Victor Zhorin


The Becker-Friedman Institute, Chicago, Illinois 2016 – Present

Senior Researcher

      Climate modeling using highest complexity Earth models to estimate long-run economic risk effects, statistical analysis (vector auto regression, NLM, circular bootstrap) of massive (tens of terabytes) geophysical data

      Development of new numerical methods to be used in new generation of macroeconomic models with financial sector for systemic risk analysis

      Development of new techniques for uncertainty quantification in highly non-linear stochastic models

      Open-source repository for macroeconomic models and cross-model analysis, use-case scenario development, usability and unit test performance metrics

UNIVERSITY OF CHICAGO, Computation Institute, Chicago, Illinois 2007 – 2015

Senior Research Associate(Enterprise Initiative, CFSP)

      Extensive (>10 years) Mathematical Programming, Optimization, Statistics, Regression modeling and Multivariate predictions. Latest research: design and development of wealth management software to balance household finances. Implementation in Matlab and R, with data from large databases (SQL) and flat files (CSV, Excel). Unique experience in developing non-linear stochastic models for data estimation applicable for financial and health services industries.

      Financial modeling: instruments, contracts, market simulation to optimize portfolio allocation in presence of multi-dimensional risk.  Strong understanding and extensive experience modeling the correlation across instruments in portfolios.

Scientific Research Programmer-Parallel Computing 10/2007 - 4/2010

      Scaled up economic stochastic growth models involving thousands of agents running heterogeneous decisions in parallel. Mainly Matlab implementations, on top of academic clusters (hundreds-to-thousands of cores).

      Processed and modeled large data sets, consisting of country-wide surveys (~GB) of household data from Thailand. Clustered data by states, generated local prediction models of growth. Overlaid data on map (Analytics/Visualization). Very fast, parallel computation.

CITADEL, Chicago, Illinois 2010 Consultant

      Advised on analytical and numerical methodologies applied by hedge funds and derivatives trading desks to price complex derivative securities and devise arbitrage strategies. Used advanced models of option pricing with application to real data.

      Partial Differential Equations and Monte Carlo implementation of Asian/exotic options pricing

UNIVERSITY OF CHICAGO, Chicago, Illinois 2004 – 2007

Analyst (Student and Development Applications department)

      Scalability and Infrastructure design and implementation: worked on Project Gargoyle to successfully transition divisions to a new information system: multi department requirement gathering, client engagement, technical design, implementation, collaboration across functional units inside the University and with external agencies

      Designed and implemented computational engine in C/C++ to resolve Multi-Object Auctions with LP/IP using Vickrey pricing for the job interview scheduling system that has been in use since 2001 at the University of Chicago Graduate School of Business job placement office

ARGONNE NATIONAL LABORATORY, Argonne, Illinois 1997 – 2000Visiting Scientist, Heavy Elements Photophysics and Photochemistry Group

      Monte-Carlo simulations of radiation damage and recovery in nuclear waste forms


UNIVERSITY OF CHICAGO, BOOTH SCHOOL OF BUSINESS, Chicago, Illinois 2009 Master of Business Administration with HonorsConcentrations in Analytic Finance, Entrepreneurship, Economics, and Econometrics

Kuban State University, Krasnodar, Russia 1993 PhD in solid-state physics, finding a new class of near-, and mid-IR laser sources with high average power using models and experiments


      2009: 3rd prize ($10,000) in 4th IB Trading Olympiad with 88% absolute return on $1M portfolio in 2-months of algo trading using index funds, currencies, options and futures

      2007-2009: Chicago Booth School of Business, Deans Honor List


      Programming: C, C++, Python, Matlab, R

      Mathematical libraries: linear/integer optimization with LINDO, GUROBI, non-linear optimization, parallel computing, numeric libraries (IMSL, LAPACK, BLAS).

      Scalability: cloud computing, large-scale computing on IBM BlueGene supercomputer;

      Databases/SQL: Microsoft SQL Server, Postgres, MySQL

      Published/submitted multiple papers in Economics, Data Science and Physics journals


      US Citizen

      Interests: long-distance running