Quality Assurance Management

HAILI JIA, PHD, CFA

Bethesda MD Phone: 859-***-**** E-mail: *****@***.***

QUALIFICATIONS

* Ph.D. in economics with extensive working experience in Risk Management (4 years in Credit Risk and 2 Years in Market Risk)

* Excellent knowledge of advanced econometric methods mainly in default and prepayment modeling, and fixed income and mortgage industry

* Advanced statistical, mathematical and computational programming skills (8 years in SAS, 3 years in Matlab and 2 year in C++) and extensive experience working with large and complex data sources

* CFA charter-holder

PROFESSIONAL EXPERIENCE

Fannie Mae Nov 2011 - Present

Senior Capital Market Risk analyst

* Part of the team responsible for monitoring the interest rate risk management and return of Fannie Mae’s $850 billion portfolio including Agency MBS and whole loans, RMBS, distressed loans, Agency debt, swaps, and swaptions.

* Undertake projects and perform ad hoc analysis to resolve potential pricing and modeling issues. For example, research current issues and propose framework to measure and monitor interest rate risks associated with Agency IO.

* Research and present daily market and economic analyses to interest rate risk management team. Generated and explained daily duration based portfolio market risk attribution.

* Knowledgeable in statistics and modeling concepts Worked with researchers and developers to improve proprietary models and valuation analytics, provided recommendations on model development

Fannie Mae June 2010 – Nov 2011

Senior Financial Engineer

* Develop and maintain Fannie Mae’s Single Family (SF) Loss Allowance system, as well as the monthly production process, review and oversight of models for the estimation.

* Execute, maintain and develop the loss reserve process for the guarantee liability associated with Fannie Mae’s repackaging of private label securitites.

* Collaborate with modeling team to implement and test mortgage prepayment and default models including both econometric model and transition model. Implement model changes and analyze data for quality assurance and content.

* Develop and implement a new severity model as well as a new makewhole proceeds estimate process for the SF Loss Allowance system. Communicate with outside auditors for the new method design, implementation and results.

Marlin Business Services Corp., Mount Laurel, NJ March 2007 – May 2010

Senior Risk Analyst

* Lead the internal Business Capital Loan and leasing acquisition score card development for multiple business lines. Coordinate with IT, Credit risk officers and related parties to test and implement the scorecard models. Develop stability and attribute reports to monitor and manage the performance of the scoring system.

* Experience the behavioral scorecard development. Collaborate with the collection group to develop the queuing strategies of collection phone calls based on the customer behavior score.

* Conduct profit and loss analysis for each business channel and develop business pricing strategies based on various risk level. Forecasting potential credit losses based on the trends of the historical delinquency rates and roll rates.

* Streamline weekly credit reports and produce ad-hoc delinquency migration/vintage reports to support the senior management of various business units. Recommend the credit policy rule change based on the analysis of the credit reports.

* Collaborate with the marketing group to design the campaign strategy, track responses and evaluate performances.

Hua’an Fund Management Co. Ltd, Shanghai, China Summer 2005

(China’s largest fund management company)

Quantitative Analyst

* Studied the effect of new rural reform policy on economics and, particularly, the food industry. Analyzed the product price trend, and forecasted macroeconomic trends in China, including the growth rates of GDP and CPI.

* Developed statistical models that correlated key economic factors and food industry sales, and uncovered key drivers of sales profitability. Analyzed five public companies in the food industry, utilizing both quantitative and qualitative methods to forecast year-ahead and three-to-five year target price ranges.

* Developed a standard financial model, using VBA for the appraisal of an American put option issued by the China Merchants Bank.

EDUCATION

Ph.D. in Agri-Economics, University of Kentucky, KY, Mar 2007 GPA 3.95/4.0

Dissertation: The Strategic Exercises of Options under the Noisy Market: Agri-business Firms' Investments on Precision Agriculture Equipment.

Honor: Kentucky Opportunities Fellowship 2004-2007 (One out of the whole department won this award for three consecutive years)

M.S. in Economics, University of Kentucky, Lexington, KY, 2004 GPA 4.0/4.0

Honor: University of Kentucky Graduate Scholarship 2002-2004

SKILLS

Finance

* Fixed Income/Mortgage (Agency MBS and CMO, Distressed loans. Agency debt, Swaps, and Swaptions)

* Credit risk methodologies (VAR, Stress testing), Cash Flow, Prepayment, Delinquency Analysis.

* Portfolio Theory, Portfolio Optimization

Quantitative

* Linear and non-linear regression model, mixed model, logistic regression, survival model and censored data analysis, database management, data mining, Time series models (ARMA, ARIMA, ARCH,GARCH), decision trees(JMP), ANOVA, cluster analysis Bootstrapping.

* Numerical Methods, Binomial/Trinomial Trees, Brownian motion, Stochastic Differential Calculus stochastic processes.

* Monte Carlo Simulation, dynamic programming

Software Development

* SAS (8 Years of Base, Macro, SQL), JMP, C++, VBA, MATLAB, INTEX, Microstrategy

SAS Training

* Introduction to ANOVA, Regression, and Logistic Regression

* Data Manipulation Techniques

* Advanced Techniques and Efficiencies

* Predictive Modeling Using Logistic Regression

* SAS Macro Language: Essentials

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