# Fernando Rocha Urbano

> Software Engineer at AQR | MS in Financial Mathematics at The University of Chicago

Location: New York, New York, United States
Profile: https://flows.cv/fernandorochaurbano

Professional Website:
- https://fernando-urbano.github.io/extra-docs/

E-mails:
- fernando.rocha.urbano@gmail.com
- fernandourbano@uchicago.edu

GitHub:
https://github.com/Fernando-Urbano?tab=repositories

Most Recent Experience:
- Software Engineer at AQR Capital Management, Greenwich, USA (2024)
- Financial Mathematics Master’s student at the University of Chicago (2023 - December 2024)

Skills:
- Econometrics and Machine Learning
- Software Engineering
- Time-Series Forecasting
- Leadership
- Portfolio Management

Tools:
- Python, Java, R, C++, JavaScript, SQL, VBA (from most to least proficient)
- Django, SpringBoot, Maven, Excel, React, Node, Docker, AWS, GCP, Azure

## Work Experience
### Software Engineer @ AQR Capital Management
Jan 2025 – Present | Greenwich, Connecticut, United States

### Teacher Assistant @ University of Chicago
Jan 2024 – Jan 2024 | Chicago, Illinois, United States

### Software Engineer Intern @ AQR Capital Management
Jan 2024 – Jan 2024 | Greenwich, Connecticut, United States

### Quantitative Developer @ Absolute Investimentos
Jan 2023 – Jan 2023 | São Paulo, São Paulo, Brazil
- Developed OOP risk system with Python and SQL, useful to implement backtests and quant strategies. Focused on the implementation of options, futures, and forwards, with particular attention to FX and interests rates products on CME and BMF. Currently, it saves 15 hours/week of a senior analyst in exposure calculation and adjustment of pension funds positions.
- Created a VaR simulator in Excel and Django app using API in VBA, Python, SQL Server, and Azure functions for the hedge fund portfolio managers. The software enable the calculation of VaR for a portfolio using multiple timeframes, metrics and methods such Skrinkage of the correlations and EWMA for returns.

### Data Scientist @ Inter
Jan 2022 – Jan 2023 | Belo Horizonte, Minas Gerais, Brasil
- Developed a project to define the probability of default of companies in credit cards using XGBoost and SHAP to assure a good relationship between variables.
- Created time-series models to understand and predict how shifts in macroeconomic factors affect the default rate of each homogeneous credit risk group.
- Created a model to cluster new clients into different groups (use of K-Means with T-SNE, PCA, silhouette and elbow). With a priori knowledge, created “personas” for each cluster in order to separate clients with high capacity of payment and income from those without them. Deployed model to give information to (i) the credit politics area to assign different processes for new clients with better credit characteristics, and (ii) the commercial and investment sector.

### Macroeconomics and Strategy Research Analyst @ Inter
Jan 2021 – Jan 2022 | Belo Horizonte, Minas Gerais, Brasil
- Mentored and trained all the area interns. Responsible for hiring and creating dynamics to hire new interns for the Macroeconomics, Credit and Equity Research sectors.
- Produced monthly 13 reports on average about new data and perspectives on inflation, activity and the job market in Brazil, often mentioned by Bloomberg, and Investing.
- Produced with the chief economist monthly report to advise portfolio strategic and tactical allocation (use of Black Litterman and VaR). Created and updated 4 portfolios separated by the amount of risk tolerated which were the one and major proposition for Inters client`s investment, advisors, and bankers to follow.
- Led the construction of a system of short-term forecasting of the Brazilian economy predicting each sub-index of activity and employment choosing the model (between XGBoost, Random Forest, SARIMAX, and types of Elastic Net) for each sub-index that would minimize, in accordance with time series cross-validation, the MSE of the larger index. The system was successful due to the reduction of MSE and the possibility to create alternative scenarios for yield curve, and basic interest rate and see how the changes would affect the forecast.
- Presented, on a weekly basis, perspectives, and current situation of the Brazilian and American economies to the bank treasury and wealth management departments.
- Created and deployed risk model using RIDGE for portfolio management (point of minimum variance using extreme weights penalization) of the Equity Research Portfolio, which was also replicated in hedge funds, and reduced the annual volatility by 2,2 p.p. on average when comparing to the previous method of equal weights.
- Led the creation and deployment of a system to update and save more than 4 thousand graphics about economics and markets on a daily basis.

