Project Management
Resume:
Qiusi (Zoe) Zhang
**** * *******, *** **, Chicago, IL 60626
********@***.***
Work Experience:
* ****** *******, **, *** Registered Hedge Fund Advisor
May 2011-Current
Quantitative Analyst, Full-time, working directly with CIO and Director of
Trading
> Quantitative Analysis
. Derivatives modeling:
Developed MTM pricing and calibration models for exotic products such as:
variance/volatility swaps, multi-asset digital options, double-no-touch
options, global indices dispersion using variance swaps, options on
dividend swaps.
. Equity trading:
Used and created quantitative tools to perform equity screening, strategy
simulations, factor backtests and portfolio attribution on equity themes
such as: special dividend candidates prior to tax rise, spin-off targets
and dividend paying equities.
Tested different risk premia factors (up/downside beta, co-skewness beta,
dynamic conditional beta) and instruments to optimize equity portfolio
hedges.
> Trade Idea Generation
. Trading strategies/tools:
Developed trade monitors and pre-trade analytics including equity index
volatility monitors, equity ETF and index correlation/dispersion reports,
variance swap templates, VIX, VSTOXX and volatility ETF/ETN monitors,
cross-asset volatility, hedging screens.
. Strategy backtests:
Backtested on strategies such as systematically short volatility using
different products (variance/volatility swaps, options on variance swaps,
index options, volatility futures and volatility ETFs/ETNs), sector
dispersion using straddles, equity-credit cross-asset hedging.
> Risk Management
. Internal daily risk reports:
Designed, programed and maintained daily risk reports including portfolio
risk exposure, sensitivity analysis (Greeks), market risk and extreme
market (crisis) shock scenario analysis reports.
Calculated portfolio VaR (Value at Risk) using Quadratic Cornish-Fisher
VaR and Monte Carlo Simulation.
. External monthly risk reports:
Generated monthly risk reports and custom reports on demand for investors
including risk capital allocation, trade idea classification, portfolio
sensitivities and fund performance compared to benchmarks.
Fortune Securities Beijing Exchange
December 2008-January 2009
Marketing and Financial Consulting Department, Full-time internship
. Reported stock market analysis and relevant news reports (market,
industry and company news) at the exchange.
. Wrote Financial Industry Report and report on '3G Sector'.
. Organized weekly meetings and seminars with VIP clients at the exchange.
World Bank Beijing Representative Office
June 2008-August 2008
External Affairs Department, Full-time internship
. Input and organized data for more than 4,000 documents to the bilingual
website Imagebank.
. Constructed data and performed statistical analysis for the World Bank
loan projects in China.
. Improved visit statistics of Youththink Website by using C++ for
analytical purposes.
Project experience:
2009 - Current
Equity:
. Built Enhanced Relative Value Model to trade single stock relative
volatility.
. Evaluated conditional asymmetric dynamic version of Alexander's filter
technique.
. Completed a retirement planning project (Asset allocation and Personal
Wealth Management).
. Compared performance of general GARCH and threshold-GARCH under
leverage effect.
. Conducted conditional-CAPM with 'co-skewness' on 25 Fama French
portfolios and 10 Momentum portfolios.
Derivative:
. DIY forward-start S&P 500 variance swaps using VIX futures and options
and index option chain.
. Developed index variance swap pair trading algorism using
Cointegration.
. Finite difference evaluation and Monte Carlo valuation of 'step double
barrier options'.
. Compared Black Scholes Model and Gram-Charlier Expansion (incorporates
skewness and kurtosis).
High frequency trading:
. The '5 buckets' trading strategy: alpha building (PCA analysis and
cluster analysis) and testing (Edge and IC tests), risk control and
portfolio construction, implementation and portfolio attribution.
Fixed Income:
. Priced Interest Rate Options using the Jump-extended Vasicek Model
(the Vasicek EJ++ model) with tree
. Used Eurodollar futures and OIS swaps to bootstrap yield curve,
interpolated by Cubic Splines
. Calibrated the Hull-White model to a skewed volatility surface and
swaptions valuation using the q-version model
. Studied Eurodollar futures/forward price differences by using Black-
Derman&Toy and Hull-White models
. Utilized PCA to find VaR through factor-based interest rate scenarios
for the swap trades
Education:
Illinois Institute of Technology,
August 2009 -May 2011
Stuart Business School,Chicago, IL
Concentration: Financial Engineering
Master of Science in Finance
GPA:3.8/4.0
Beijing Language and Culture University,
September 2005- June 2009
School of International Business, Beijing, China
Department of Finance, BA in Finance
GPA:3.8/4.0
Analytical skills:
Trading Software: Bloomberg (Excel and Matlab API), Capital IQ (ClariFI),
Imagine Trading System, Markit, OptionMetrics
Programming Software: Excel VBA, Matlab (with all finance related
toolboxes, Datafeed toolbox with Bloomberg, Database toolbox with MS.SQL)
and Matlab Compiler, JavaScript, C++, SAS, SQL
Quantitative: Monte Carlo simulation and variance reduction techniques,
Value at Risk, Principal Component Analysis, Pseudo random number
generating, Stress Testing, Binomial Trees, Finite Difference Method
Statistics: Linear and Nonlinear Time series models, trend and seasonality
analysis, Cointegration and Error Correction models
Honors:
TEM-8 (Test for English Major in China, level 8)
SAC Certificate (Certificate granted by Securities Association of China)
FECT, Level A (Financial English Certificate Test, certificate awarded by
Central Bank of China)
ACCA (The Association of Chartered Certified Accountants) Candidate
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