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Notes

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vtzndkw5ct
Copyright
© © All Rights Reserved
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portfolio compliance

investment statistics study

aexeo real-time data

inquisitive

sensitivity analysis of accruals forecasting (y= trustee fee accr, x= average acct
balance, amount of discretionary investment recommendation, number of

process forward expiration

investigate KRI (key risk indicator) exceptions and present findings

currency forward curve comparison

extract pdf table content with python

investigate outliers in investment ror （with benchmark and drill down)

inter quartile return analysis

data extract

data cleaning (small dataset use excel, large dataset use python）

Non trading expense predictions

bootstrap investment allocation

calculate variance of returns of different strategies. if variance passes threshold


for 3 consecutive months, the allocation will be revisited (rebalance within group
or reallocate money across groups)

Find outlier rors. Values beyond 3 sigma

some outliers may need to be reclassed to a new strategy to avoid skewing the old
strategy

Provide analyses and reports to help client make decisions

trade data cleaning and transformation，upload trade data to system

review hedge fund liquidity analysis report prepared by Junior and senior staff

perform data validation on trade blotter

Dashboard for cash flow analysis

Nav analysis (nav, pnl, manual entries, derivatives)

Derivatives settlement analysis (settled and pending)

model for performance fee(GAV, cash flow, capital activity, indices, irr) and
management fee(mandate size, mandate duration)
model for interest accrual(average daily balances)
VaR of unhedged fx

backtesting

hypothesis test on eur stock loss greater than some number after Brexit

Challenge task: train new hire on a task that requires vba. But she didn’t have vba
exposure. Can’t train her on vba in one session. So taught her the basics of
running macro to make sure she can get on board first because finishing the task
and meet deadline is the priority. Then gradually taught her vba and encouraged her
to explore more.

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