Member of a team that competed in the 2020 PRMIA Risk Management Challenge, a case competition that required knowledge of risk, financial markets, equity trading, critical thinking skills, and presentation abilities.
• Solved realistic business problems of why LTCM imploded with a risk management focus on analyzing the fund’s inappropriate management and untenable model.
• Analyzed LTCM’s trading strategies and discovered the hidden liquidity risks, leverage risks, and possibly violated assumptions behind their strategies.
• Simulated a practice of pairs-trading strategy via MATLAB, including gathering and cleaning data, testing the existence of cointegration, performing pairs-trade on qualified equities, adjusting screening criteria to yield the highest possible return, and having backtest on the strategy’s performance.