### Macroeconomics Research Intern @ Inter
Jan 2020 – Jan 2021 | Belo Horizonte, Minas Gerais, Brasil
Inter is the second-largest digital bank in Brazil. Inter was founded in 1994 and, in 2015, became the first 100% digital bank and was the forerunner in offering a fully tariff-free deposit account. Today, Inter has 24+ million users and has expanded its purpose by creating a “super app” and offering insurance, investment platform, asset management, sell-side research, cell phone carrier, and marketplace. Inter expects an annual revenue of R$ 4,9 billion in 2023, and currently employs 4.960 people. As an Intern I:
- Developed data visualization for all the Research analysts’ reports.
- Made reports and forecasts about industrial activity and IGP-M price index.
- Created and automated government treasury supply, and hedge funds reports using Python and R.
- Taught a course about R to the sector’s analysts.

### Intern @ Nau Capital
Jan 2020 – Jan 2020 | Belo Horizonte, Minas Gerais, Brasil
Nau Capital is a multi-family office founded in 2020 located in São Paulo, Belo Horizonte, and Goiânia. It structures private deals and developed an asset management department focused on charitable work. Nau Capital won Brazil Advisor Awards as the best investment advisory for private clients in 2022. I was the first intern at the company and I:
- I was responsible for structuring the business, solving bureaucratic problems.
- I develop clients’ portfolios, create reports about the Brazilian economic and political situation, and summarize the current view of the most prestigious Brazilian hedge funds.

### Intern @ Vermont Investimentos
Jan 2020 – Jan 2020 | Belo Horizonte, Minas Gerais, Brasil
Vermont is an investment management company focused on Fixed Income founded in 2010 and located in Belo Horizonte. During my time in Vermont, I:
- Was responsible for doing financial analysis, operational support, and confecting portfolios to clients.
- Created a spreadsheet to price and visualize options and options’ strategies used to show clients their possible outcomes.
- Automated monthly reports of profitability using Python (reportlab and pandas).

### Project Manager @ Ibmex
Jan 2019 – Jan 2019 | Belo Horizonte e Região, Brasil
Ibmex is a business consulting company founded in 2002 and focused on helping small and medium-sized businesses with projects related to process management, financial planning and consulting, business, strategic and marketing planning, inventory management, and exporting consulting. During my time in Ibmex I had the following positions:
- Project Manager for Bella, company of Boticario’s franchise: mapping and optimizing processes of the Administrative, Financial, Commercial, Human Resources and Shopping areas.

### Project Consultant @ Ibmex
Jan 2018 – Jan 2019 | Belo Horizonte e Região, Brasil
- Project Consultant in Financial Planning for a medical clinic: use of accounting and business theory, and advanced Excel to create automated spreadsheets for financial management.
- Project Consultant in a Process Mapping project for Construtora Barbosa Melo: mapping, redesign and optimization of the company's supply process working during the month of January in Conceição do Mato Dentro on dams and earthworks.

### Teacher Assistent @ Ibmec
Jan 2018 – Jan 2018 | Belo Horizonte e Região, Brasil
TA of Statistics in IBMEC-MG University. Taught:
- Distribution of continuous probabilities (normal, “t” and exponential);
- Analysis, description and interpretation of data;
- Descriptive statistics; Sampling Techniques;
- Discrete and continuous random variables;
- Probability theory;
- Discrete probability distribution (Binomial, Poisson and Hypergeometric);
- Continuous distributions of probabilities (normal and exponential);
- Index numbers.


## Education
### Master of Science - MS in Financial Mathematics
University of Chicago

### Bachelor of Arts - BA in Economics
Ibmec

### Summer Course in Quantitative Portfolio Management and Algorithmic Trading
University of Chicago


## Contact & Social
- LinkedIn: https://linkedin.com/in/fernando-rochaurbano
- Portfolio: https://fernando-urbano.github.io/extra-docs/

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Source: https://flows.cv/fernandorochaurbano
JSON Resume: https://flows.cv/fernandorochaurbano/resume.json
Last updated: 2026-04-13