Professional Experience (Keyword: Quantitative Analytics, Machine Learning, Big Data Analytics)

02.2017-Present Risk Management Institute (NUS), Singapore [Title: Research Associate]

Implement a bottom-up credit risk prediction model considering default correlations with respect to sectors

Support IMF clients as a Buda (Bottom-up Default Analysis) system engineer- Buda is a credit stress testing tool that can translate adverse macroeconomic scenarios into different distributions of corporate defaults

Convert CRI(Credit Research Initiative) production (Matlab) codes into R and Python to accelerate daily recalibration speed

10.2016-02.2017 Trexquant Investment LP, New York, U.S.A.[Title: Global Alpha Researcher based in Asia]

Developed market-neutral, medium frequency Alphas that predict future stock returns with large size datasets

Developed new trading algorithms to filter and combine Alphas (profitable trading signals)

Applied machine learning techniques (SVM, ANN) to alpha discovery and optimal portfolio construction

09.2015-09.2016 University of Michigan, Ann Arbor, U.S.A. [Title: Ph.D. Candidate in IOE Operations Research]

Leaded a robust growth-optimal portfolio project team in collaboration with the Swiss Institute of Technology (EPFL)

Reformulated a stochastic portfolio optimization problem when considering non-zero autocorrelations and invented a new stock price trend clustering model (http://www.sciencedirect.com/science/article/pii/S0167637716301201)

02.2015-08.2015 Philip Morris International Management SA, Lausanne, Switzerland [Title: Information Services Intern]

Developed a tailored Data Quality Assessment Framework for PMI and tested the framework with ServiceNow data

Improved Data Quality Assessment process up to 50% and reported the PMI DQAF to the board of directors

05.2014-08.2014 Imperial College Business School London, U.K [Title: Research Assistant]

Derived new, efficient computational methods for computing worst-case Value-at-Risk of general reward functions based on various uncertainty models

07.2013-04.2014 A*STAR SIMTech (Singapore Institute of Manufacturing Technology), Singapore [Title: Research Assistant]

Conducted profit estimation error analysis and analyzed buying behavior patterns with a sample of Starbucks customers

Took responsibility of a SIMTech-Schlumberger joint project regarding economic and business analysis to decide the best location for Schlumberger warehouses in North America

02.2008-07.2008 Seoho Electric Co. Ltd Anyang, South Korea [Title: Sales Staff]

Fostered communication between executives in foreign company business meetings and supported B2B sales

Developed efficient and automated line number printing techniques by using VBA and educated employees

Education

École Polytechnique Fédérale de Lausanne (2012-2015, Rank 12th in the world at QS Ranking) GPA: 4.86/6

Master in Management, Technology and Entrepreneurship

Orientation: Operation management, Minor: Electrical Engineering (Machine Learning & Data Mining)

Seoul National University (2004-2007, completed National Service and graduated 2012) GPA: 3.5/4.3

Bachelor of Science in Electrical and Computer Engineering (Rank 31st in the world at QS Ranking)

(Full scholarship from Korean Ministry of Science and Technology)

Publication

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance, Operations Research Letters, 2016 (1st author)

Graph-based analysis of resource dependencies in project networks, IEEE BigData, 2015(2nd author)

Profit estimation error analysis in recommender systems based on association rules, IEEE BigData, 2015

Languages & Programming Skills

Korean (Native), English (Full proficiency), French (Upper-Intermediate level)

Python(TensorFlow, Scikit-learn, Pandas, Numpy), MATLAB, R, C++, C#, VBA, SQL, Optimization Tools(CPLEX, AMPL, CVX,YALMIP)