KYUTAE LEO KIM

Seoul, South Korea +82-10-856*-**** acun6u@r.postjobfree.com

EXECUTIVE SUMMARY

Leo is an experienced quantitative analytics, knowledge in exchange-traded equity derivatives pricing and risk measurement from US central clearing house with regulatory changes, and OTC rates derivatives valuation and Fair Value Adjustment from hedge accounting firm. He is technically proficient with C++, C#, R, MATLAB, Excel, VBA, SQL. Leo is enthusiastic about derivatives trading and quantitative model research, risk management, new technologies with high curiosity, creative problem solving, strong interpersonal skill and competitive and decisive personality. PROFESSIONAL EXPERIENCE

Independent Derivatives Trader

Self-employed

Feb 2016 - Current

Trade/hedge equity options on Korea Exchange, and test trading ideas on mock trading platform.

Research on macroeconomic issues, systemic risk and regulatory transformation. Quantitative Risk System Analyst, Consultant

Options Clearing Corporation

Nov 2013 – Dec 2015

Developed automated model validation metrics of implied volatility smoothing algorithm for next-generation pricing.

Computed new liquidity risk charge by synthesizing option bid-ask spread, trading volumes and option greek in C++.

Managed Stress Testing framework project with comprehensive data analysis on scenario reasonableness, default value setup, beta calculation, VIX based shock and transformation, portfolio PnL analysis and risk aggregation.

Co-managed launch of new products on NFX (Energy futures, options) and CBOE (Asian style flex options) by examining non-/seasonality models based on historical data research and statistical parameter estimation.

Identified inaccurate calibration and system flow discrepancies for treasury modeling and yield curve buildings.

Supported various regulatory (SEC, CFTC) remediation items and back-testing Monte Carlo simulated VaR, ES.

Created several analytical tools and reports with R, VBA, Excel, SQL and utilize log files, scripts on UNIX.

Collaborated with other team in SDLC, and influence colleagues for successful project delivery. Junior Quantitative Analyst

HedgeStar, LLC

Mar 2013 – Oct 2013

Priced OTC interest rates/FX swaps, cap and floor, US treasuries, US corporate/municipal bonds, MBS, etc.

Applied Fair Value Measurement (FAS157, IFRS13) for funds’ hedging products, and generated client reports.

Created asset classification algorithm (VBA) by implementing decision making method and naïve Bayesian method.

Constructed yield curves and credit spread on Bloomberg terminal, referencing CDS, ISDA credit support annex.

Developed stochastic interest rate volatility surfaces on Excel and C# by researching on SABR, Heston, HW etc.

Performed daily operation such as valuation reports and methodology memos updates for various investment entities from local to overseas, monitoring batch and database/website management, supporting VP sales. Intern, Database Implementation

CFA Society of Minnesota

July 2012 – Oct 2012

Researched and implemented CRM database for marketing purpose, supported conference/member events. Subject Tutor

McNamara Academic Center, University of Minnesota

Jan 2012 – Aug 2012

Taught following topics: Sequences, Series, and Foundations; College Algebra and Probability; Pre-calculus/Statistics Research Assistant

Kyungpook National University

Sep 2009 – Aug 2010

Participated research on Combinatorial Topology of Finite Graph, and drafted research funding (NRF) applications. Private Investor

Jan 2007 – Oct 2011

Invested private-seed money from consulting business, to various mutual funds, single stocks on Korean market. Sergeant, Computational Fire Force-Head Quarter

Land Force of Korean Army

Nov 2005 – Nov 2007

Calculated trajectories of 105mm cannon, commended shots, and performed re-adjustments.

Led team under nuclear-chemical weapon attack situation trainings. Owner

Academic Consulting

Dec 2007 – Jul 2011 (as Owner, Business Strategist) May 2003 – Nov 2005 (as Private Tutor, Mathematics)

Taught all level of math for middle-high school students, including national top 0.1%.

Provided special sessions for Math Olympiads and optimized application for colleges and special purpose high school. EDUCATION

Master of Financial Mathematics

University of Minnesota-Twin Cities, United States 3.6/4.0 GRE: q800 / v600 May 2013

Prof. Lerman Research Group: High-dimensional data analysis and modeling, Machine Learning

Time varying parameterization of the Heston model (MATLAB)

Option pricing model with Monte Carlo simulation (C#)

Team leader of IAFE Academic Competition

Paper:‘New Sovereign Credit Rating and Optimal Hedging on Greece and California’ (with S. Hong and J. Drinane)

Nominee of 2012-13' Mary A. McEvoy Public Engagement and Leadership Award

President of Financial Mathematics Association

Vice President for Council of Graduate Students

Bachelor of Science

Mathematics and Minor in Economics

Kyungpook National University (KNU), South Korea 3.7/4.0 Feb 2011

KNU Excellent Graduate Fellowship, Global 100

National Science and Technology Foundation Four-year Full Scholarship

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