SKILLS:

Statistics/SQL and Programming: VBA, SAS, R, SQL, Matlab, Python

Computational Problem Solving: Algorisms, Approximation, Optimization, Bisection, Convergence

Data Analysis Tool: Monte Carlo Simulation, decision tree, linear& logistic regression, time series, copulas (joint probability correlation)

Risk Management: VaR, Black Scholes, Basel, EAD, PD, LGD, CVA, IRC, CRM

Financial Data/Risk Software: Bloomberg, QRM, Murex

Finance/Accounting: FRM, CPA, Dodd Frank, Volker, EPS, Sarbanes - Oxley

Reporting and ERP Software: SharePoint, Hyperion, People Soft, SAP

Tax Research/Software: Checkpoint, BNA, Pro fx

WORK EXPERIENCE:

Confidential, Stamford, CT

Rates IPV Analyst

Responsibilities:

• Design independent yield, basis and OIS curve for US rates trading swap/option desk and emerging market based on TOTEM and broker quotes such as Prebon and ICAP from Bloomberg.
• Intra month and month end IPV testing of Interest Rate Swap, Vanilla Option, Bermudan Option, Midcurve Option and CMS related Products
• Communicate with desk to validate variance attribution and if any, escalate risk issues to senior management.
• Analyze the convexity of FRA with EURODOLLAR future contract.
• Perform monthly TOTEM submission of USD/CAD Yield and Basis, Inflation, Swaption, CapFloor, Bermudan and Midcurve.
• Implement monthly bid/offer reserve and CME/LCH basis reserve calculation for US rates-trading swap and option desk.
• Perform monthly delta reconciliation by book/desk and prepare monthly IPV review pack.
• Write and maintain Excel VBA and Access database/SQL server to implement methodology and guarantee efficiency & accuracy.
• Write Python Scripts to capture data from GDS and MDX Data warehouse and load it into Excel Files for calculating results
• Implement valuation uncertainty framework and prudential valuation framework across assets to count in stressed scenario for capital charge.
• Collaborate with London IPV team to advance project of IPV full valuation.

Treasury Management Analyst

Confidential

Responsibilities:

• Assist with the development and maintenance of internal and regulatory liquidity risk management related reports and metrics monitoring;
• Ensure proper escalation of risk issues to senior management; highlight the need for enhanced control metrics as needed.
• Assist in performance of stressed residual interest valuation of complex financial instruments and derivatives such as future clearing for liquidity stress test purpose with 99.7%, 1 day SegVaR and 99.7%, 5 day Portfolio VaR.
• Assist in performance of Monte Carlo simulation tool to quantify haircut standard deviation for collateral funding transaction like repo and reverse-repo in both stressed and BAU environments.
• Assist in maintenance of liquidity stress testing models of CIB Americas based on EPS rule.
• Aid in management of the CIB Americas Liquidity and Funding Policies (including Contingency Funding Plan) to ensure they meet local regulatory requirements and those of the Group.
• Engage with Collateral Trading and Short Term Markets to ensure proper execution and management of funding and liquidity in accordance with CIB Americas and Group risk appetite, liquidity and funding policies, and associated risk metrics.
• Produce required materials for senior management forums such as the Asset and Liability Management Committee (ALCO), Governance and Control Committee (GCC), and RBSSI Board Packs.
• Participate in ad-hoc projects within the wider local and global Treasury department
• Work with Treasury Technology support to develop and automate Treasury liquidity reporting and stress testing capabilities.

Confidential

AVP of Strategic Planning for Treasury & Market

Responsibilities:

