Management Risk

JEFFREY H. S. TAY

*** *** **, *** * +1-412-***-****

Pittsburgh, PA 15232, USA **********@***.***

EDUCATION

CARNEGIE MELLON UNIVERSITY, TEPPER SCHOOL OF BUSINESS Pittsburgh, PA

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Master of Science in Computational Finance - MSCF GMAT: 750/800 (98 Percentile) 12/09

Trading: Finished as one of top five equity index derivatives traders in the Deutsche Bank Trading Competition

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Programming: Won coding contest for fastest C++ code in pricing American options (broke all-time course record)

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Leadership: Student Leader of the Quantitative Finance Club

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CFA Program: Passed level III of the CFA examinations

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NATIONAL UNIVERSITY OF SINGAPORE Singapore

Bachelor of Computing in Computer Engineering, Minor in Business First Class Honors (Top 5%) 6/06

Research: Developed new algorithms and mathematical models for sensor networks; Published two papers

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Dean’s List recipient; Exchange student at Singapore Management University and University of British Columbia

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COURSEWORK/SKILLS

Finance: Options, Fixed Income, Asset Pricing, Macroeconomics, Financial Accounting, Portfolio Management

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Mathematics/Statistics: Stochastic Calculus, Monte Carlo Simulation, Time Series Analysis, Linear Regression

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Software: C/C++, Java, VB.NET, SQL, MS Excel/VBA, Bloomberg, Mathematica, MATLAB, S-PLUS, R

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Valuation: Equities, Vanilla/Convertible Bonds, Mortgage-backed Securities, Swaps, Futures, Vanilla/Exotic Options

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EXPERIENCE

STUYVESANT TRADING GROUP (a successful options market making firm at the NYSE) New York, NY

Summer Intern 6/09 – 8/09

Volatility Modeling: Constructed a dynamic implied volatility surface for equity options using cubic splines.

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Electronic Trading: Developed proprietary application in C++ that monitors real-time implied volatilities,

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facilitating electronic market making.

Data Analysis: Systematized historical volatility data, allowing traders to exploit opportunities in volatility trading.

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Options Trading: Assisted traders in managing options book by delta hedging and gamma scalping.

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ETF Strategies: Conducted cointegration analysis on ETFs, generating proprietary trading ideas.

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GOVERNMENT OF SINGAPORE INVESTMENT CORPORATION (GIC) Singapore

Fixed Income, Currency and Commodity Applications 6/06 – 7/08

Executive Analyst (6/07 - 7/08)

Risk Management: Assembled risk management reports, evaluating portfolio exposure to various risk factors.

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Business Analysis: Proposed and implemented changes to streamline trade processing mechanisms for TBA

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securities and OTC options, reducing trade processing time by more than 50%.

Project Management: Managed a team of four to create an online portal, ensuring efficient and ease of

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information management within the fixed income desk.

Leadership/Teamwork: Led a team of five analysts in integrating BlackRock’s trade input platform into existing

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systems, enhancing the management of GIC’s multi-billion-dollar bond portfolios.

Analyst (6/06 - 5/07)

Modeling: Implemented analytical models for option and swaption portfolios, allowing for effective hedging.

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Risk Management: Computed various risk measures, allowing division-wide risk to be quantified.

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Business Analysis: Revamped processes to monitor trade limits, enhancing productivity by 75%.

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Innovation: Created an interface that allowed analysts to plug-and-play their own pricing models to obtain

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portfolio analytics, saving modeling time by more than 50%.

Teamwork: Coordinated extensively with various parties (end-users, consultants, vendors and analysts) in

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various financial software projects, including trading systems, and risk and performance reporting tools.

ADDITIONAL INFORMATION

Languages: Fluent in English and Chinese (Mandarin).

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Interests: Snowboarding, Running, Traveling, Reading, Investing.

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