Quantitative Risk Analyst

Zhao(Eric) Ma

Jersey City, ***** • 347-***-**** • *****@***.*** • linkedin.com/in/zm943

EDUCATIONAL BACKGROUND

MS in Financial Engineering (3.71) – 2018

Coursework: Stochastic Calculus, Machine Learning, Algorithmic Portfolio Management, Risk Management, Quantitative Analysis, Python, C++, R, Bloomberg Terminal Certificate

New York University, New York Awarded Scholarship

Bachelor of Economics in Financial Engineering – 2016

Coursework: Linear Algebra, Probability, Stochastic Calculus, Statistics, Econometrics, Microeconomics, Macroeconomics

Sichuan University, Chengdu

EXPERIENCE HIGHLIGHTS

World Financial Group, Piscataway, NJ

Associate Trainee, 2018 – Now

Simulated future cash flow of life insurance and clients’ potential requirement upon the market rate in Excel and Python. Sourced potential insurance clients, identified requirements, and devised effective plans to accelerate business sales growth and enhance satisfaction.

Remained up to date with complete and accurate insurance products information and market rates to help clients make their future plan.

RESEARCH AND PROJECTS

Trading Agents of Volatility ETNs upon Q learning (Capstone Thesis)

An exploration of the application of Markov Decision Making method, Q-learning, on continuous stationary process. Distinguished the best portfolio in four available beta neutral portfolios of VIX ETNs given certain state. Enhanced training efficiency by reimplementing the entire project in C++ and executing multi-threading. Assessed the sensitivity and efficiency of Q-learning model upon different objective functions and threshold. Summarized the requirement in environment complexity, data quality, and training efficiency of a Q-learning method.

Risk Management Projects

Simulated future portfolio exposure upon partial derivatives and historical data. Estimated the risk of portfolios through Expected Shortfall and Value at Risk given the simulated future distribution. Compared the performance of each risk measure upon normal and heavy tailed distribution. Constructed beta neutral portfolios to hedge systematic risk and made research about the portfolios’ alpha.

Derivatives Pricing Related Projects

Priced Bonds, Forwards, Futures, Options and Swaps upon assumed parameters. Priced exotic options and estimated complicated volatility models using Monte Carlo Simulation. Calibrated the interest rate volatility parameter from the market price fluctuation for different models. Valued derivatives upon the underlying asset prince and risk-free rate. Explored potential arbitrage opportunities through estimate the derivatives prices upon the parameters calibrated from the market.

Neural Network Projects

Implemented a Feedforward Neural Network to estimate the stock returns upon 53 fundamental factors and clustered simulated stocks to build portfolios.

Data Visualization Projects

Created an interactive graph to capture the correlation between the deviation level of a stationary process and successive movement. Constructed a collaborative graph to display the location and intensity of earthquakes around the world.

ADDITIONAL INVOLVEMENT

Orientation Leader, New York University Student Assistant, Sichuan university Ceremony Host, Sichuan university

Three years’ Forex and Indices Trader FRM level II Candidate Badminton Player

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