sohail waquee

Quantitative analyst with 5+ years of experience spanning derivatives, structured products, and systematic trading research. Skilled in designing and validating machine learning–driven alpha signals, robust back-testing frameworks, and portfolio risk models. Proven ability to bridge financial domain knowledge with applied statistics and production-ready Python tools. Currently seeking to deepen impact in a research-driven trading team with direct responsibility for model design, testing, and integration into live portfolios

Royal Bank of Canada | Senior Derivatives Analyst                                                                Nov ‘24 – Present

• Built Python/VBA tools for derivative exposure validation and reconciliation, reducing manual processes and enabling daily PnL tracking across 40+ institutional portfolios.
• Designed analytics modules to quantify sensitivity to Delta, Gamma, Vega, supporting hedging and risk decisions with production-ready outputs.
• Quantify Collaborated with portfolio managers to align pricing and risk analytics with live trading exposures and NAV integrity.

BMA International (Redtag) | Lead Business Performance Analyst                                          May ‘22 – Apr ’24

• Developed a Python-based forecasting model for inventory and pricing decisions, saving $50K in logistics and improving forecast accuracy.
• Led a Conducted statistical benchmarking of KPIs and industry trends to guide markdown and portfolio allocation strategies.

 Anand Rathi Wealth Limited | Senior Portfolio Analyst                                                       May ’19 – Apr ’22 

• Built maintained and pricing models for options, structured notes, and fixed-income trades on a $75M HNI portfolio
• Created real-time dashboards monitoring option Greeks and market exposure to improve pricing discipline and hedging accuracy. 
• Delivered strategic insights to senior executives and clients, supporting capital allocation and investment decision-making.
• Collaborated with internal fund managers and investment advisors to refine security selection and timing within equity, hybrid, and debt allocations.
• Participated in tactical adjustments of portfolios based on macro signals (interest rate cycle, inflation outlook), supporting both defensive and opportunistic positioning.

Quantitative Projects

• Built a mean-reversion pair trading strategy using the Engle-Granger test and Z-score band signals on US equities (AAPL, TSLA, MSFT, GOOG, NVDA) and implemented PnL tracking
• Designed Monte Carlo simulation tools to model VaR under multiple scenarios using Cholesky-decomposed correlation matrices and historical volatility

Master in Business Administration | Finance and Operations                                                Jul ’17 – Mar ’19

   Indian Institute of Management                                                                       

 Bachelor of Technology | Metallurgical Engineering                                                              Sep ’13 – May ’17         

   Jawaharlal Nehru Technological University