Maryam Sami

About Maryam Sami

I am a quantitative risk researcher with strong communication skills and track record of model development. Here is a summary of my skills and experience. • Historical VaR, ES/CVaR, developing and back-testing predictive models of ES, stress testing bank revenue models • Extracting and analyzing large datasets and panel data using SQL, python dask dataframes, and HDF data structures • Fixed Income (variable annuities, bonds, rates), Stochastic calculus, derivative pricing. • Macro signal extraction and predictive models of EM FX • Strong presentation skills to technical and non-technical audience and senior management Coding: Python, C++, R, MatLab, SQL, Git, cluster computing, and CRW Quantitative: Linear and logistic regression, time series models (ARIMA, VARIMA), Monte-Carlo simulation, ML (boosting trees, neural nets, PCA), dynamic programing (Bellman equation, portfolio optimization (mean-variance, Black-Litterman)

Experience

1. Lead Quantitative Analyst

   Brighthouse Financial

   Aug 2021 — Present · NJ, US

   Hedging Strategy and Asset Liability Management, Lead Quant AnalystDeveloped multiple ML models for forecasting expected shortfall of the variable annuity book to reduce the computational intensity of forecasting ES:• Two-stage quantile regression and gradient boosting model to predict expected shortfall• Gradient boosting model (GBM) to predict expected shortfall• Panel data model with fixed effects using only a handful of features

Education

• Institue for Advanced Studies (IHS),Vienna

  Master's degree, Economics

• Stony Brook University

  Doctor of Philosophy (PhD), Economics

  2009 — 2015

• K. N. Toosi University of Technology

  Bachelor's degree, Applied Mathematics