New York Experience Java Management .Net Project

Kevin Chen

Email: *********@********.***

Address: **** **** **

City: Middle Village

State: NY

Zip: 11379

Country: USA

Phone: 917-***-****

Skill Level: Entry

Salary Range: $62,000

Willing to Relocate

Primary Skills/Experience:

See Resume

Educational Background:

See Resume

Job History / Details:

ZHONGYE(KEVIN) CHEN

8441 60th Drive, 1st FL, Middle Village, NY 11379 Tel: 917-***-**** Email: *********@********.***

EDUCATION

NEW YORK UNIVERSITY

The Courant Institute of Mathematical Sciences

M.S. Mathematics in Finance (09/12 - expected 05/13), GPA: 3.5/4.0

Mathematics & Finance: Options pricing with Monte Carlo simulation and Trinomial tree method, Quantitative Portfolio Optimization, Yield Curve Principal Component Analysis

Computing: Object oriented programming(Java) financial framework, Database(MySQL) design

Concentration Coursework: Stochastic Calculus, Advanced Risk Management, Quantitative Investment Strategies, Interest Rates and Fixed Income Models, Time Series Analysis and Statistical Arbitrage

Polytechnic Institute of New York University

M.S. Financial Engineering (01/08 - 01/10), GPA: 3.8/4.0

DONGHUA UNIVERSTY, Shanghai, China

B.S. Applied Mathematics (09/02 - 07/06)

WORKING EXPERIENCE

Bond Analyst (03/10 - Present) Structured Finance Analytics, BNY Mellon, New York

Analyze, model, and report USA ABS, CMBS and RMBS, and European ABS securitization products

Lead a team of bond analysts at Pune to report monthly non-agency RMBS deals

Monitor and validate cash flows statements for ABS, CMBS, and RMBS deals with Shifting Interest, Overcollateralization, and Re-remic structures

Valuate, and back-test bond structure based on assumed prepayment rate and loss severity scenarios

Shadow more than 100 RMBS waterfall structures on Java and Asset Securitization AnalysisPro platform

Improve workflow efficiency by developing Bloomberg VBA API to interface with Bloomberg terminal, and developing Excel Macro for data collection and filtration

Advise and coordinate with underwriters, investors, servicers, and rating agencies on the accurate of deals` distributions and the consistent interpretation of legal documents

Summer Intern (07/09 - 11/09) Office of HR Information Systems, United Nations, New York

Participated in preparing HR strategic workforce report for improving recruitment efficiency

RESEARCH EXPERIENCE

Quantitative Investment Strategies (Bloomberg, Matlab)

Researched, modeled, and back tested quantitative investment strategies

Applied Hidden Markov and Gaussian mixture Models for portfolio optimization

Reconstructed commodity ETF with rolling method, and took advantage of steep contango

Created Volatility ETN portfolio, and calibrated best hedge ratio during trading period

Value at Risk Analysis (Bloomberg, Excel VBA)

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 and parametric methods, and performed stress test analysis on hypothetical scenarios

Calibrated and back tested Value at Risk models in Excel VBA

Finished project under guidance of Dr. Peter Cai, Managing Director of Morgan Stanley Market Risk Department

ADDITIONAL INFORMATION

Professional Achievement: CFA Level II candidate

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