Zane Hassoun

I'm Zane

I am interested in building risk modes, forecasting tools and market facing systems. I currently work in Quantitative Risk at Charles Schwab. I completed a PhD in statistics at the University of York. Currently interested in fixed income hedging and MBS, and the way models behave when they have to run in real systems (see here) .

What I am working on

Forecasting, risk, and implementation.

A quick intro

I work on forecasting, market structure, and risk systems. I build models and tools that need to behave well under changing assumptions, messy data, and production constraints.

My background is in statistics and economics. My work spans risk, forecasting, market-facing modeling, and implementation, with a particular interest in financial products and the way models behave when they have to run in real systems. Outside that, I also spend time on fixed income hedging and MBS, which is one example of the kind of market problem I like working through.

Now

Quantitative Risk at Charles Schwab
Thinking about fixed income hedging and MBS
Building interesting projects and learning from them

Thesis Paper

Projects

Three projects that line up with how I think.

Forecasting Kairosis

Forecasting

Kairosis aggregates probability forecasts by estimating where the forecast stream changes and weighting the forecasts from the relevant segment more heavily.

The implementation, tests, and evaluation code are in the repo, so the method is available as something that can be inspected and reproduced.

GitHub repo Paper

Systems risk-engine

Systems

Risk engines, tooling, and implementation.

GitHub repo Paper

Fixed income quant-reasoning

Fixed income

Hedging MBS, duration, and rate risk when the regime moves faster than the hedge.

GitHub repo Example idea

More work

Links to the main artifacts.

Thesis

The full doctoral thesis in White Rose.

Open thesis

Paper

Kairosis on arXiv.

Open paper

GitHub

Main code and experiments.

GitHub profile