original more general and less computational description...
Angelo Caraballo U.S & EU Citizenship
[email protected] EDUCATION
University of California, B erkeley Haas School of Business
Masters of Financial Engineering, 2012 GRE: Math 800, Verbal 720
Boston University College of Arts & Sciences
Masters of Economics, 2004 Bachelor of Economics
&
Math,
2004
University of California, Berkeley Coursework 2008-2010 in Mathematics and Statistics
Relevant Fields: Machine Learning, Predictive Modelling, Time Series & Cross Sectional Analysis, Derivative Pricing, Stochastic Models, Financial Modeling, R, Python, SQL EXAMS: FINANCIAL
USA: Series 7 & 63, Great Britain: FCA Units 1 & 2
ACTUARIAL
Exams 1, 2, 3\F, 3\L, 4, 5 & VEEs
RESEARCH
“An Arbitrage Model in the Market for Horse Racing” ( 2012, Working Paper)
PROFESSIONAL EXPERIENCE:
4/13 – 5/16 5/16
CITIGROUP – MULTI-ASSET MULTI-ASSET STRUCTURER – ASSOCIATE ASSOCIATE III
8/12 – 4/13 4/13
Oakland, CA
Provided analysis of complex economic, financial and business issues in litigation. Performed analyses to model, predict, and dispute both damages and liability. Worked directly with, and trusted by, leading experts in the field whose reputations and careers depend on the quality of work provided by an analyst. San Francisco, CA
Estimated loss reserves and performed pricing analyses to estimate premiums. Identified the cause of financial deterioration or improvement to providee management recommendations.
LIBERTY MUTUAL - ACTUARIAL ANALYST
10/00 – 9/01 9/01
New York, NY
Developed and back tested a mean reversion based trading strategy on the swap curve. Worked with the inflation trader to develop and test a trading strategy to exploit patterns surrounding treasury auctions in the Treasury Inflation Protected Securities (TIPS) market.
CSAA - ACTUARIAL ANALYST II
7/04 – 8/06 8/06
Produced FX restructuring proposals for corporate clients. Extended and re-engineered the desk’s automated restructuring proposal system. Provided pricing and mark-to-market analysis of FX options & structured products. Worked directly with the sales team to pitch option hedging strategies to clients. Completed volatility event studies, gamma trading studies, and option time value studies.
LECG & AFE CONSULTING (NAVIGANT) – SENIOR ASSOCIATE
9/06 – 8/07 8/07
New York, NY
CITIGROUP – EXOTIC EXOTIC RATES TRADING - INTERN
8/07 – 3/11 3/11
Designed and priced equity, commodity, FX and hybrid options and structured product securities for asset managers, hedge funds, family offices and private banks. Generated investment ideas that could be implemented via derivatives. Worked daily directly with trading, packaging, legal, and sales to bring products to market. egular product pitches for Citi’s High Net Worth Private Bank and Consum er Bank channel as Produced r egular well as for Citi's external clients.
CITIGROUP – FX FX STRUCTURING – ASSOCIATE ASSOCIATE I
10/11 – 1/12 1/12
New York & London
Boston, MA
Used a variety of actuarial methods to complete quarterly auto liability loss indications. Recognized as the top public speaker & presenter of the actuarial student program
VIRTUAL MARKET TRADING ACTIVITY
Boston, MA
SKILLS Computers: Languages:
Exploited promising opportunities in the illiquid market for virtual game items using eBay Generated profits of $16,000 from an initial investment of less than $60. Typical trades could be expected to generate returns between 50% and 300%; formulated strategies to limit fraud losses.
R, Python, SQL, VBA, C++, SAS. Exposure to Q and Matlab. Fluent in German and English
ACTIVITIES & INTERESTS President, UC Berkeley MFE Class of 2012 ’11-12 Martial Art Instructor and Captain of J.H.Kim Tae Kwon Do Forms Team ’02-07 ’00-Present Avid Backpacker, Spear Fishing Enthusiast, interested in Sailing and raising my puppy
