Gustavo Rubim
Quantitative Director @Citi
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WORK HISTORY
Quantitative Director @Citi
Tampa, FL, US
Treasury, Quantitative DirectorFirm Wide Risk Based Capital AttributionDeveloped interest rate simulation models for balance sheet optimisation leveraging classic single factor and HJM framework models, monte carlo simulations, stochastic differential equations and symbolic regression.Developed methodologies leveraging stress testing to measure business risk and return profile helping senior levels drive Citigroup\'s strategy.Team Leader (5 HCs).
EDUCATION
Pontifícia Universidade Católica de Campinas
B.S in Economics, Econometrics and Quantitative Economics
Georgia Institute of Technology
Master's degree, Computational Analytics
Georgia Institute of Technology
Master of Science - MS, Computer Science
SKILLS
ABOUT GUSTAVO RUBIM
Quantitative Director with over 10 years of experience in developing and implementing advanced data science and machine learning models. Currently leading a team at Citi to optimize firm-wide capital planning and risk-based capital attribution through methodologies such as stress testing, interest rate simulation models, and Monte Carlo simulations. Specializing in data science, machine learning, and data mining, leveraging innovative techniques like symbolic regression and stochastic differential equations to enhance balance sheet optimization and resource management. Dedicated to enabling strategic decision-making by delivering actionable insights into risk and return profiles.
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