Management Assistant

Fei Yan Lim

*** ****** * *** **, New York, NY ***09

646-***-**** ******.***@***.***

EDUCATION

NEW YORK UNIVERSITY New York, NY

The Courant Institute of Mathematical Sciences

MS in Mathematics in Finance (2012 expected January 2014)

Mathematics: Stochastic differential equations, Ito calculus, numerical analysis

Programming: Object-oriented programming in java, data structures and algorithms

Financial applications: Derivative securities, static and dynamic hedging

Spring 2013 coursework: Optimal stopping problems, interest rate models, principal component analysis,

portfolio optimization using dynamical programming and Bayesian choice

NATIONAL UNIVERSITY OF SINGAPORE Singapore, Singapore

BS in Applied Mathematics (2001 2005)

Thesis: Pricing of Lookback Options, an efficient pricing algorithm in Matlab using finite difference

method, achieving a higher order of convergence relative to binomial tree method

Honors: Lijen Industrial Development Medal (for best thesis in discipline), 1st class honors, six-time Dean's

List, Cumulative Average Point 4.78 / 5 (between A and A-)

Majors: Applied Mathematics, Statistics; Minors: Computational Finance, Economics

EXPERIENCE

MONETARY AUTHORITY OF SINGAPORE Singapore, Singapore

Assistant Director, Investment Risk Management Division (2006 2012)

Led a six-person team in charge of the strategic asset allocation and currency mix of Singapore's official

foreign reserves, a US$240bn multi-asset class and multi-currency portfolio

Constructed an optimal asset allocation using Markowitz mean-variance analysis

Researched and recommended benchmarks for nine asset classes, encompassing fixed income, equities and

commodities, in both developed and emerging markets

Computed and analyzed the risk of the portfolio, utilizing risk measures such as Value-at-Risk and designed

suitable stress tests, given the composition of the portfolio and the market environment

Formulated tactical strategies to mitigate risk following the results of stress tests

Presented the performance and risk of the portfolio to the MAS Board and senior management

Headed the risk budgeting exercise to allocate active risk to in-house and external fund managers

Collaborated on a revamp of the risk tolerance framework

Recommended investment limits and monitored the portfolio for compliance

Intern, Specialist Risk Supervision Department (May Aug 2003)

Programmed a business continuity risk assessment database using MS Access

FINANSEERS ALLIANCE PTE LTD Singapore, Singapore

Part-time Consultant (2003 2004)

Modeled expected cash flows of insurance derivatives using MS Excel

Presented and explained investments in viaticals to potential investors

SKILLS & OTHER

Programming languages: Matlab, VBA, Java

Application software: Barclays POINT, RiskMetrics' RiskManager, SimCorp Dimension

Languages: English (native), Mandarin Chinese (fluent), French (intermediate)

Professional exams: Passed Level 3 of the Chartered Financial Analyst (CFA) examinations

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