Gauri Kant
AVP, QA Prime Services
- Role
- Assistant Vice President, Qa Prime Services at Barclays
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About Gauri Kant
I am a double bachelor student in Econometrics and Economics with a specialisation in Quantitative Finance. Along with my studies, I have also taught courses such as Simulation, Time Series Analysis, Probability Theory, Non-Linear Optimisation and Mathematical Methods.
Experience
Assistant Vice President, Qa Prime Services
Feb 2023 — Present · NY, US
Developing a linear programming model to improve asset-liability matching for optimal Liquidity Coverage Ratio and net cash outflow analysis over a 30-day stress period, adhering to PRA guidelines and asset quality variations. Used Pandas and NumPy for data cleaning, SciPy for matrix formulation, and GUROBI for optimization, validating results against Excel-based methods. Designed a linear optimization model, leveraging SQLAlchemy, Pandas, and NumPy, to minimize overborrowed securities, resulting in $1.2 million dollar annualized increase in Profit and Loss (PnL). Created a custom linear programming toolkit optimized for handling large datasets, reducing project run times by an average of 40%, while ensuring seamless integration with CVXOPT, NumPy, and GUROBI to enhance the efficiency and scalability of quantitative research initiatives. Leveraged DASH to build a business intelligence dashboard, enhancing daily flashing of trade and book-level details such as notional, interest, mark-to-market, fair-value, and PnL.
Education
University of Chicago
MS Financial Mathematics, Financial Mathematics
Erasmus School of Economics
BSc, Economics and Business economics
2017 — 2021
Erasmus School of Economics
BSc, International Econometrics and Operations Research
2017 — 2021
Erasmus School of Economics
Bachelor Honours Class
2018 — 2019
Erasmus School of Economics
Bachelor Honours Research Class
2019 — 2020
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