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Candidate with quantitative finance and computer science background

Location:
LIC, New York, United States
Posted:
February 01, 2018

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Resume:

Jinshuo (Jason) Bai

646-***-**** ac4a2m@r.postjobfree.com

**** ****** ******, **** ****** City, NY, 11101 Github:github.com/baijinshuo EDUCATION

****-**** ******* **********, ******* SCHOOL OF BUSINESS New York, NY Master of Science in Quantitative Finance, GPA:3.7/4.0

Coursework: Finance Theory, Financial Modeling, Financial Econometrics, Stochastic Calculus, Fixed Income, Risk Management, Large Scale Data Modeling, Equity Derivatives, Algorithm Trading 2012-2016 CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS, SCHOOL OF INFORMATION Beijing, CN Bachelor of Science in Computer Science, GPA:3.5/4.0

Coursework: Data structure and Algorithm, Software Engineering, Computer Network, Database Management, Operating System, Computer Organization and Architecture EXPERIENCES

Jun-Sep 2017 RBC CAPITAL MARKETS New York, NY

Project Intern

Defined an overextended market which includes multiple products such as treasuries, stock index futures, and commodity futures based on RSI, finding out reversals by measuring price movements

Constructed patterns of a bunch of technical indicators to describe the features of the market

Implemented SVM model using C++ to predict the reversals signals Mar-May 2017 SILVER LEAF PARTNERS, LLC New York, NY Software Developer Intern

Developed VBA macros to pick up transaction data from internal applications and Yahoo Finance API to calculate the commission fee and the exchange fee

Implemented C++ applications to finish a data migration from local reports to SQL Server database,, speeding up reading data files using Boost Multithreading

Apr-Aug 2015 DELOITTE ENTERPRISE CONSULTING Beijing, CN IT Service Intern

Maintained internal application systems, implementing prompt resolutions for technical errors, processing enhancement within SAP for account management optimization

Implemented unit testing and system testing, assisting in business analysis PROJECTS

Feb-Apr 2017 MATLAB PROGRAMMING - CREDIT RISK ANALYSIS New York, NY

Discovered 64 factors for operating loans credit risk model and calibrated the model through sensitivity analysis

Implemented logistic regression model to predict the probability of default

Finished the stress testing with scenarios analysis according to the requirements of CCAR Jan-Mar 2017 PYTHON PROGRAMMING - MBS PRICING New York, NY

Generated interest rate path by CIR model and estimated the model parameters using MLE

Forecasted the prepayment using PSA model to estimate the cash flow of the MBS

Estimated PD with reduced form model and priced non-agency type MBS using Monte Carlo Simulation Sep-Oct 2015 JAVA WEB APPLICATION - TRAFFIC NAVIGATION SYSTEM Beijing, CN

Collected data from OpenStreetMap to build a PostgreSQL database which is manipulated by Hibernate

Established the public transportation map of Beijing and implemented navigation system by Dijkstra Algorithm

Developed a website using Spring MVC and Ajax and generated visualized output by calling Baidu Map API Nov-Dec 2014 JAVA DEVELOPMENT - SEARCH ENGINE Beijing, CN

Downloaded more than 10,000 academic articles using multi-threading methods

Developed a local search engine through Apache Lucene, building index for different kinds of keywords

Implemented a local website based on JSP as user interface TECHNIACAL SKILLS

Programming Skills: Proficient in C, C++, C#, JAVA, Python, Matlab, VBA, SQL Basic knowledge of JavaScript, SAS, HTML, CSS

Application & tools:

Unix/Linux, .NET, GCC, Visual Studio, Eclipse, PyCharm, SQL Server, PostgreSQL, STL, Boost, XML, JSON, Git, SAP, Bloomberg, Tomcat, AWS

Financial Modeling: Black-Scholes, Binomial OPM, Monto Carlo, MLE, CIR, VaR, GARCH AWARDS & CERTIFICATES

FRM Level-1

Bloomberg Market Concepts (BMC) Certification

National Innovation & Entrepreneurship Competition Outstanding Prize ADDITONAL

Familiar with variety of programming tools, Quick learning, Logic thinking, Fluent in English and Mandarin



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