Manager Management

Li MA, CFA, FRM

Phone: 718-***-**** (Mobile)

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

Objective: A career in risk analytics and capital market management

Highlights:

Experienced professional in quantitative risk analytics, risk management and risk infrastructure

Solid background in quantitative finance, e.g. stochastic calculus, pricing framework

Extensive experiences in various aspects of risk management, e.g. VaR, Counterparty Credit Risk, CVA/DVA/FVA (xVA), Stress Testing, and regulatory initiatives

Excellent communication skills (verbal/written/coaching/mentoring)

Strong relationship management, team leader and player

Proficiency in SQL queries, Excel/VBA, MatLab/R, Python, working knowledge of C/C++

Strong team leader and player

Professional Experiences:

CITIGROUP, New York, January 2016 – September 2017

(Contract) Manager, Treasury Investment Risk

Monitor, investigate and publish daily risk metrics of Corporate Treasury Investment portfolio, including DV01 by term buckets and products, PCA metrics for rates portfolio, Greeks of mortgage portfolios (Prepay, Gamma, Vega), CR01 of credit portfolio, and various limits

Prepare various weekly and monthly internal and regulatory decks, including Interest Rate Exposure (IRE), Cost To Close, MVS, EVS, AFS DV01, etc. for senior management

Hands-on experience with Excel/VBA derivatives pricing tool for pricing verification and CCAR valuation, SQL for various data purposes

Build and maintain good relationships with various stakeholders, e.g. desks and technology

Bank of Montreal, Toronto, Canada, May 2005 – June 2015

Manager, Traded Credit & Market Risk, August 2013 – June 2015

Work directly with Risk Oversight and Control to identify and mitigate risk on daily basis, especially in VaR (Value at Risk), stress test and Greeks-based metrics

Contributor to regulatory remediation plan (reporting/analytics subsections)

Conduct CVA/xVA reporting and analytics (daily, monthly, stress, sensitivity etc.)

Execute independent pricing verification on credit, fixed income and equities

Participated in model materiality assessments to close gap upon OSFI and US Fed requests in collaboration with Valuation & Product Control (VPC) and Model Risk & Vetting (MRV)

Respond to model triggers to ensure the quantitative representation of models are sound

Implement various regulatory enhancements and implementations regarding model change, reporting structure change, e.g. reporting tree/limit update, curve mapping change

Investigate problems ranging from market data integrity, process to model usage

Business Consultant, Value at Risk and Counterparty Credit Risk, October 2011 – July 2013

Facilitate and implement major system migrations to align risk management with trading units, e.g. WSS/Calypso/Summit/CCR/RAW(Reporting, Analytics and Workflow)

Commended for leadership in mitigating regulatory issues in VaR reporting and analytics

Key player and leader in re-statement of major VaR components due to proxy changes

Conduct periodic (annual and ad-hoc) limit letter updates in conjunction with reporting hierarchy change due to re-classification of asset classes (e.g. trading to AFS)

Train new team members in troubleshooting various risk issues, e.g. risk factor mis-assignment, market data, sensitivities

Validated limit and reporting hierarchy module in bank-wide risk Reporting, Analytics and Workflow (RAW) system and played key role in year-end limit letter update

Escalation point for urgent operational issues, e.g. data integrity, pricing anomalies

Make critical contributions in IMAGINE equity trading system migration, e.g. reconciliation of sector mappings, investigation of sensitivities, back test, stress test and VaR aggregation

Coordinate and facilitate system enhancements in counterparty credit risk systems, e.g. business changes due to merger & acquisition, model modification due to data availability, clearing party change due to new membership in clearing houses

Senior Analyst, VaR Reporting and Analytics, May 2006 – September 2011

2010 recipient of Award of Excellence (top 5%)

Leading role in NVaR (Correlation-based Value at Risk system) reporting/analytics

Implement regulatory methodology enhancements, e.g. stressed VaR, Risk Factor proxies

Work with risk control and risk model groups to implement filters, mappings, tactical fixes

Coach new team members to expedite learning and improve efficiency

Analyst (Intern), Model Risk and Vetting, May – September 2005

Documented BMO adaptation of CIR interest rate model implemented in Hull-White trinomial trees, including SDE confirmation, special tree branching handling, yield curve generation for tree nodes, general calibration algorithms, etc.

Analyzed algorithms for pricing Bermudan or American Swaptions, Cumulative Caps/Floors, Flexible Caps/Floors and FX options

Recognized for quality work under pressure and tight delivery schedule

Educational Background:

M.Sc. in Financial Mathematics University of Waterloo, Canada

Hon. B.Sc. in Statistics & B.Sc. in Mathematics University of Toronto, Canada

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