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Software Developer Engineer

Location:
Toronto, Ontario, Canada
Posted:
May 17, 2018

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HIGHLIGHTS

One and half years’ experience in market risk at BMO

One year’s experience in CCR backtesting at TD Securities

Six years’ working experiences as financial engineer at Bloomberg L.P.

Fifteen years’ experiences on financial data processing and QCing

Programming experiences and skills C#, C++, Python/Pandas, VBA, SQL

Experiences in automating complex processes under both Windows and Unix

Knowledge and experiences in financial modeling, derivative pricing, Monte-Carlo simulations, statistical methodologies, CCR backtesting, market risk and fixed income

Experiences in managing multiple tasks in a demanding and changing environment

Strong analytic and problem solving skills and multitask experiences

Self-starter with strong desire and aptitude to learn and share ideas and knowledge

EMPLOYMENT EXPERIENCE

BMO Toronto 10/2016 – 07/2018

Contract Position at Model Validation Group: Data flow validation for HistoVaR: Data quality and data flow validation of major assets for HistoVaR calculations, including IR/FI, FX, Equity and Global Structured Products (C#, SQL, Python, VBA, SDR/MFL)

TD Securities Toronto 01/2015 – 10/2015

Contract Position at Market Risk and Model Development Group: CCR Backtesting: Involved in all aspects of CCR backtesting; from model research and development, programs implementation/coding, to the monthly backtesinting analysis and reports (C++, VBA, Python, R, Excel and Word).

Improved CCR backtesting theory and methodologies, redesigned and redeveloped the CCR backtesting systems with several new features

Automated the CCR backtesting systems from data processing, model distribution simulations to backtesting calculations, comparisons and analysis

Fig-tree Quantitative Research, Toronto 09/2009 – 01/2015 and 10/2015 – 10/2016

Founder, Researcher and Developer

Investment strategies and risk management researches and developments.

Bloomberg L.P., New York, NY 10/2001–04/2007

Senior Financial Software Developer, Fixed Income Department,

Designed, developed and maintained Bloomberg Fixed Income offline system for data dumping, processing/QCing and uploading, for index calculations, curve calculations and pricing of Fixed Income Products (C++/C, Perl, Unix scripting)

Some achievements:

Created Bloomberg generic swap fixing calculation system and enabled the company in an advantage position over its major competitors for swap fixing market

Created system for curve calculations and bond pricings for GreTai Securities Market’s illiquid bonds which also sets a frame work for the illiquid OTC bond for Asian markets.

Created task and script for OISEONIA calculation that served as the major building block for other security calculations for institutional traders around the world. The project enabled the company to deliver first product of its kind to the industry.

Designed and developed task and scripts for dumping data and making XML files for related Fixed Income securities, which was part of a project that generated an additional $12M in revenue for Bloomberg from CSFB

Designed and developed tasks and scripts for automating Fixed Incomes’ offline system

Teachers College Columbia University, New York 02/1999 –12/2000

Consultant, Teachers’ College Computer Center

Set up systems with educational software for classes

Provided technical support to users

Provided general system maintenance and trouble-shooting services

Teachers College Columbia University, New York 07/1998–07/2000 & 07/1996–05/1997

Technical Consultant, Teachers’ College Library,

System installation and configuration

Trouble shooting and network administration

Technical training for library staff and students

EDUCATION

Teachers College Columbia University, New York, NY 01/1996 – 09/2001

Ed.D. (Doctor of Education) College Teaching of Mathematics, 2006

Dissertation: Algebraic Algorithm for Graph Isomorphism Problems

General and International Students Scholarship for Academic Achievement

MS Degree, Mathematics, 1998

Helena Heid Stack (Dean’s) Scholarship and General Scholarship

EXTRACURRICULAR ACTIVITIES

Forest Manor Public School Toronto, ON 2009 - 2010

Helped teachers to organize various activities for students

Best of Bloomberg Program, Bloomberg L.P. New York, NY 2001 – 2007

Provided community support services to the disadvantaged

Columbia University Double Discovery Center New York, NY 1996 – 1997

Helped junior and senior high school students with mathematics



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