Studying treatments for improving empirical correlation matrix estimation
Keywords: PCA, Shrinkage
Jan Leo
Junior Research Analyst
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Searching for a position as a Research Analyst with utilizing my skills in survey methodologies and fundamental programming abilities keeping in mind the end goal to deal with the organization's activities in a proficient way.
Marital StatusSingle
Date of Birth1990/05/05
Home Address27, Avenue Louis Favre K774,
1024 Ecublens,
Switzerland
RelocationYes
NationalitySwitzerland
Freelance AvailableNo
Driving LicenseNo
GenderMale
Work Experience
Harvey's Research
Intern
(September 2016 to December 2016)
Hobart Laboratories SA
Quantitative Developer
(August 2015 to February 2016)
Reasearch on Implied Volatility
Standard Formula for Solvency 2
Hierarchical aggregation of risk factors using copulas
Standard Formula for Solvency 2
Hierarchical aggregation of risk factors using copulas
EPFL - Credit Suisse
Researcher
(February 2015 to June 2015)
Designed a Portfolio Allocation Model
Course project: Quantitative Risk Management
Student
(February 2014 to June 2014)
Perform data analysis on returns, estimation of VaR and ES
Education / Certification
EPFL, ´Ecole Polytechnique F´ed´erale de Lausanne, Lausanne
EPFL, ´Ecole Polytechnique F´ed´erale de Lausanne, Laus
September 2014 to Present
Lyc´ee Robert Schuman de Luxembourg, Luxembourg
High School Degree
September 2004 to June 2010
Professional Skills
- Multivariate Statistics
- SPSS
- R
- Matlab
- Data Mining
- Microsoft Office
- Financial Big Data
- Data Analysis
- Quantitative Research
- Trend Analysis
- Quantitative Risk Management
- C++/ Python
- Regular Expressions
Personal Skills
- Proactive
- Independent
- Ambitious
Activities
& Interests
Cooking
Singing
Family
Travelling
Climbing
Socialising
Fishing
Ice Skating
Cards
Drinking
