# Mza Khan

Mza Khan is a remote worker on Himalayas, Quantitative Analyst at RBC Capital Markets, based in United States.

Source: https://himalayas.app/@mzakhan

```text
Quantitative Analyst in capital markets who automated hedging, cutting PnL variance by 23% on a $150M book.
```

| Detail | Value |
| --- | --- |
| Availability | Looking for a job |
| Location | United States |
| Authorized to work in | United States |
| Salary expectations | 71k+ CAD |
| Job categories | Quantitative Analyst, Quantitative Developer, Data Scientist |
| Skills | Equity Derivatives, Derivatives Pricing Models, Risk Analytics, Risk Management, Automated Hedging, QIS Strategy Automation, Quantitative Finance, Statistical Modeling, Machine Learning, Credit Risk Modeling, Monte Carlo Simulations, Finite Difference Method, A B Testing, Data Science, Data Structures |

## About

```text
At RBC Capital Markets, I collaborated with traders on an automated hedging solution that reduced hedging PnL variance by 23% on a $150M book. I also developed C++ pricing modules integrated into the front-office platform, accelerating deal pricing from 120 ms to 45 ms.

At BMO Capital Markets, I automated three QIS strategies with Python and KDB, handling 847 client portfolios daily. I also produced real-time risk dashboards for tracking PnL across 1,200+ instruments.

At Ford Credit, I built credit risk scoring models that reduced default prediction error by 18% on a 50K-loan dataset. I designed automated data ingestion workflows that shortened data preparation from five hours to 45 minutes.

Earlier, at Capital One, I used statistical and machine learning models to optimize marketing spend, raising campaign ROI by 28%. At TD Securities, I developed C++ equity option pricers and a Python Greeks calculation engine for trader terminals.
```

## Experience

### Quantitative Analyst

RBC Capital Markets. Aug 2022 - Apr 2023

```text
Collaborated with traders to architect a next-gen automated hedging solution, reducing hedging PnL variance by 23% on a $150M book. Developed pricing modules in C++ and implemented machine learning models to forecast option Greeks.
```

Skills: C++, Python, Machine-Learning, Docker, Kubernetes, REST-APIs, Regression-Models, Listed-Options-Greeks, Automated-Hedging

### Quantitative Developer

[BMO Capital Markets](https://himalayas.app/companies/bmo). Jul 2021 - Jun 2022

```text
Automated three core QIS strategies with Python and KDB, handling 847 client portfolios daily and boosting throughput by 35%. Produced real-time risk dashboards using Kafka streams and React.js.
```

Skills: Python, KDB, Kafka, React, Data-Pipelines, C++, ETL, Real-Time-Analytics

### Data Scientist

Ford Credit. Mar 2020 - Jul 2021

```text
Built credit risk scoring models in scikit-learn, reducing default prediction error by 18% on a 50K-loan dataset. Designed automated data ingestion workflows in Python, integrating SQL and Spark.
```

Skills: Python, scikit-learn, SQL, Spark, Logistic-Regression, Random-Forest, A-B-Testing, Data-Ingestion

### Quantitative Analyst

[Capital One](https://himalayas.app/companies/capital-one-national-association). May 2019 - Mar 2020

```text
Applied statistical techniques and machine learning models to optimize marketing spend, raising campaign ROI by 28% across 156 segments. Structured C++-based Monte Carlo simulators for consumer loan pricing.
```

Skills: Python, C++, Machine-Learning, Statistical-Modeling, Monte-Carlo-Simulations, Marketing-Analytics

### Quant Developer

TD Securities. Aug 2016 - Nov 2018

```text
Developed equity option pricers with Finite Difference Methods in C++, improving pricing accuracy within 0.5% of market quotes. Engineered real-time Greeks calculation engine in Python, integrated into trader terminals via ZeroMQ.
```

Skills: C++, Python, Finite-Difference-Method, Option-Pricing, ZeroMQ, Real-Time-Systems

## Education

### Technical University of Munich

Master of Science, Computational Mechanical Engineering

```text
Master of Science in Computational Mechanical Engineering, part-time, still enrolled.
```

### City University of New York

Bachelor of Science, Computer Science

```text
Bachelor of Science in Computer Science from the City University of New York.
```

## Tech stack

- Kubernetes
- NumPy
- Pandas
- Python
- C++
- scikit-learn
- Kafka
- ZeroMQ
- Linux
- Git
- Docker
- SQL
- AWS

To contact Mza, message them from this profile with a Himalayas employer account: [Hire on Himalayas](https://himalayas.app/hire).

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