Java Finance

ZHONGYE(KEVIN) CHEN

? **** Colonial RD, *nd FL, Brooklyn, NY 11209 ? 917-***-****

? *****@***.***

PROFESSIONAL SUMMARY

. M.S. Mathematics in Finance from NYU Courant, in-depth knowledge of

quantitative, market and credit risk

. Almost 3 years of experience in the areas of structure finance and

risk control.

. Computer Skills: C++, Java, Python, VBA, Matlab, R, MySQL, Access,

Bloomberg.

WORK EXPERIENCE

Bond Analyst (03/2010 - 12/2012)

Bank of New York Mellon, New York

. Reported and reverse engineered Mortgage-Backed Securities deals for

Corporate Trust group utilizing the proprietary modeling tool, Java

and Excel.

. Validated and resolved incorrect cash flow models over Shifting

Interest, Overcollateralization, and Re-remic structures, reduced the

bank legal and operational risks.

. Measured bond risk exposure and sensitivity to prepayment rate and

loss severity based on loan level analysis.

. Improved workflow efficiency by developing VBA tool to interface with

Bloomberg terminal, and developing Excel Macro for data collection

and filtration.

. Supervised and trained onshore and offshore junior analysts on

monthly trustee payments.

. Advised and coordinated with lawyers, underwriters, investors,

servicers, and rating agencies on the accurate of deals'

distributions and the consistent interpretation of indenture and

prospectus.

ACADEMIC PROJECTS

Statistical Arbitrage Investment (Fall 2012)

NYU Courant, New York

. Designed model-driven statistical program trading strategies in U.S.

equities.

. Generated trading signals from cointegration strategy with mean-

reversion residuals, based on time series and statistical factor

model.

. Applied Markov switching strategy in predicting excess return with

Gaussian mixture model.

. Implemented technical analysis algorithm, with trend and momentum

indicators as MACD, RSI and TSI.

. Cleaned 10 years of daily data of S&P 500 stocks and ETFs, and built

back-testing frame in Matlab.

Value at Risk Analysis (Fall 2009)

NYU Polytechnic, New York

. Analyzed Value at Risk of a complex portfolio with exposure to

multiple market risk factors.

. Constructed and implemented Value at Risk measurements, using

historical simulation, parametric and monte carlo simulation methods.

. Performed stress test analysis on hypothetical scenarios.

. Calibrated and back tested Value at Risk models in Excel VBA.

EDUCATION

NEW YORK UNIVERSITY

The Courant Institute of Mathematical Sciences

M.S. Mathematics in Finance (09/2012 - 05/2013)

. Mathematics & Finance: Black-Scholes Model and Greeks, Stochastic

Calculus, Derivatives pricing, Portfolio optimization, GARCH, B-

splines and Yield Curve, CDS, Default Intensity and Survival

probability

. Concentration Courses: Time Series Analysis and Statistical

Arbitrage, Credit Markets and Models, Interest Rates Models and Fixed

Income, and Algorithmic Trading and Quantitative Strategies.

Polytechnic Institute of New York University

M.S. Financial Engineering (01/2008 - 01/2010)

DONGHUA UNIVERSTY, Shanghai, China

B.S. Applied Mathematics (09/2002 - 07/2006)

Others

. Professional Certification: CFA Level II candidate.[pic]

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