Kenneth X. Zheng

Phone number: 201-***-****

acaf2e@r.postjobfree.com

Professional Experience

**** - *******: Consultant, JPMorgan Chase, CIO.

. Developing new functionality for an exist system which was built in C/C++

and used for portfolio analysis and risk management in fixed income

products.

. Providing production support such as working with users to identify

issues, investigating the root causes of the abnormal results, etc.

2002 - 2012: Programmer/Analyst, HSBC Global Risk Technology.

. Leading the implementation of a limit and exposure management system to

monitor the limit usages and to manage the limit excess.

. Responsible for supporting and maintaining several credit risk management

systems which were developed with RiskWatch, C++/Java, Shell/Perl scripts

and Sybase. The systems are running on both Unix and Window platforms.

. Responsible for developing and integrating new products such as callable

swaps, IR options, FX options, CDS so that the systems can calculate the

risk more accurately.

. Responsible for market data management such as converting delta

volatility surfaces into strike volatility surfaces.

. Responsible for migrating IR products from a legacy system to SUMMIT.

2000 - 2002: Programmer/Analyst, Bank of New York, New York

. Responsible for supporting a market risk management system composed of

RiskWatch, UNIX shell scripts, Perl scripts and executables to run an

overnight batch to calculate risk measures such as VaR, Theta, etc. and

to perform stress testing.

. Responsible for updating and maintaining a FAME database for HistoRisk

which is used to generate variance-covariance matrices among the risk

factors chosen to create Monte Carlo scenarios for RiskWatch.

. Responsible for developing new preprocessors for new data feeds and

adding new products to the system, using C++, Perl, etc.

1999 - 2000: Software Engineer, Liberty Brokerage Inc. New

York

. Responsible for maintenances and enhancements of LTS (Liberty Trading

System) which used UNIX for its server platform, Sybase as its back

office and NT as its front office.

. Responsible for the development of a swap GUI on the LTS front end, using

MFC.

. Responsible for supporting traders using LTS and fixing the bugs when

they were identified.

1997- 1999: Programmer/Analyst, Reuters Analytics Group,

Connecticut

Responsible for the development and the maintenance of Warrant Analytics

Library using C/C++ in both UNIX and NT. This analytic library provides a

broad range of analytical tools for users, such as calculating option

prices, implied volatility, delta, gamma using different models (binomial,

Black-Scholes, etc.).

Responsible for development of Equity Analytics Library using Excel and

VBA. This library provides the fundamental analytics for stock market.

Responsible for the Y2K tests against those analytical libraries under both

NT and UNIX environments

1995- 1997: Actuary/Programmer, Swiss Re Services Corp., New York

Responsible for the development of a stochastic model for insurance

products, using APL on the server side and Visual Basic on the client side.

This model utilizes weighted linear regression methodology and Monte Carlo

simulation to estimate the future loss.

Applied the model to analyzing customers' data from all lines of

Property/Casualty insurance business for premium pricing, projecting loss

reserves or for simulating the volatility and the distribution of the

future loss

Computer Skills

C/C++, Java, JSP, Visual Basic, Perl, APL, RiskWatch, UNIX/Linux/Windows,

Sybase, Oracle, Fame, SVN.

Education

Ph.D. in Mathematics, Indiana University, Bloomington, 1995

Areas of Study: computer science, mathematics, statistics, economics and

finance

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