• Ensured an appropriate limit framework existed to control the activity and an adequate systems infrastructure were developed to capture risk and P&L parameters efficiently, quickly and in ways consistent with other activities.
• Proposed, developed and implemented what-if and other tools to better analyze and track the day-to-day fluctuations of the daily risk usage reports.
• Independently reviewed and validated Market risk Macro in VBA for daily P&L explanation of both trading and banking book.
• Supported Treasury & market to develop, validate and implement capital management modeling involving market/credit risk for proactive capital planning, capital allocation and risk adjusted performance based on evolving regulatory environment with Python.
• Quantified Treasury & market economic capital risk with model of linear or copulas based risk aggregation based on different options of risk appetite with SAS.
• Analyzed risk diversification level and concentration based on risk correlation and assessed capital surplus/deficit over the planning horizon with market research and capability development with SAS.
• Assessed stress test impact on balance sheet, P&L and capital position of Treasury and Markets and other cross selling business units like whole sale banking and capital markets from shock to interest rate, exposure to credit crisis or other historical economic crisis.
• In conjunction with stress test framework, developed PPNR forecast in two separate models for balance sheet trends and pricing related trends with sufficient granular data source and linear regression method.
• Performed various aspects of risk controllership for the bank’s liquidity such as production of banks’ liquidity stress test, allocation of the drivers of liquidity to businesses, regulatory reporting of liquidity and funding, establishing controls around liquidity data.
• Performed the reporting for the Contingency Funding Planning (CFP) process and supporting Finance with analysis relating to the CFP (analyzing week to week liquidity, cash forecasting, and contingency changes)

Confidential

Officer of Asset Liability Management and Capital

Responsibilities:

• Performed bank wide CCAR stress test with economic outlook and analyzed CVA risk mitigation instruments under Basel III. Presented CFO the different result of advanced and standard method.
• Initiated FTP and CCAR platform revolution to better manage interest rate risk and regulatory economic capital and streamline management report.
• Coordinated both consumer banking and wholesale banking for Basel II model development and validation.
• Collected monthly stacked data, cleanse and sample data, and developed Basel II PD (probability of default), LGD (loss given default), EAD (exposure at default), downturn LGD, and TTC (through the cycle) PD models of home mortgage, commercial, real estate, and auto loan.
• Developed and validated LGD parameters to meet Basel requirements of Commercial and Industry (C&I) and Commercial Real Estate (CRE) portfolios by collaborating with bankers, policy administrators, and audit groups, and provided end-to-end contributions from data mining through statistical analysis and presentation to Senior Credit Executives and Regulators. Both quantitative methods and qualitative overlay have been used in the final wholesale LGD models as well as the microeconomic factors, i.e. GDP, unemployment rate, etc.
• Participated ALCO meeting to record the meeting minutes and recommended hedging strategy and structure for ALM and advised business of hedging effectiveness test with linear regression.
• Acted as the key contact for treasury, hedging and derivative bifurcation accounting inquiries.
• Performed client’s behavior analysis of saving account with R to maximize NII.

Confidential

Officer of Internal Control of Global Markets & Treasury

Responsibilities:

• Independently produced and certified the daily and monthly P&L and Balance Sheet.
• Independently validated various valuations and risk analytics of back-office systems.
• Conducted overall reviews and assessment of systems and control procedures from front desk to middle/back office with risk and reward.
• Maintained internal control standards under framework of both Sarbanes-Oxley and observed Group Compliance Policy and maintained awareness of operational risk and minimize the likelihood of it occurring.
• Escalated the significant issues of reputation, legal, counterparty, operational and compliance risks.
• Preserved work sheet for planning, organizing, conducting and controlling the overall audit as well as follow-up of audit recommendations.Contributed to the professional development of the internal control function and reclassified risk profile based on updated Sarbanes-Oxley and group policy.
• Provided support and information for various external auditors and regulators.

Confidential

Market Risk Analyst

Responsibilities:

• Reported daily factor sensitivity analysis (DV01 and Greeks) to management and traders with the knowledge of changing economic trends and financing structures and developed hedging strategy for the impact of balance sheet risk position. Used SQL to produce ad hoc report for management decision making.
• Implemented group risk and ALCO policies to manage market & liquidity risk, set FTP, monitored/reviewed trading/VaR limit, validated VaR with back test, and performed VaR stress test to monitor tail risk.
• Performed daily valuation of trading portfolio of fixed income, currency and complex financial instruments with mark curve.
• Performed analyses of the daily risk usage reports. This included reconciliation and investigation of data/position anomalies.
• Produced daily risks and prices for the desk’s positions, analyzed results, explained large moves and developed and maintained VBA tools to increase job efficiency.
• Performed timely report of liquidity forecast, liquidity coverage ratio, CCAR stress test.