Wall Street Office, EMMA, and proprietary systems for data tagging, cleansing, and classification.• Collaborated with research and portfolio management teams to address intraday data-related systems issues and developed scalable solutions for broader data problems.

Master Of Science - Ms, Finance

Bachelor Of Science - Bs, Neuroscience (Cellular & Molecular Specialization) And General Psychology