Saikat Roy
Alpha Quant Research | Prime Services Quant | Statistics
- Role
- Senior Associate, Quantitative Analyst at HSBC
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Saikat Roy
Senior Quant Researcher, chasing high risk-adjusted returns. Experienced in developing…
Experience
Senior Associate, Quantitative Analyst
Sep 2024 — Present · Bengaluru, IN
Calibrated Monte Carlo stress models to improve PSE computation on leveraged hedge funds, ETFs and mutual funds in the bank\'s prime brokerage portfolio.• Back-tested HAC regression with MSCI Barra models to simulate alpha factor drawdown effects on quantitative funds, enhancing the Potential Shortfall Exposure calculation methodology, with adjusted R² values of 20-55%.• Automated the bespoke margin model attribution framework, enhancing margining and risk management efficiency by 90%.• Developed a Python package from scratch to mitigate financing risk with different counterparties by analysing portfolio positions in Cash Equities, Total Return Swaps, Convertible Bonds and Options, reducing human intervention by 70% in BAU.
Education
St. Xavier's College (Autonomous), Kolkata
Bachelor of Science - BS
2017 — 2020
International Institute for Population Sciences
Master of Science - MS
2020 — 2022
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