Carlson School of Management,University of Minnesota
September 2008 to May 2009
New York City
July 2013 to August 2017
Greater New York City Area
Interest Rate Derivatives Consultant
May 2012 to June 2013
RBC Capital Markets
Consultant/ Quantitative Developer (Fixed Income)
January 2011 to February 2012
Greater New York City Area
StrongPoint Investment Management
Quantitative Analyst (Part Time)
June 2009 to October 2010
Allianz Life Insurance Company of North America
August 2009 to December 2009
Carlson School of Management, University of Minnesota,Minneapolis
Statistical Analyst/Research Assistant
January 2009 to July 2009
Castle Peak Capital Advisors,Minneapolis
June 2008 to August 2008
Teaching assistant for Pricing Strategy, Technology Marketing and Data Analysis for managers (MBA courses) at Carlson School of Management,University of Minnesota, Minneapolis. Teaching assistant for Pricing Strategy, Technology Marketing and Data Analysis for managers (MBA courses) at Carlson School of Management,University of Minnesota, Minneapolis.
What company does Vishal Kashyap work for?
Vishal Kashyap works for Carlson School of Management,University of Minnesota
What is Vishal Kashyap's role at Carlson School of Management,University of Minnesota?
Vishal Kashyap is Graduate Assistant
What industry does Vishal Kashyap work in?
Vishal Kashyap works in the Investment Banking industry.
Graduate Assistant @ Carlson School of Management,University of Minnesota Teaching assistant for Pricing Strategy, Technology Marketing and Data Analysis for managers (MBA courses) at Carlson School of Management,University of Minnesota, Minneapolis. From September 2008 to May 2009 (9 months) Data Scientist @ Morgan Stanley • Worked on to create trade pressure metric (buy/sell pressure) for futures and stocks on 15 second intervals. • Compared desk flow data to 13F filings and provided insights on potential opportunities for business growth. • Generated periodic reports on ETF/MF flow and positioning along with predicted returns after extreme moves.• Created crowding metric for Hedge Fund holdings to predict volatility on crowded stocks. • Run optimizer to find optimal hedge portfolio based on Barra Risk Factor Model.• Applied Machine Learning techniques in Python (Scikit-Learn, TensorFlow) on financial data for analysis and prediction. This included Regression (Linear/Lasso), PCA, Outlier Detection through Isolation Forrest, Clustering (K means, HDBSCAN), Random Forrest Regressor as well as Artificial Neural Network model (Auto Encoder). • IBES data based P/E calculations for index and sectors and also calculate Buyback Blackout Projections. New York CitySenior Engineer @ OneMarketData High Frequency Data Storage and Analytics.• Implemented Machine Learning methods (in Python (Numpy, Pandas, Scikit), PySpark, R) such as Regression, Decision Tree, Random Forest, Kalman Filtering and K means on tick data (top level quote and book). News feed sentiment analysis in Python with NLP module NLTK.• Wrote queries for back testing and quantitative calculations (TCA-Transaction Cost Analysis, Var, and Volatility).• Managed projects for two premium support clients related to Onetick configuration, data loading and validation. • Worked with Equities (TAQ, Wombat, Reuters etc) and Fixed Income (FINRA, Espeed, NYSE, Knight, MarketAxess etc) level 1 and level 2 tick data in loading them to Onetick and write query for data validation. From July 2013 to August 2017 (4 years 2 months) Greater New York City AreaInterest Rate Derivatives Consultant @ Murex • Working on client projects related to interest rate derivatives on pricing, booking, simulation and risk parameters calculation and interacting with developers to get the business requirements/bug fixes implemented • Implement prices for Swaps, Swaptions/Risk Participation Agreements (based on Black’s model, credit risk) in Excel/VBA, deal with Murex servers on Unix environment(upgrade, move files) • Reconciliation of market data by SQL (Sybase DB) query and debugging in C++ alike proprietary language • Performance test and valuation verification on upgraded library and creating documents explaining the results From May 2012 to June 2013 (1 year 2 months) New YorkConsultant/ Quantitative Developer (Fixed Income) @ RBC Capital Markets • Built C++ analytics server to calculate bond related numbers to support bond trading and market making • Built Asset Swap Spread calculator in C++ with real time price update• Worked on to build C++ model to price real time off run treasuries using cubic spline and PCA• Built VBA/Excel interface to analyze high frequency tick prices (treasuries, futures) stored in KDB data base • Created market scenario generator and stored tick data from Solace message bus to KDB table using C++ • Worked on Sybase database and executed queries through Excel/VBA, C++ and C#• Did research on trading strategy based on yield spread• Multiple projects in Python(parsed xml file, created real time log monitor and email alerts) From January 2011 to February 2012 (1 year 2 months) Greater New York City AreaQuantitative Analyst (Part Time) @ StrongPoint Investment Management • Design quantitative trading strategies in Matlab based on statistical arbitrage and momentum models• Back test and refine existing strategy to make it perform better using quantitative methods• Trade using technical indicators on Thinkorswim trading platform From June 2009 to October 2010 (1 year 5 months) Hedging Intern @ Allianz Life Insurance Company of North America • Participated into daily review and rebalancing of dynamic hedging of index linked Variable Annuities • Validated dynamic hedging models including delta calculator, futures solver and options solver using Microsoft Excel and VBA• Wrote VBA macro to retrieve index returns and implied volatility using Bloomberg API for Microsoft Excel• Did data validation of two databases using Microsoft Access From August 2009 to December 2009 (5 months) Statistical Analyst/Research Assistant @ Carlson School of Management, University of Minnesota,Minneapolis • Worked on a health care project trying to optimize a process involving heart attack patients using R• Applied several Statistical techniques including Multivariate Regression, GLM (Generalized Linear Models), POD (Partial One Dimensional Model), Logistic Regression From January 2009 to July 2009 (7 months) Summer Intern @ Castle Peak Capital Advisors,Minneapolis • Employed Bootstrap method to create zero coupon yield curve • Performed model validation (sensitivity test) of mortgage pricing model using C#, SQL, and Microsoft Excel• Generated yield curve scenarios implementing parallel shift and twist (using Cubic Spline) in C # From June 2008 to August 2008 (3 months)
Introversion (I), Intuition (N), Thinking (T), Judging (J)
1 year(s), 2 month(s)
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