Financial Analyst Engineer

Fan Yang Phone: 617-***-**** Email:********@*****.***

*** **** **, *********, ** 01608 Linkedin: http://www.linkedin.com/in/fan-yang-895515134/ Education

Master of Science in Financial Mathematics, GPA: 3.4/4.0, May 2018 Worcester Polytechnic Institute (WPI), Worcester, MA Bachelor of Economics in Economics and Management, Beijing, GPA: 3.4/4.0, July 2016 Beijing Forestry University (BJFU), Beijing, China Coursework

Financial Mathematics Stochastic Processes Portfolio Valuation Risk Management Financial Engineer Big Data Analytics Computational Methods of Financial Mathematics Technical Skills

Software: Python, R, C/C++, JavaScript, Microsoft Office Data: SQL, MySQL, MATLAB, Stata, SPSS, SAS

Operating Systems: Windows, macOS

Languages: English, Chinese (bilingual)

Work Experiences

Quantitative Investment Intern, Beijing, China, December 2014 to January 2015

• Assisted senior analysts to work out the optimal quantitative investment strategy applicable to A shares and arbitrage opportunities.

• Applied the financial models to calculate the requested stock index futures contracts to hedge market risk.

Software Development Projects

Market and Credit Risk Models and Management, Jan 2018 to May 2018

• Chosen 15 stocks to construct a portfolio, traded on Interactive Brokers Paper Trading Account, estimated the rolling weekly loss distribution, computed VaR and ES via Matlab.

• Did stress test for the portfoilio with SVaR-based risk analysis, using one scenario as financial crisis of 2008 and 2009.

• Hedged current open positions with call and put options, reduced the portfolio risk by 15%.

• Closed all positions in account, constructed a 50-page risk report for portfolio history. Factor Model, September 2017 to December 2017

• Selected 20 stocks via Bloomberg terminal to construct a portfolio.

• Applied factors of commodity index and High Technology industry daily return rate to build the CAPM and French and Fama model to the portfolio using Python.

• Created an algorithm to compute the expected returns, return variance and covariance for each asset, picked two models based on AIC and BIC to form optimal tangency portfolios.

• Did back-testing for each model and compared their performance. Certifications

• Chartered Financial Analyst Level 1, CFA Institute, December 2018 (on progress)

• Bloomberg Market Concepts, Bloomberg Institute, December 2016

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