Soham Mudalgikar

Background

About Soham Mudalgikar

I’ve always been drawn to the subtle signals within financial data—those hidden indicators in equities and fixed income markets that can make or break a strategy. Currently pursuing a Ph.D. in Operations Research at North Carolina State University, I’ve spent over five years designing quantitative models and improving risk management (credit/market risk) outcomes by combining machine learning & AI, econometrics & time-series analysis, and mathematical & statistical foundations. Key Achievements: • Engineered low-rank factor models using random matrix theory and PCA, capturing 95% of the variance in U.S. equity ETFs and market portfolios. • Built algorithmic strategies for VIX futures via GARCH and LSTM, achieving 24% annualized returns with just 2.9% maximum drawdown during backtesting. • Created credit risk assessment tools with SVM and gradient boosting, increasing predictive accuracy by 25% and lowering default surprises. • Employed extreme value theory and Monte Carlo techniques to estimate Value at Risk (VaR) and Expected Shortfall (ES), mitigating losses by 15%. Skills: • Programming: Python, C++, MATLAB, R, SQL (data analysis & manipulation) • Model Validation: Ensuring regulatory frameworks (Basel FRTB, CECL, CCAR/DFAST) • Derivatives & Structured Products: Options, Futures, Swaps, Caps, Floor, Bonds, ABS, MBS • Portfolio Optimization and Performance Attribution for enhanced returns and risk controls • Stress Testing & Scenario Analysis to diagnose market shocks and build resilient portfolios My passion lies in bridging theory and practice to deliver data-driven insights that inform both trading decisions and long-term risk strategies. I thrive on SQL queries, quick data pivots, and applying advanced quantitative modeling solutions—ensuring capital efficiency and regulatory compliance for diverse institutions. I’m eager to contribute to a forward-thinking team in a quantitative researcher or quantitative analyst capacity, focusing on model validation, equities, fixed income, or integrated credit/market risk solutions. Let’s connect to discuss how my experience can bolster your financial decision-making and drive measurable results. Feel free to reach out via LinkedIn or contact me directly at mudalgikarsoham@gmail.com.