Andrey Loshakov

Experience

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  MDM Bank

  Feb 2010 - Feb 2011

  Leading Specialist, Retail Credit Risk Department

  • Collaborated on the implementation of new IT systems for debt collection department and anti-fraud department.• Developed fraud prevention strategy in retail lending.

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  Promsvyazbank

  Nov 2011 - Jul 2012

  Senior Specialist, Financial and Retail Risk Department

  • Developed credit risk strategy and decision making strategy in retail lending.• Prepared analytical reports and defended them to the board of directors.

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  OTP Bank (Russia)

  Jul 2012 - Sept 2014

  Portfolio Analyst, Risk Analysis and Regulation Department

  • Analyzed impact from new projects on credit portfolio quality and P&L.• Received an award for the best innovative project on risk mitigation and sales department motivation.

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  QuattroQuant

  Nov 2014 - Jan 2019

  Director of Quantitative Research

  • Developed a database of over 90,000 funds with automated weekly updates from various sources: the terminal, web scraping, and uploads from manually received spreadsheets from fund managers.• Implemented multilevel quantitative selection methodology for portfolio construction that allowed us to make portfolios with a stable outperformance over benchmarks from 2.4% to 9.2% annually depending on strategies and asset classes.• Increased the selection process efficiency by up to 8.3% of additional annual return by implementing k-means clustering model for fund strategy classification.• Tracked, rebalanced and defined tactical asset allocations for up to 5 fund of funds portfolios simultaneously.• Managed the 2nd best fund of mutual funds portfolio according to Jinniu Licaishi (金牛理财师) App competition.• Developed a tool for production of 6-page factsheet with full analytics for single fund and fund of funds portfolio.• Developed a neural network based market timing model with win rate of 55% and average daily outperformance of 0.14%. Show less

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  Andriyanov & Loshakov General Partnership

  Jan 2018 - Dec 2021

  Partner, Independent Researcher and Consultant

  Consulting and project services in data science, advanced analytics, and market modelling.• Performed over 20 consulting projects for clients across 6 countries where we were responsible for market modelling.• Co-managed a team of business-oriented analysts and consultants recruited from the University.• Collaborated on developing of prediction models for airport passenger traffic with up to 96% - 97% accuracy.• Fully automated the development of forecasts and output sheets using Python and Git version control and minimized the possibilityof making calculation mistakes due to inaccuracy and weaknesses of Excel.• Conducted 3 projects for clients that were planning to launch a new business/start-ups. Show less

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  Novosibirsk State University (NSU)

  Nov 2020 - Jul 2022

  Visiting Lecturer

  • Developing and teaching a semester-long course on "Portfolio Theory and Applied Asset Management" for international students at the Master’s program in Financial Management.• Lecturing on the concepts behind the three Nobel prizes received by financial economists: Markowitz’s portfolio selection theory, Sharpe and Lintner’s Capital Asset Pricing Model, and Fama and Shiller’s approach to market effciency.• Supervising Master’s Theses: – Exploring the relationship between company fair value and market value – student-mentee won 2nd place at the internationalstudent conference. – Studying the trading results of retail cryptocurrency investors. Show less

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  DataFork

  Dec 2021 - May 2022

  External Quantitative Researcher

  • Constructed more than 4000 statistical features based on news and social media data and sentiments that were further used in machine learning models to improve trading algorithms.• Achieved the return being up to 4 times higher than the risk for preliminary strategies before integration in ML models.• Worked with 3 different news data vendors: constructed statistical features based on differences between datasets.

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  Andriyanov & Partner Mathematicians and Economists PartG

  Jun 2022 - now

  Research Specialist
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  Individual Entrepreneur Andrey Loshakov

  Jan 2024 - now

  Freelance Data Analyst