Tel:402-***-****

FAN YANG acoxmc@r.postjobfree.com

http://www.linkedin.com/in/FanYang1989

EDUCATION

July 2012 – July 2013 NC, US

Duke University

M.A. in Computational Economics

GPA: 3.6. Took Duke Econ and Finance PhD’s core courses.

Sept 2009 – May 2012 London, UK

Cass Business School, City University London

BSc. (Honours) Investment and Financial Risk Management

First Class. Overall grade: 77.1

Best Final Year Research Paper Prize (1st/110 students).

Aug 2010 - May 2011 IL, US

University of Illinois at Urbana-Champaign

Exchange Student. GPA 4.0.

ACHIEVEMENTS

Qualifications CFA II; GMAT: 750/800; GRE: 1510/1600.

Computer R developer: Author and maintainer of package CommonTrend for cointegrated

time series analysis.

Proficient in data visualization (ggplot2) and literate programming (knitr).

Use SQL + SAS + R every day. Familiar with Python and VBA.

Expertise Data Science: Bayesian statistics. Machine learning (through Coursera).

Asset Pricing: Stochastic calculus. Hedging and pricing for options and derivatives.

EMPLOYMENT

July 2014 – present First National Bank of Omaha NE, US

Loss Forecasting Analyst

Personal Loan: Develop the loss forecasting model for campaign P&L and stress testing

(DFAST):

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Create a Probability Space that incorporates dynamics of accounts’ behaviours:

early pay, full pay, delinquent and charge off.

•

Use the Monte Carlo approach to get a robust P&L estimates.

Credit Card: Responsible for campaign loss forecasting. Use R to automate the original

Excel-based forecasting model:

•

Reduce the turnover time from 30 minutes to 1 minute.

•

Enable automatic diagnostic checking, visualization and documentation in one step.

July 2013 – July 2014 First National Bank of Omaha NE, US

Credit Risk Analyst

Credit Card Marketing Risk: responsible for marketing criteria and campaign evaluation.

Credit Card Inactive Closure Strategy:

•

Research on marginal cost/profit to maintain an inactive account, and search the

optimal closure points for different risk segments.

•

Work with IT to implement this strategy into TRIAD.

PUBLICATION

Peer Reviewed Yang, F., 2012. A note on cointegration methodology in studying stock markets

integration, Applied Economics Letters (SSCI indexed)

This paper found links between cointegrated systems and international CAPM: Assuming a

group of benchmark markets in a cointegrated system is fully integrated with global

markets, this article applies Gonzalo and Granger (1995) decomposition method, showing

that the single common trend in the system is a proxy for accumulated world portfolio

excess return and its loading vector is a vector of estimated betas in CAPM.

http://www.tandfonline.com/doi/abs/10.1080/13504851.2011.639731

R Package Yang, F., 2011. R package: ‘CommonTrend’: Extract common trends from a

cointegration system, The Comprehensive R Archive Network (CRAN).

Extract and plot common trends in cointegrated systems using different approaches (Kasa

1992 and Gonzalo and Granger 1995). Calculate the P-value of Johansen statistics

according to the approximation method proposed by Doornik (1998).

http://cran.r-project.org/web/packages/CommonTrend/index.html

HONOURS

Finalist for Gates Cambridge Scholars

Apr 2012

by Bill & Melinda Gates Foundation and University of Cambridge

Best Final Year Research Paper (1st/110 students)

May 2012

Cass Undergraduate Scholarship for high average in first year

2009-2010

2010-2011 Cass Undergraduate Scholarship for highest GPA during exchange study in US

by Cass Business School

Dean’s List for academic excellence for both Fall and Spring semesters

2010 Fall Semester

2011 Spring Semester

by University of Illinois at Urbana-Champaign

RESEARCH

Research Assistant A new arbitrage trading strategy: RA for professor Michael W. Brandt at Fuqua

School of Business, Duke.

To realize a new arbitrage trading strategy designed by Professor Brandt: Exhaustive

search cointegrated pairs within 31 future indexes, and recursively do arbitrage trading

according their cointegrated equilibrium relations. The trading portfolio is also weighted

by their Johansen statistics.

80 pages of RA reports and 1000 lines of R code: https://www.dropbox.com/sh/4qkn16ybuydbfwk/eUrcuugEtU

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