Anthony Carr
I am a Staff Consultant.

About Me

Me
I work for the Quanititative Trading Book (QTB) practice here at Ernst and Young.

In QTB, we work with projects involving counterparty risk, enterprise risk, and derivative valuation. In addition, we offer a combination of quantitative, qualitative, regulatory, and technology skills along with broad industry experience to our clients. The practice assists financial institutions by driving efficiency, effectiveness, and balanced risk coverage across the organization’s governance, risk, and compliance activities.

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Engagements

Risk Modeling

Modeled Wrong Way Risk for general WWR detection.

Limit Setting

Produced material for stress testing limit calibration for regulatory compliance.

Model Governance

Documented measurement procedures for risk metrics such as Potential Future Exposure, CCR Stress Testing, and Settlement Risk.

My Projects

Monte Carlo
Monte Carlo Simulation for Valuation

Simulated a stock portfolio in Python, based on a Moving Average Cholesky Decomposition of 1000 simulations.

EFFF
Efficient Frontier

Used Python to optimize weights of a discrete number of stocks. Utilized SciPy, NumPy, and Pandas

Neural Network
Neural Network for Sentiment Analysis

This is a working project. News sites are to be webscraped and classified as positive or negative. The neural model will then index the top used words to predict overall sentiment.

Forex
Foreign Exchange Predictions

Ordinary Least Squares loss function was used to forecast Peso/USD value.

VECM
Impulse Response Functions from VECM

Tested the number of required lags for the predictors of US CPI to test impulses from each factor.

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