Quantitative Analyst

QIAN CHEN

305-***-**** ************@*****.*** *4 Loretta Court, Englewood Cliffs, NJ 07632

EDUCATION

Columbia University MS in Financial Engineering, GPA 3.9, New York, NY 02/2012

Coursework: Derivative Pricing, Term Structure Models, Continuous Time Models, Stochastic Calculus, Structured and Hybrid

Products, Risk Management, Time Series Analysis, Statistical Inference, Portfolio Optimization, Asset Management, Monte Carlo

simulation

Projects: Examined the impact of FOMC meetings on U.S. stock market volatility and devised trading strategies to capture the

impact using programs such as MATLAB and SQL; Solved mean variance optimization by using principal component and factor

model technique using programs such as C/C++ and VBA

University of Miami – MS (Ph.D. Candidate) in Physics, GPA 4.0, Miami, FL 05/2006

Academic Excellence Award from Graduate School of Art and Science 2006

Peking University – BS in Physics, Major GPA 3.5, Beijing, China 07/2003

Admitted with exemption from the National College Entrance Exam

Mary Kay Academic Excellence Award 2001 2002

PROFESSIONAL EXPERIENCE

OmniMarkets Group – Quantitative Analyst, New York, NY 07/2012 Present

Alternative Investment Strategy Advising company

Involved in developing OmniMarkets’ Valuation (SaaS) Models in C# dedicated to Alternative Investments in loan backed and

lease backed pooled securitizations

Developed the valuation model of asset backed securities and Collateralized debt obligation using Monte Carlo simulation

regarding cash flow generation as well as counterparty credit risk and default simulation

Employed one factor short rate models (CIR) to generate interest rates and discount factors, as well as bootstrapping

methodology to construct term structures

Developing Risk platform in F# including various risk measures, equity derivative modeling, sensitivity analysis and stress

testing using numerical methods like Finite Difference, Monte Carlo and Fast Fourier Transformation

Implemented quantile based, Cornish Fisher, Historical simulation, Filtered historical simulation methods for Value at Risk

measures, Marginal VaR, Incremental VaR and Expected Tail Loss

Funsing Technology – Quantitative Analyst/C# Developer Intern, Bear, DE 12/2011 07/2012

A Global IT consulting company that provide IT and business solutions for financial and insurance industry

Involved in developing the Portfolio Investment Model using WPF C# (XAML) for a Fortune 500 Asset Management Firm.

Analyzed NPV based on quarterly compound cash flows and other aggregated results

Designed the pricing model and algorithm to calculate NPV and IRR using Newton Raphson Methods

Wrote Stored Procedure to retrieve/insert/update/delete (CRUD) data in SQL Server Database

Lloyds Banking Group – Credit/Debt Restructuring Analyst Intern, New York, NY 01/2011 04/2011

Evaluated financial performance for various distressed companies by analyzing their financial statements

Calculated probability of default, loss given default and credit rating through an internal rating system

Performed market and sector research identifying current and potential trends to assess a distressed client’s current position

Managed the portfolio monitoring spreadsheet tool, an advanced Excel workbook which is used to comprehensively monitor

performance of the distressed debt portfolio

RESEARCH EXPERIENCE

University of Massachusetts Boston Research Assistant, Boston, MA 09/2009 05/2010

Conducted data analysis using SAS and statistical methods including logistic regression

Publication: Chen, Q., Hayman, L., Shmerling, R., Bean, J., & Leveille, S. (2011). Characteristics of Chronic Pain Associated with Sleep Difficulty in

Older Adults: The Maintenance of Balance, Independent Living, Intellect, and Zest in the Elderly (MOBILIZE) Boston Study. Journal of the

American Geriatrics Society, 59(8), 1385 1392.

University of Miami – Graduate Research/Teaching Assistant, Miami, FL 08/2004 12/2006

Designed and taught two laboratory courses independently

Set criteria for evaluations and assessed students’ ability to solve problems and their written work

Studied the excess noises on thin tin films in the superconducting transition to optimize the use of transition edge micro

calorimeters in X ray detection for astronomical use

Programmed to automate and monitor the entire experimental process

COMPUTER SKILLS

Programming skills and Software: Excel/VBA, C#.Net, Matlab, SQL, R/S plus, F#, C/C++, SAS, MS Office/Access

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