Sales Computer Science

Robert Xiong, CFA

Cellular: 917-***-****

*** ****** ******* ******: 212-***-****

Westfield, NJ 07090 E-mail: *******@*******.***

Summary:

Work in Citi Cash CDO desk quant group

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Daily interact and support CDO/CLO secondary traders/TRS Desk/Structured

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Credit Oppt. Fund with analytic and valuation tools

Provide CDO drilldown model for ABS CDO super senior valuation

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Implement and improve several key Citi Cash CDO models and valuation

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methodologies include simulation model based on collateral price and Gaussian

Copula

Provide monthly valuation for over 100 deals include CLO/CBO/EM/Trups for

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Citi clients/sales

Be able to provide start-to-finish valuation/pricing /modeling solutions for Cash

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CDO/CLO/RMBS/ABS/Leveraged loans

Strong knowledge in fixed income/structured credit area include modeling and

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deal structures on cash/hybrid/synthetic CDO, RMBS (Sub Prime/Prime/Alt-

A/Pass through), CDS on CDO/ABS, CMBS, Credit Card ABS, ABX, CMBX,

LCDS/LCDX and leveraged bank loans.

Years with Moody’s Investor Service. Familiar with rating methodologies.

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Proficient in using Intex API /Intex Desktop

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In-depth Knowledge on Intex Dealmaker and CMO Modeling language

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Be able to work independently as well as in a team. Possess solid analysis,

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problem solving skill as well as interpersonal skills. Highly motivated.

Familiar with ABS CDO super senior/CLO various tranches valuation

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Solid financial engineering skills

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Solid programming skills include C/C++/Java/Excel VBA

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Columbia EMBA expected 2011

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WORK EXPERIENCE:

Citigroup CDO Desk, NYC 04/2006 present

Rapid Development Team AVP

• Implement CDO drilldown process to calculate CDO write-down depending on relevant

mortgage loans remittance status (from Loan Performance). It involves using RMBS

prepayment model to generate CDR/CPR/Loss severity curves based on HPA scenarios

and underlying mortgage loans delinquency/foreclosure/REO status. It then computes

CDO write-down levels based on RMBS write-down. This method is officially used in

Citi SPG’s ABS CDO super senior valuation and write-down amount calculation.

• Implement Monte-Carlo simulation model for cash CDO based on rating/market price

implied default probability, Gaussian copula for time to default and stochastic recovery

rates.

• Analyze collaterals for CLO/CBO, back out credit risky spreads based on

CDR/CPR/recovery rate/amortization schedule and be able to extend as a CLO

simulation model.

• Provide NAV tools to Citi Structured Credit Opportunity Fund

• Develop NAV calculator for CDO which include collateral market values, IR swaps and

accrued interest. Useful for distressed/EOD/liquidation analysis/monitoring.

• Provide and distribute month-end marks for CLO/CBO equity/combo notes to Citi sales

and clients

• Create CLO/CBO/CLO^2/TRUPS CDO issuer jump-to-default/jump-to-recovery

analytic tools for risk analysis and hedging decision

• Calculate market-value based delta for cash bonds

• Create weekly price/yield matrix for 800 corporate CDO deals

• Create Merton model-based tranche pricer for cash CDO bonds

Work on Citi structured credit quant library

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Work with TRS desk to valuate total return swap on leveraged bank loan portfolio

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Do break-even analysis, WAR/WAC for CDS on CDO.

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Calculate key statistics include delinquency rate, REO/Foreclosure, geography

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concentration from Loan Performance for thousands of subprime, prime and Alt-A deals

Familiar with Citi CDO Structuring tools.

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Familiar with CDS on CDO/ABS calculators

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Familiar with CDO/RMBS/CMBS bond valuation based on Intex

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Familiar with Intex wrapper API and write application to do analysis based on cash flow

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and waterfall structures.

Knowledge on Intex Dealmaker, Desktop and Intex CMO modeling language.

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Reverse-engineering Citi Hybrid/Synthetic ABS CDO deals using Intex Dealmaker based

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on offering circular and Citi structuring tools

Build Intex CDO/RMBS/CMBS/ABS database that includes over 2500 CDO deals with

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data on capital structures, collaterals and amortization schedules.

Calculate CLO warehouse MTM for second loss positions using Merton Model.

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Familiar with bank loans and build loan database (loanX from 2003 and LPC from 2006)

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Implement LCDS MTM methodology based on cash loan spreads.

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Build bond price database include corporate, ABS and MBS from Hamper and TRACE.

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Generate loan ID mappings dynamically between Intex and loanX, Intex and LPC.

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Build up Pari Passu mappings among CDO tranches.

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Work on loan warehouse VaR project to Feds/OCC; calculate three-year risk measures

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using Yield Book, conduct trade prices, market prices and block trade price analysis.

Facilitate and help identify risk breaks among different risk groups and financial control.

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Do regulatory capital calculation for warehouse and syndication based on BASEL I rules

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Familiar with Yield Book user bond approach to calculate risk

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Tools used: Intex, Yield Book, VBA, Oracle, Bloomberg API, Access

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Moody’s Investors Service, Corporate Finance, NYC 04/97 4/2006

Senior Application Developer/Business Analyst

• Implement Moody’s Issuer ratings methodologies based on multi-tier

quantitative and qualitative factors combined with weighting schema to produce

issuer ratings. It covers total of sixty-one industries. The first among

implemented are Pharmaceutical, Gaming, Chemical and Steel.

• Create Moody’s Bank Loan Report, five-B analysis

• Create Moody’s issuer rating graph.

• Implement financial statement private and public adjustments based on GAAP

and IAS standard.

• Design and Implement Financial Reporting System in Visual C++/VBA to

facilitate the process of portfolio comparison, credit risk research and financial

ratios report and financial data.

• Implement FiRST in ASP/VB .Net to integrate corporate finance credit risk

research and projection modeling. It involves financial Statement analysis and

adjustment, industry sector comparison; key indictors based on industry, pro

forma reports.

• Design, Develop & maintain WIRED Intranet to analyze and generate reports on

debt level, issuer level, upgrade/downgrade, rating outlook, issuer rating, market

share, watch list, speculative grade liquidity, industry outlook, global credit

rating front/inside page, new issuance analysis and five-B analysis.

SKILLS

Mathematics: Stochastic Calculus, Statistics, Numerical method, Linear Algebra, Calculus

Finance: CFA level III candidate, Quantitative Finance/Derivative theory, Credit

Derivative/Fixed income theory/product/application/modeling

C/C++, VB/Excel VBA/VC++, Java/J2EE, ASP .Net, VB .Net,

Language:

Sybase, Oracle 9, SQL Server, Access

Database:

Intex, Bloomberg, YieldBook

Tools:

Education:

Columbia University, NY

EMBA Expected 2011

1997

Wesleyan University, CT

Computer Science, MS

Tsinghua University, Beijing, China 1990

Computer Science, BS

VISA Status: US permanent resident

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