Victor Zhorin


The Becker-Friedman Institute, Chicago, Illinois 2016 – 2017

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)

      Main Contribution: Build stochastic dynamic programming models for household financial decision making based on big data sets
including variety of geophysical and socioeconomic data
Clustered data by provinces and localities, generated local predictions
Used innovative methods to represent complex data (Analytics/Visualization)
Purpose: evaluate microfinance initiatives and credit expansion under different policies
Result: Papers published, presentations at Cowles Foundation, Norges Bank, American Economic Association meetings, Harvard, MIT, Federal Reserve etc

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 2001 – 2007

      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 – 2000
Visiting Scientist, Heavy Elements Photophysics and Photochemistry Group

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


Master of Business Administration with Honors
Concentrations 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 materials 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: Python, Matlab, R, SAS, C, C++

      Mathematical libraries: linear/integer optimization with LINDO, GUROBI,
non-linear optimization, parallel
computing, numeric libraries (IMSL, LAPACK, BLAS),
machine learning (RNN, NLP, tensor computing)

      Scalability: cloud computing, large-scale HPC computing on IBM BlueGene supercomputer, TACC, Stampede

      Databases/SQL: Microsoft SQL Server, Postgres, MySQL

      Published many papers in Economics, Data Science and Physics journals


      US Citizen

      Interests: long-distance running