Li Xiaozhang

*a Fane Street, Belfast BT* *JS Mobile: +44-737******* Email:ac5p1k@r.postjobfree.com Education

The London School of Economics and Political Science MSc Finance and Economics Aug 2015 – Jun 2016 Relevant courses: Fixed Income, Econometrics, Asset Pricing, Portfolio Theories, Corporate Finance, Financial Engineering Nanyang Technological University BSc (Hons) Mathematics and Economics Aug 2010 – May2014 CGPA:4.7/5.0 (First Class Honor)

Dean’s List (Academic Year 2010-2011, 2011-2012)

National University of Singapore Exchange Programme Aug 2012 – Dec 2012 Work Experience

Chicago Mercantile Exchange Group (Belfast), Pricing and Valuation Associate Jan 2017 – Present

Conducted methodology research and technology integration for rates curve construction and IRS portfolio valuation

Participated in development of the SABR model based FX Option pricing system to support the group’s launch of OTC FX Options offering; refined the model parameters calibration scheme in production, to enhance optimization speed and stability

Extended the Swaption risk library and settlement engine to enable more flexible strike adjustment, non-standard tenors extrapolation and time value approximation of caplet-like securities

Developed a new Eurodollar convexity adjustment methodology utilizing CME’s own calibrated rate volatility term structure

Solely led the development of a Curve Data Management Platform, implementing data science and machine learning techniques for predictive curve optimization, outliers detection, missing quotes imputation, arbitrage check, data visualization etc; the tool is approved by management to file for U.S. patent (Python)

Group-wide Excellence Award

Engelhart Commodities Trading Partners (Singapore), Research Analyst Aug 2016 – Jan 2017

Developed a Malaysian palm yield predictive model using multi-dimensional regression and neural network with meteorological data, beating the market for four consecutive months since implementation, benchmarking MPOB monthly release

Analyzed export related data from Malaysia and Indonesia to major destinations and established models forecasting CPO/PPO export shares and monthly allocation

Developed the team’s first Data-Mining tool that systematically organizes and analyzes fundamental data time series to discover relationships between variables and potential trading opportunities

Analyzed and developed a BMD palm prices carry structure model

Chicago Mercantile Exchange Group (London), Quant Risk Off-Cycle Intern Apr 2016 – Jul 2016

Maintained and updated margin calculation for interest rate portfolios and standard curve strategies; assisted model migration

Developed and implemented a rates regime classification algorithm and extreme values modeling/extrapolation codes

Produced and improved the monthly IRS risk report to Bank of England; improved the automation system and added a new section to generate cross-time analyses on margin assessment metrics including coverage ratio, maximum shortfall, model sensitivities and extreme portfolios. The codes are also used by the FX team

Built a fully automated tool to produce numerical and graphical results analyzing stress scenarios generated by the stress selection codes currently in production in Matlab, to assist internal review and external validation

Researched on liquidation charge pricing models version update and implementation

Synergy Link Capital (Singapore), Quantitative Trading Analyst Jul 2014 – Jul 2015

Formulated, back tested and monetized quantitative trading strategies on exchange traded equity and foreign exchange derivatives by combining fundamental research and statistical analyses

Refined a Quanto futures market making strategy by establishing quantified portfolio structure and trading plan

Devised and implemented a Copula based approach to model performances of a basket of index products in Taiwanese equities, which enhanced the group’s return on these markets by more than 15%

Participated in the initiation and development of the group’s first automated algo-trading strategy and its execution system

Cargill (Singapore), Metals Derivatives Trading, Quantitative Intern Jan 2014 – May 2014

Maintained and updated daily options valuation, mark-to-market P&L, Greeks, and portfolio stress testing

Maintained and updated the iron ore options volatility arbitrage and inter-exchange arbitrage analytic system

Conducted analyses on steel mill margins calculated by different approaches, and their relationship with inventory, production and macroeconomic factors to refine the team’s margin trades position

Participated in initiation and development of an iron ore ‘restocking-destocking index’ based on fundamental and industrial data to set up supply and demand modeling

Ran weekly relative value analyses using an O-U process based model generating trading signals on a basket of metals contracts Extracurricular Activities

NTU Undergraduate Research Experiment on Campus (URECA) Club, President Sep 2012 – Aug 2013

NTU School of Physical and Mathematical Science Club, Publicity Director Sep 2011 – Sep 2012

AIESEC in NTU Singapore Entrepreneurship Challenge, Founding Partner Sep 2011 – Apr 2012 IT Skills

R (Proficient), C# (Proficient), SQL (Proficient), Python (Experienced), Excel VBA (Proficient), Matlab (Proficient), Latex

(Experienced), C++ (Academically Experienced), Toad (Experienced)

Contact this candidate