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Data Scientist | Quantitative Analyst trained mathematician with 3 years of experience in the financial sector.
Mattias Franchetto
,
London, United Kingdom
Experience
Other titles
Skills
I'm offering
Data Scientist | Quantitative Analyst trained mathematician with 3 years of experience in the financial sector. Time series analysis, exploratory data analysis, feature engineering, supervised and unsupervised learning, data classification, data viz, mathematical modeling, market and credit risk modeling, business analysis, business intelligence, prototyping.
Markets
United Kingdom
Links for more
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Language
English
Fluently
French
Fluently
Italian
Fluently
Ready for
Larger project
Ongoing relation / part-time
Full time contractor
Available
My experience
2019 - ?
freelance
Mathematician - Data Science Contractor
Self-employed.
Remote
• Responsible for the mathematics underlying a new jackpot card game and its simulations.
• Analysed consumer data for mobile applications and property managers.
• Responsible for the mathematics underlying a new jackpot card game and its simulations.
• Analysed consumer data for mobile applications and property managers.
Data Science, Science
2016 - 2018
job
Data Scientist
Swiss Re.
United Kingdom
• Maintained and enhanced Swiss Re internal market and credit risk systems.
• Daily interaction with both senior and non-senior stakeholders.
• Designed and implemented new risk measures for both market and credit tabular models.
• Prototyped and implemented a new Limit Monitoring framework within tabular model.
• Designed and implemented new Tableau dashboards for risk exposure visualization.
• Active member of Swiss Re internal blogs regarding DAX modeling and optimization.
• Prototyped a portal between different risk / pricing systems (FRP and SRLib) in C#.
• Modelled non-linear correlation between different risk factors using non-symmetric copulae.
• Predicting efficient internal risk transfer through IGRs using Machine Learning.
• Anomaly detection using Neural Networks.
• Maintained and enhanced Swiss Re internal market and credit risk systems.
• Daily interaction with both senior and non-senior stakeholders.
• Designed and implemented new risk measures for both market and credit tabular models.
• Prototyped and implemented a new Limit Monitoring framework within tabular model.
• Designed and implemented new Tableau dashboards for risk exposure visualization.
• Active member of Swiss Re internal blogs regarding DAX modeling and optimization.
• Prototyped a portal between different risk / pricing systems (FRP and SRLib) in C#.
• Modelled non-linear correlation between different risk factors using non-symmetric copulae.
• Predicting efficient internal risk transfer through IGRs using Machine Learning.
• Anomaly detection using Neural Networks.
Machine learning, C, Tableau, Blogs, Monitoring, Visualization, Portal, Framework
2015 - 2016
job
Research Assistant
ETH Swiss Federal Institute of Technology.
Switzerland
• Calibration of a fast sequential Monte Carlo method using C++ within D. Sornette's research group.
• Latent variables extraction from discretely realized stock prices via Particle Filter (PF).
• Implementation of a Simultaneous Perturbation Stochastic Approx. (SPSA) algorithm for PF calibration.
• Modified profile likelihood approach to sequential optimization.
• Value-at-Risk, Expected Shortfall and crash probability estimation.
• Calibration of a fast sequential Monte Carlo method using C++ within D. Sornette's research group.
• Latent variables extraction from discretely realized stock prices via Particle Filter (PF).
• Implementation of a Simultaneous Perturbation Stochastic Approx. (SPSA) algorithm for PF calibration.
• Modified profile likelihood approach to sequential optimization.
• Value-at-Risk, Expected Shortfall and crash probability estimation.
Research, C, Implementation
2014 - 2014
internship
Computational Data Scientist Intern
Swiss National Supercomputing Centre.
Switzerland
• Extended an existing Matlab solver for a maximum entropy distribution estimation problem.
• Ported components of the resulting solver to C++ for parallel architectures using the Message-Passage-Interface.
• Implemented a parallel I/O strategy with the NetCDF library.
• Extended an existing Matlab solver for a maximum entropy distribution estimation problem.
• Ported components of the resulting solver to C++ for parallel architectures using the Message-Passage-Interface.
• Implemented a parallel I/O strategy with the NetCDF library.
C, Matlab, Internal
2009 - 2010
job
Professional Football Player
Staines Town Fc.
United Kingdom
2007 - 2009
job
Professional Football Player
Calcio Como.
1907 - Como, Italy
My education
University of Lugano
Masters, Finance
Masters, Finance
Stochastic Volatility State
N/a, N/a
N/a, N/a
ETH Swiss Federal Institute of Technology Zurich
N/a, N/a
N/a, N/a
Swiss National Supercomputing Center
N/a, N/a
N/a, N/a
University of Lugano
N/a, Advanced Business Valuation Competition (Minor in Mathematics)
N/a, Advanced Business Valuation Competition (Minor in Mathematics)
n/a
BSc, Mathematics
BSc, Mathematics
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