Management Software Engineer

(C) 973-***-****, (H) 973-***-****

Sharon Wang, CFA, FRM ************@*****.***

*** ******* **, ********, ** 07029

Quantitative Research / Risk Management /Portfolio Management

PROFILE

Well-qualified and detail-oriented problem-solver with excellent analytical strengths and experiences in quantitative

research, asset allocation, derivatives pricing, risk assessment, and portfolio hedging. Have solid knowledge of broad

range of financial products. Strong team building and leadership strengths managing multi-projects. Effective internal

and external communication skill.

EXPERIENCES

Aug. 2006- Goldman Sachs Asset Management, New York, NY

Jan. 2009 Associate, Quantitative Investment Strategies (QIS)

Researched on alpha factors with Macro-economic overlay, and examined risk correlations

between factors such as Value, Momentum, Leverage, Size, and Reversal.

Built the optimization system that encompasses multi-portfolio and multi-regime investment

scenario and dynamic transaction cost adjustment that are used by Quantitative Equity group

to construct optimal portfolios with best return and risk tradeoff, analyzed optimization

results, and monitored the execution of the trades. Analyzed the management of Market

Neutral and Emerging Markets portfolios.

Designed and developed the research back-testing platform that is heavily relied on to

discover proprietary alpha factors and transaction cost estimates, helped outline the research

projects details, and conducted research ideas that the updated QIS models adopt. Also

researched effects of constraints and leverages on the optimal portfolios and presented

analysis to senior portfolio management committee.

Analyzed risk and performance in Black-Litterman framework, calculated return and risk

attributions to the various sources. Constructed at hoc analyses and reports for

portfolios/clients of different strategies. Investigated potential sources of performance

improvement such as less trading lag from optimization and higher trading frequency.

Apr.2004- Goldman Sachs Co. New York, NY

Jul. 2006 Analyst, Principal Investment Group and Equity Volatility Group

Built and ran quantitative models on exotic options, bank note, CDS, convertibles etc. in the

Goldman internal platform as the central risk system, published their prices and risks to PNL

monitoring system, and reconciled the differences across departments.

Examined target investment’s projected cash flow, capital structure, and the potential of the

lines of products. Conducted scenarios analysis in equity valuation models (DCF), and

hedging strategies using derivatives.

Designed and implemented equity structured products trading platform and trade processing

and built automatic system to support End of Day Risk and PNL attribution reports.

Sep. 2000-

Mentor Graphics Corporation, Boston, MA

Mar. 2004

Software Engineer

Developed the graphic user interface dynamically generating schematics for large-scale digital

design using C++ and scripting languages.

Demonstrated to the senior management the design and analysis on crucial projects.

Synthesized and developed requests into competitive functionalities

COMPUTER PROFICIENCY

Matlab, SQL, C++, SAS, GIS (Geographic Information System), R; Windows, Unix

EDUCATION

Aug. 2000 M.S. in Economics, Pennsylvania State University, University Park, PA (GPA 3.9/4)

Jul. 1998 B.S. in Finance, Beijing University, Beijing, China (GPA 3.9/4)

ASSOCIATIONS AND LANGUAGES

Member of AIMR, NYSSA, and GARP.

Fluent in English and Chinese.

Contact this candidate