Systematic Credit Research and Fixed Income Analytics
- Built and paper-traded a multi-factor systematic credit strategy for the investment-grade corporate universe with the IG corporate portfolio managers, combining peer-relative spread, fundamental, and equity momentum signals.
- Partnered with Quantitative Engineering leads to build a strategy evaluation framework, testing signals through historical backtests net of trading costs, Newey-West t-tests, and forward performance projections.
- Re-engineered pre-trade analytics for the IG corporate bond desk, including Nelson-Siegel relative-value curves and a consolidated view of dealer quotes.
- Built a centralized view of CLO performance for the high yield portfolio managers, using Frongello linking for multi-period attribution.
- Python
- SQL
- Snowflake
- Streamlit
- dbt
- SciPy
- scikit-learn