University of Missouri-Saint Louis

Principal Quantitative Analyst at SimpleRose

SimpleRose

Principal Quantitative Analyst

Joined the R/Finance organizing committee after the first conference in 2009.  I work with a fantastic group of finance professionals and R package authors to successfully organize and run R/Finance 2010-2017. Currently organizing R/Finance 2018.

R/Finance Conference

Committee Member

FOSS Finance specializes in:
 - R training and consultation
 - Custom, R-based APIs
 - Data Analysis
 - Process Integration and Automation
 - R code optimization

FOSS Finance

Owner

Worked with the team to create the proposal to host the international conference in Saint Louis. Part of the sponsorship sub-committee, responsible for sponsor outreach.

useR! 2020 Conference

NISA Investment Advisors, LLC

Quantitative Analyst

- Trading infrastructure development (C#, Java, FIX)
- Strategy analysis
- Quantitative analysis of market data
- Production strategy coding and deployment

DV Trading

Senior Quantitative Programmer & Analyst

- Assist the CIO with developing the investment platform for the Trust Company
- Develop and maintain debt and equity ranking models for individual equity securities
- Assess the analytic needs of managing Enterprise Bank's fixed income portfolio and implement the required systems and reports
- Develop internal programs to extend the analytic capabilities of third-party asset allocation software
- Support trading needs of Wealth Advisors and Trust personnel

Enterprise Bank & Trust

Senior Portfolio Analyst and Trader

- Assist in the enhancement and maintenance of models and methods to measure market risk, primarily interest rate risk associated with hedging of mortgage servicing rights
- Assist in the research and development of a robust system for duration/convexity measurement and construction of MBS profiles
- Use R to build model to predict MBS specified pool premiums, in order to better forecast monthly income
- Enhance interest rate simulation process to ensure all future yield curves have a reasonable shape, and projected rate changes have a specific volatility
- Assist in developing a VaR measure for the hedge portfolio, which required:
  1) using multiple imputation on relative coupon price changes (to impute down-coupons),
  2) using an EWMA of the output from (1) to create a EWMA relative coupon covariance matrix over time,
  3) converting the output from (2) to a absolute coupon covariance matrix and using a Brownian Bridge to simulate absolute prices
- Implement and test derivatives and mortgage valuation models using C++ and Python
- Assist in development, testing, and implementation of Algorithmics' risk watch system
- Assist in the statistical analysis of financial data

Wells Fargo Home Mortgage

Analytics Consultant - Hedge Research and Analytics

- Use QRM and proprietary spreadsheet models to perform valuations, forecasts, and return analyses on the existing whole loan portfolio and any new acquisitions.
- Minimized operational risk by fully integrating pieces of our valuation framework and automating the calculations of several model assumptions.
- Refactor Excel/VBA valuation code to cut run-time speeds by 80%.
- Redesign current analysis and reporting structure to replace outdated software and make it more automated and streamlined.
- Run regular analysis and reporting regarding the company's whole
loan portfolio activity and position.

Risk Management Consultant - Whole Loan Valuation

- Designed customer retention reporting infrastructure, analyzed customer transition characteristics, evaluated retention forecasting model and suggested improvements
- Developed sub-prime ARM reset analysis, which examined post-reset default risk due to higher mortgage payments and potential inability to refinance
- Enhanced short-term prepayment model accuracy via outlier detection and removal
- Used R to decompose interest rate model performance from overall prepayment model performance
- Wrote a C++ plug-in to greatly improve Stata aggregation speeds
- Enhanced and automated production processes – making them more flexible, robust, and easier to run/debug

Risk Management Consultant - Servicing Portfolio Management

- Contributed to memos and presentations on current economic/monetary policy issues and financial conditions for FOMC briefings and Federal Reserve publications
- Co-authored “The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market” Forthcoming in the Journal of Financial and Quantitative Analysis
- Manipulated and summarized high-frequency options, futures, and foreign exchange data in SAS and GAUSS
- Used R to 1) estimate implied forward rates, and 2) determine optimal regression lag structure
- Acquired and manipulated data from multiple sources (e.g. Haver, CME, Tick Data)

Federal Reserve Bank of St. Louis

Research Analyst

- Used Excel/VB to include non-traditional asset classes in asset allocation optimization tool
- Conducted statistical portfolio analytics (risk/return, pro forma, tracking error) for client presentations
- Automated portfolio rebalancing ticket generator in Excel/VB and recommended portfolio allocations

Joshua Ulrich