Management Financial Analyst

Xinyun (Sharon) Hu

** ******* ****, *** ****, Jersey City, NJ 07310 917-***-**** ******.****@*******.***

Core Competencies

Pricing: Black-Scholes, Heston, Binomial Tree, Natural Spline, Barrier Option, Cliquet Option, Digitals, Fixed Income

Programming Skills: Python, C#, C++, SQL, Excel VBA, MATLAB, R, EViews, Web Data Crawler

Analytics: Monte Carlo Methods, Machine Learning, Optimization Algorithms, Time Series Analysis

Risk Management: Basel, DFAST, CCAR, Model Risk, Stress Test, VaR & ES, EVT, PD, LGD, EAD, CVA

Education

Johns Hopkins University, Whiting School of Engineering Baltimore, MD

Master of Science in Financial Mathematics Aug 2015 - Dec 2016

GPA: 3.75 (out of 4.0); Teaching Assistant for Risk Management/Measurement in Financial Markets

Coursework: Risk Management, Advanced Equity Derivatives, Interest Rate & Credit Derivatives, Stochastic Analysis, Time Series Analysis, Monte Carlo Methods, Data Mining, Financial Computing in C++, Optimization Algorithms, Commodities

Wuhan University, School of Economics and Management Wuhan, CHN

Bachelor of Science in Financial Engineering Sep 2011 - Jun 2015

GPA: 3.76 (out of 4.0); Academic Scholarships (Top 10%) and Excellent Student Cadre (Top 1%)

Coursework: Financial Derivatives, Econometrics, SAS Application, Ordinary Differential Equation, Probability Theory

Work Experience

OmniMarkets, LLC New York, NY

Quantitative Analyst Jul 2017 - Present

Stress Testing Scenario Generation

Generated historical, macroeconomic hypothetical and PCA scenarios for interest rates and S&P futures

Developed C# application to run DFA stress testing on different loan portfolios and generate corresponding reports

Put in place automatic live data of interest rate swaps and swap rates from Bloomberg SDR and ICE using web scrapping

Credit Risk Model Validation

Cleaned, analyzed, visualized consumer-loan data in Excel VBA, and compiled model input data report

Reviewed client’s model methodology documents and researched model conceptual soundness

Estimate PD, LGD and EAD using multiple linear regression, logistic regression in C# to replicate model implementation

Implemented alternative credit models, including SVM/SVR, K-means, and Gaussian process regression in Python

Ad Hoc Analysis

Applied Heston model and Monte Carlo Simulations to price Cliquet options and Multi-asset-worst options in VBA

Fitted interest rate zero curves using LIBOR, Eurodollar futures (HMUZ contracts), swap rates, and U.S. treasuries

Governance, Risk Management and Compliance (GRC) Research on Model Risk Management (SR11-7, DFAST, CCAR)

Wecapital Group Weehawken, NJ

Quantitative Researcher Mar 2017 - Jun 2017

Back tested and stress tested spread bias model for stock selection in S&P 500 constituents

Developed factor rolling strategy by longing stocks based on factor scores and achieved 35.7% return and 1.63 Sharpe Ratio

Monitored price actions of stocks to send signals while a breakout pattern is formed

Determined resistance and support levels using the three-month rolling windows by recognizing single candlesticks

Programmed web crawler in Python to extract short-expiry options implied volatilities from NASDAQ and Yahoo Finance

Shanghai Alliance Financial Services Co, Ltd. Shanghai, CHN

Financial Analyst May 2016 - Aug 2016

Determined key credit risk factors by investigating sector, financial disclosures, debt tenors, guarantee and credit ratings

Built and smoothed yield curve of Chinese ABS Bond market using Hermite Model

Conducted comprehensive review on the applications of options pricing model in ABS tranches

Maintained company’s system for modeling U.S. ABS deals and managing data in Linux environment

Detected and corrected all miss-allocated cash flows of deals for one of the largest Fintech companies in U.S.

Xingcai Securities, Stock Investment Dept. Shanghai, CHN

Risk Analyst Dec 2014 - Feb 2015

Calculated volatility, Beta, Alpha and Profit and Loss of equity portfolios on a weekly basis

Estimated and modeled VaR for CSI 300 portfolio by historical method, EWMA and Extreme Value Theory (EVT)

Additional

Hobbies: Cycling; Jogging; Choral Conductor at Wuhan University; Champion of mainland China Piano Competition

Volunteer: Autism Rehabilitation Training Volunteer at Qiming Special Educational Center in China

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