Paige Michael-Shetley

I am a Ph.D Candidate in Financial Economics. My research is in the area of quantitative trading of financial instruments, with a focus on Capital Structure Arbitrage.

* Valuation and analysis of client portfolios of financial instruments * Construction of derivatives pricing models in various programming languages and pricing software packages for vanilla and exotic derivatives and bespoke structured products across various asset classes, including FX, Equity, Rates, and Credit * Model Validation within Risk Management sphere

Coded, implemented, and validated the CreditGrades structural model in R to price CDS spreads. Coded a backtest in R of a relative value arbitrage strategy for investment grade CDS instruments. Wrote a customized grid search routine to perform robust model parameter calibration to market data on an industry-wise basis. Coded and tested a CDS pricing model employing a Heston stock diffusion with stochastic volatility. Found Sharpe ratios above 1 in most iterations of the simulation, including a ratio

Researched and reported developments in Bank of Japan monetary policy. Screened equities on firm's buy list for potential incidence of options backdating. Reviewed and reported on annual 10K filings of companies on firm's buy list. Commended for analytical, writing, and communication skills.

* Financial Mathematics * Asset Pricing * Credit Risk * Systematic Strategy (Thesis)

* Macroeconomics * Game Theory * Mathematical Decision Sciences (Minor)