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Vice President  Resume

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New York, NY

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SUMMARY:

  • 7 Years of Experience in both Buys - side and Sell-side doing fixed income/Multi-Asset analytics and derivative pricing/ valuation/risk modeling and quantitative investment strategy research.
  • Professional Working Knowledge in: Strategic and Tactical Asset Allocation/Portfolio Optimization, Structured Product/Interest Rate and Credit derivative (Vanilla and Exotic)/Mulit-Asset Modeling, Portfolio Risk/Credit Risk/Market Risk.
  • Working with Different Asset Classes: Equity and Equity Derivatives, Securitized Products, Structured Products and Credit Derivatives(Bond/CDS/CDX)/Interest Rate Derivative(Swaption/Cancellable Swap/Cap/Floor/CMS/ED future), and Alternative Investment.
  • Expert in Statistics, Econometrics and Machine Learning: Time Series Model (Long Memory Time series, ARIMA, Asymmetric GARCH, Hidden Markov, Regime Switching, Vector Autoregression), Linear/Nonlinear/Multivariate Filtering, Linear/Nonlinear Regression, GLM, Logistic Regression, Survival Analysis, Factorial Analysis, PCA, Nonparametric Analysis, Discriminate Analysis, Bayesian Statistics, High Dimension Copula and Data Mining (Decision Trees including CHAID and CART, Association Rules, Neural Networks, Cluster Analysis, KNN).
  • Strong Financial Mathematics Knowledge: Stochastic Process, Term Structure modeling(LMM,HJM), SABR, PDE, Jump Process, Options Pricing, Numerical Analysis, Finite Differential Method, Monte Carlo Simulation (Quasi MC, Variance Reduction Techniques), Back Testing, VaR, Binomial/Trinomial Trees.
  • Optimization: Linear/Nonlinear/Quadratic Optimization, Stochastic Programming, Robust Optimization, Dynamic Programming, Mixed Integer Programming, Conic Optimization,
  • Exceptional Programming and Database Application Skills: Excel VBA, C/C++11(STL, BOOST and etc),Python(Panda/Numpy/Scipy), Matlab, R, SAS, SQL.

TECHNICAL SKILLS:

Proficient in Database Software such as: MS SQL, ORACLE, MS Access, MySQL, Teradata

Proficient in Statistical Software and Simulation Software: R, SAS, Matlab, SPSS, ARENA, @RISK.

Programming applications such as: Excel VBA, C, C++, ILOG CPLEX.

Financial Data Applications: Bloomberg, Factset, YieldBook.

PROFESSIONAL EXPERIENCE:

Confidential

Vice President

Responsibilities:

  • Modeling VaR, CVaR and hedging strategies for Equity, Rates and Credit derivatives.
  • Fitting Different Curves and Volatility Surface, and risk factor approximation study.
  • Quantitative Methods used: Monte Carlo Simulation, Long Memory Time Series, PCA,LMM, Stochastic Volatility (SABR and Heston) and local volatility, Risk Neutral Pricing, GARCH, Multivariate Time Series Analysis, Multivariate T Copula,, Lasso Regression, Markov Switching.
  • Implemented models and developed applications using Python, VS C++ and excel VBA and applied Multi-threading and high performance computing to enhance the model.
Confidential

Vice President - Sr Quant Finance Analyst

Responsibilities:

  • Provide modeling support for multi-assets investment within Merrill Lynch Investment Management:
  • Simulated interest rate scenario using LMM SABR model: Calibration and implementation.
  • Tactical and Strategic Asset Allocation: Regime Switching with Hidden Markov Chain, Non-Normal Market Portfolio Optimization with skew and fat tail (Black-Litterman Copula Option Pooling Model), Z Score to combine value and Momentum, Relative Value Analysis using Error Correction Model, Factor Based Asset Allocation, Robust Portfolio Construction, Risk Parity, Second Order Cone Optimization.
  • Estimated static/time varying volatility and correlation using: Shrinkage, PCA, GARCH family model, DCC, Copula method.
  • Investment strategies research: Risk Budgeting, Performance Attribution, Style Analysis, Factor Analysis, Monte Carlo simulation.
  • Implemented/tested the model using with Matlab and C++ and document/monitor models.
Confidential

Pricing Financial Engineer (Contractor)

Responsibilities:

  • Validated implementations of various VN enhancements including: Prepayment model functional form updates, addition PSS models, Current Coupon models.
Confidential

Quantitative Strategist

Responsibilities:

  • Modeling and pricing interest rate sensitive securities (MBS, Interest rate derivatives) using LMM model.
  • Quantitative trading and hedging strategies development and backtesting using multivariate regression, Ridge regression and Kalman Filter.
  • Calculated and report risk measures such as duration, convexity and vega exposure, and VAR, sensitivity analysis, shock analysis and stress testing.
  • Portfolio risk attribution using factor model to monitor interest rate risk, credit migration and default risk and etc.
  • Extracted data from different data source (Bloomberg, Citi YB etc.) and clean data using SQL and SAS.
Confidential, New York, NY

Quantitative Analyst (Intern)

Responsibilities:
  • Backtested credit risk model using Merton approach and logistics regression.
  • Calculated transition matrix (cohort approach and hazard rate approach) and its Confidence Interval with bootstrapping, and predicted transition matrix using credit index method.

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