CV

Professional Interests

Asset Allocation and Systematic Strategies

Work Experience

BWGI - Asset Allocation (2023 - Present)

Research, development, and implementation of strategic asset allocation portfolio. Research on systematic investing overlays for fixed income, equities, credit, commodities, and FX to support structural portfolios. Systematic macro strategies to support tactical decisions.

Insper - Teaching Assistant (2010 - Present)

Asset allocation, quantitative finance, derivatives and fixed income for the master’s in economics program
Programming (VBA and Python), statistics, and econometrics for the undergraduate program
Mathematics for the ANPEC exam

BWGI - Macroeconomic Research (2015 - 2023)

Detailed coverage and forecasting of Brazilian inflation to support fixed income discretionary trading. Analysis of the Brazilian balance of payments and FX flows for discretionary FX trading.

Itaú BBA – Macroeconomic Research (2011 - 2012)

Trainee economist for Latin America and commodities on Ilan Goldfajn’s (Former president of the Brazilian central bank) team. Econometric modeling and projections. Monitoring macroeconomic and political scenario. Research to support traders’ decisions.

Education

Master’s in Economics – PUC-Rio (Rio de Janeiro, Brazil, 2013 - 2015)

Dissertation: “Changes in the Brazilian yield curve responses to monetary shocks”.
Advisor: Carlos Viana de Carvalho (Former Monetary Policy Director of the Brazilian Central Bank)

Bachelor’s degree in Economics – Insper (São Paulo, Brazil, 2008 - 2012)

Graduation Paper: “Estimating Brazilian Central Bank preferences under the inflation target regime”.
Advisor: Juan Jensen

CQF – Certificate in Quantitative Finance (2021)

Final project available here. Focused on denoising covariance matrices and using carry as expected returns in the Black-Literman model for a portfolio of currencies.

Data Science Specialization - Insper (2017)

Classic machine learning models for regression and classification.

Deep Learning Specialization - Coursera (2020)

Architecht, program and train large neural networks for classification, regression, computer vision and natural language.

Developer Experience

Author and maintainer of DSGEpy, a python library to calibrate, estimate and analyze linearized DSGE models
Author and maintainer of pyAA, an all-around finance python library

Gustavo Amarante

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